MARKOV-SWITCHING MODEL AND THE PROBABILITY OF PREDICTION OF THE LIQUIDITY CRISIS WITHIN OPEC MEMBER COUNTRIES

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ABOU NOURI E.; ERFANI A.R.

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Journal: ECONOMIC RESEARCH REVIEW Year:2008 | Volume:8 | Issue:3 (30) Page(s): 153-174

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Title

MARKOV-SWITCHING MODEL AND THE PROBABILITY OF PREDICTION OF THE LIQUIDITY CRISIS WITHIN OPEC MEMBER COUNTRIES

Author(s)

ABOU NOURI E. | ERFANI A.R. | Issue Writer Certificate

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Abstract

Using the Markov-Switching methods with monthly data 1989-2004 for an Early Warning Model for OPEC member countries is estimated. Doing so, the real effective exchange rate is used as the dependent variable, on the other hand, the ratio of M2 over foreign assets, ratio of foreign debt to foreign assets, ratio of internal credits to deposits, growth rate of foreign assets, deposits growth rate, growth rate of M2 over foreign assets, growth rate of oil income are considered as the explanation variables. According to the estimated model, the average growth rate of the real effective exchange rate in OPEC has been about 0.14 percent during the tranquil (Null Situation) and about -0.36 percent during crisis time (1 situation), which were not statistically significant. Volatility of the real exchange rate in tranquil time and in crisis time has apparent differences. Volatility in tranquil time was low and about 2 percent and in crisis time was high and about 29 percent. This shows that the volatility of exchange growth rate has been an appropriate variable for distinction between tranquil and crisis periods.The results have indicated that probability of liquidity crisis within OPEC, 12 months after the sample period (after September 2004): Indonesia about 93%, Algeria 81%, Venezuela 71%, Iran 68%, Kuwait 67%, Libya 65%, Nigeria 56% Saudi Arabia 55% and no crisis in Qatar and United Arab Emaret.

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APA: Copy

ABOU NOURI, E., & ERFANI, A.R.. (2008). MARKOV-SWITCHING MODEL AND THE PROBABILITY OF PREDICTION OF THE LIQUIDITY CRISIS WITHIN OPEC MEMBER COUNTRIES. ECONOMIC RESEARCH REVIEW, 8(3 (30)), 153-174. SID. https://sid.ir/paper/66971/en

Vancouver: Copy

ABOU NOURI E., ERFANI A.R.. MARKOV-SWITCHING MODEL AND THE PROBABILITY OF PREDICTION OF THE LIQUIDITY CRISIS WITHIN OPEC MEMBER COUNTRIES. ECONOMIC RESEARCH REVIEW[Internet]. 2008;8(3 (30)):153-174. Available from: https://sid.ir/paper/66971/en

IEEE: Copy

E. ABOU NOURI, and A.R. ERFANI, “MARKOV-SWITCHING MODEL AND THE PROBABILITY OF PREDICTION OF THE LIQUIDITY CRISIS WITHIN OPEC MEMBER COUNTRIES,” ECONOMIC RESEARCH REVIEW, vol. 8, no. 3 (30), pp. 153–174, 2008, [Online]. Available: https://sid.ir/paper/66971/en

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