An Empirical Characterisation of SpeculativePressure: A Comprehensive Panel Study UsingLDV Models in High Frequency

This article provides a general and robust empirical examination of speculativepressure on various exchange rate regimes using an unusually large panel ofmonthly data for developed countries, analysed within the framework of Limited-Dependent Variable (LDV) models with various innovations and extensions. Incomparison to studies with lower frequency data, significant differences are foundin linking crises with macroeconomic, financial and political fundamentals,despite the noise increasing tendency of higher frequency data. Considerableheterogeneity in the events surrounding crises is documented, rendering globallyapplicable rules for prediction and prevention inappropriate. The findings arerobust to different specifications but the definition of a crisis has a bearing on itspredictability. JEL classification: F31, C23, C25, E44, G15 KCI Citation Count: 0