Frank, Nathaniel (contributor); Ley, Eduardo (contributor) - 2008
financial crises—e.g., Mexico in 1995, Asia in 1997, Turkey in 2001 and
Argentina in 2002. During such periods, significant ….
Figure 1. VAR regime-switching probabilities: Argentina, Brazil, South Africa and Turkey
[1] In Argentina, a tranquil period … stationary VAR is not appropriate—as constancy of the data generation mechanism cannot
be ensured.
4
4.2. Argentina
As outlined …