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Source
Journal of Economic Dynamics and Control, 33, 11, (2009), pp. 1929-1944ISSN
Publication type
Article / Letter to editor

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Organization
Internationale economie
Financiële economie en ondernemingsfinanciering
Journal title
Journal of Economic Dynamics and Control
Volume
vol. 33
Issue
iss. 11
Page start
p. 1929
Page end
p. 1944
Subject
Nijmegen Centre for EconomicsAbstract
In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period. Results imply that the crisis is triggered in Thailand due to an increased focus on the fundamental price, followed by an increase in chartism and finally aggravated by a focus on foreign developments. Furthermore, the crisis deepens in Hong Kong because of increased attention for foreign markets.
This item appears in the following Collection(s)
- Academic publications [205119]
- Electronic publications [103316]
- Nijmegen School of Management [12949]
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