01998cas a2200253 a 4500 AALejournalIMF001818 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451841916 1018-5941 BD-DhAAL BD-DhAAL Sbracia, M. Currency Crises and Uncertainty About Fundamentals / M. Sbracia, Alessandro Prati. Washington, D.C. : International Monetary Fund, 2002. 1 online resource (46 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper studies how uncertainty about fundamentals contributed to currency crises from both a theoretical and an empirical perspective. We find evidenceCbased on a monthly dataset of Consensus forecasts for six Asian countries in the period January 1995-May 2001Cconfirming the theoretical predictions (from both unique- and multiple-equilibria models) that: (i) speculative attacks depend not only on actual and expected fundamentals but also on the variance of speculators' expectations about them; and (ii) the sign of the effect of the variance depends on whether expected fundamentals are "good" or "bad." These results are robust to the definition of exchange rate pressure indices, the estimation sample (precrisis vs. full sample), the method chosen to avoid spurious correlations, and possible time-varying coefficients for the mean, the variance, and the threshold separating good from bad expected fundamentals. Mode of access: Internet Prati, Alessandro. IMF Working Papers; Working Paper ; No. 2002/003 Full text available on IMF http://elibrary.imf.org/view/journals/001/2002/003/001.2002.issue-003-en.xml IMF e-Library