G - Financial Economics
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Speculative Behaviour, Regime-Switching and Stock Market Crashes
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics." -
Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate. -
The Electronic Purse: An Overview of Recent Developments and Policy Issues
Futurists have been speculating about the prospects for a cashless society for many years, and such predictions became more frequent following the introduction of "smart" cards - cards containing a computer chip - in the mid-1970s.