The 1998 Russian crisis : could the exchange rate volatility have predicted it?

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dc.contributor.author Basdevant, Olivier
dc.contributor.author Hall, Stephen G.
dc.date.accessioned 2008-07-23T12:34:42Z
dc.date.available 2008-07-23T12:34:42Z
dc.date.issued 2002
dc.description.abstract The purpose of this paper is to examine the exchange rate volatility of the ruble, before the August 1998 crisis, using a macro-economic model of the Russian Federation developed by Basdevant (2000). A main focus of this paper is to use this simulation exercise to find out what was the origin of this financial crisis. This paper will show how expectations of the exchange rate played a crucial role. Nevertheless, this analysis does not seek to only explain the Russian crisis by a specific shock on expectations the objective is also to provide an analysis of the timing of the crisis. A further objective is to demonstrate a new methodology that allows an econometric model to be used to forecast the possibility of financial crises. Finally this paper demonstrates that a model can be used to assess the likelihood of an unusual event such as the Russian financial crisis by exploiting the information, which is contained in the model’s own residual process. Using this technique we demonstrate that the variance of exchange rates produced by the model rose dramatically in anticipation of the full height of crises in 1988. en
dc.format.extent 227674 bytes
dc.format.mimetype application/pdf
dc.identifier.citation Basdevant, O & Hall, SG 2002, 'The 1998 Russian crisis: could the exchange rate volatility have predicted it?', Journal of Policy Modeling, vol. 24, no. 2, pp. 151-168. [http://www.sciencedirect.com/science/journal/01618938] en
dc.identifier.issn 0161-8938
dc.identifier.other 10.1016/S0161-8938(02)00103-5
dc.identifier.uri http://hdl.handle.net/2263/6298
dc.language.iso en en
dc.publisher Elsevier en
dc.rights Elsevier en
dc.subject Macro-modelling en
dc.subject Structural change en
dc.subject Russia en
dc.subject Stochastic simulations en
dc.subject.lcsh Financial crises -- Russia (Federation) en
dc.title The 1998 Russian crisis : could the exchange rate volatility have predicted it? en
dc.type Postprint Article en


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