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Macroeconomic behavior during periods of speculative pressure or realignment: evidence from Pacific Basin economies

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Author Info
Ramon Moreno

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Abstract

This paper uses nonparametric tests to provide a description of the "stylized facts" associated with episodes of speculative pressure in foreign exchange markets in Pacific Basin Economies and to see whether these "stylized facts" appear to be broadly consistent with the alternative explanations for such episodes suggested in the theoretical literature. ; The empirical results are mixed, but some are nonetheless suggestive. Larger budget deficits and growth in central bank domestic credit appear to be associated with episodes of depreciation rather than episodes of appreciation or periods of tranquility, indicating that unusually expansionary or contractionary policies may contribute to speculative pressures in foreign exchange markets. There also is some evidence that episodes of speculative pressure may arise when economic conditions make it costly for the government to maintain a stable exchange rate.

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Publisher Info
Article provided by Federal Reserve Bank of San Francisco in its journal Economic Review.

Volume (Year): (1995)
Issue (Month): ()
Pages: 3-16
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Handle: RePEc:fip:fedfer:y:1995:p:3-16:n:3

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Keywords: Foreign exchange ; Budget deficits ; Pacific Area;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Grilli, Vittorio U., 1986. "Buying and selling attacks on fixed exchange rate systems," Journal of International Economics, Elsevier, vol. 20(1-2), pages 143-156, February. [Downloadable!] (restricted)
  2. Barro, Robert J & Gordon, David B, 1983. "A Positive Theory of Monetary Policy in a Natural Rate Model," Journal of Political Economy, University of Chicago Press, vol. 91(4), pages 589-610, August. [Downloadable!] (restricted)
    Other versions:
  3. Paul R. Masson & Allan Drazen, 1994. "Credibility of Policies Versus Credibility of Policymakers," IMF Working Papers 94/49, International Monetary Fund.
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  4. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1995. "Speculative attacks on pegged exchange rates: an empirical exploration with special reference to the European Monetary System," Working Papers in Applied Economic Theory 95-04, Federal Reserve Bank of San Francisco.
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  5. Reuven Glick & Michael Hutchison, 1992. "Monetary policy, intervention, and exchange rates in Japan," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
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  6. Blanco, Herminio & Garber, Peter M, 1986. "Recurrent Devaluation and Speculative Attacks on the Mexican Peso," Journal of Political Economy, University of Chicago Press, vol. 94(1), pages 148-66, February. [Downloadable!] (restricted)
  7. Cumby, Robert E. & Van Wijnbergen, Sweder, 1989. "Financial policy and speculative runs with a crawling peg: Argentina 1979-1981," Journal of International Economics, Elsevier, vol. 27(1-2), pages 111-127, August. [Downloadable!] (restricted)
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  8. Goldberg, Linda S., 1994. "Predicting exchange rate crises : Mexico revisited," Journal of International Economics, Elsevier, vol. 36(3-4), pages 413-430, May. [Downloadable!] (restricted)
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  9. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-25, August. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Reuven Glick & Michael M. Hutchison, . "Banking and Currency Crises: How Common Are Twins?," EPRU Working Paper Series 99-20, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:
  2. Kruger, Mark & Osakwe, Patrick N. & Page, Jennifer, 1998. "Fundamentals, Contagion and Currency Crises: An Empirical Analysis," Working Papers 98-10, Bank of Canada. [Downloadable!]
  3. Ramon Moreno, 1998. "Was there a boom in money and credit prior to East Asia's recent currency crisis?," Pacific Basin Working Paper Series 98-05, Federal Reserve Bank of San Francisco. [Downloadable!]
  4. Tiffany Hutcheson, 1998. "Is Speculative Activity in Asia Pacific Markets Anything New?," Working Paper Series 82, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  5. Ramon Moreno, 1999. "Did a boom in money and credit precede east Asia's recent currency crisis?," Economic Review, Federal Reserve Bank of San Francisco, pages 23-41. [Downloadable!]
  6. Inci Ötker & Rupa Duttagupta, 2003. "Exits From Pegged Regimes: An Empirical Analysis," IMF Working Papers 03/147, International Monetary Fund. [Downloadable!]
  7. Chin-Shien Lin & Haider A. Khan & Ying-Chieh Wang & Ruei-Yuan Chang, 2006. "A New Approach to Modeling Early Warning Systems for Currency Crises : can a machine-learning fuzzy expert system predict the currency crises effectively?," CIRJE F-Series CIRJE-F-411, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Other versions:
  8. Axel Brüggemann & Thomas Linne, . "How Good are Leading Indicators for Currency and Banking Crises in Central and Eastern Europe? An Empirical Test," IWH Discussion Papers 95, Halle Institute for Economic Research. [Downloadable!]
  9. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996. "Contagious Currency Crises," NBER Working Papers 5681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  10. Reuven GLICK & Michael HUTCHISON, 2000. "Banking and Currency Crises: How Common Are The Twins?," Working Papers 012000, Hong Kong Institute for Monetary Research. [Downloadable!]
  11. Mark Crosby & Glenn Otto, 2001. "Persistence Of Output Fluctuations Under Alternative Exchange Rate Regimes," Working Papers 072001, Hong Kong Institute for Monetary Research. [Downloadable!]
  12. Reuven Glick & Ramon Moreno, 1999. "Money and credit, competitiveness, and currency crises in Asia and Latin America," Pacific Basin Working Paper Series 99-01, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
  13. Pathak, Parag & Tirole, Jean, 2006. "Speculative Attacks and Risk Management," IDEI Working Papers 438, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
  14. Heather D Gibson & Euclid Tsakalotos, 2003. "Capital Flows and Speculative Attacks in Prospective EU Member States," Working Papers 06, Bank of Greece. [Downloadable!]
    Other versions:
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