|
|
Emna Trabelsi |
|
''Does asymmetric information play a role in explaining the Asian crisis? Application to Indonesian and Malaysian cases using a two-state Markov Switching model'' |
( 2011, Vol. 31 No.1 ) |
|
|
This paper aims at establishing a relationship between disparity of information and the probability of speculative attack in explaining the Asian crisis. We apply the general framework of Markov-Switching models to the differential of interest rates (DIR), subsequently in Indonesia and Malaysia. We allow dependency of the transition probabilities over the asymmetric information indicators.
The Maximum Likelihood estimators results (MLE) are twofold: (1) an increase of information dispersion among speculators leads to a higher probability of a currency crisis (2) there is a significant asymmetric impact of information disparity as measured by the difference between fund price and Net Asset Value (NAV) on the transition probability in the case of Indonesia, while the hypothesis is rejected for Malaysia's case.
|
|
|
Keywords: Speculative attack, Global Games, Asymmetric information, Markov-Switching Models |
JEL: D8 - Information, Knowledge, and Uncertainty: General F3 - International Finance: General |
|
Manuscript Received : Nov 19 2010 | | Manuscript Accepted : Feb 14 2011 |
|