| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5565 |
| DP5565 Hedge Funds: Performance, Risk and Capital Formation | |
| David A Hsieh; William Fung; Narayan Naik | |
| 发表日期 | 2006-03-17 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper uses a panel probit model with simultaneous equations to explain the joint determination of de facto and de jure exchange rate regimes in developing countries since 1980. We also derive an ordered-choice panel probit model to explain the causes of discrepancies between the two regime choices. Both models are estimated using simulation-based maximum likelihood methods. The results of the simultaneous equations model suggest that the two regime choices are dependent of each other and exhibit considerable state dependence. The ordered probit model provides evidence that regime discrepancies reflect an error-correction mechanism, and the discrepancies are persistent over time. |
| 主题 | International Macroeconomics |
| 关键词 | De facto exchange rate regimes Developing countries Simultaneous equations model Simulated maximum likelihood |
| URL | https://cepr.org/publications/dp5565 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534405 |
| 推荐引用方式 GB/T 7714 | David A Hsieh,William Fung,Narayan Naik. DP5565 Hedge Funds: Performance, Risk and Capital Formation. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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