Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002 [Dating currency crises]
AbstractGenerally a currency crisis is defined to occur if an index of currency pressure exceeds a threshold. This paper compares currency crisis dating methods. For two definitions of currency pressure we contrast ad hoc and extreme value-based thresholds. We illustrate the methods with data of six East Asian countries for the January 1970-December 2002 period, and evaluate the methods on the basis of the IMF chronology of the Asia crisis in 1997-1999. Copyright © 2007 John Wiley & Sons, Ltd.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 12 (2007)
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/1076-9307/
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.:
- Koedijk, C.G. & Schafgans, M.M.A. & Vries, C.G. de, 1990. "The tail index of exchange rate returns," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108722, Tilburg University.
- Reza Siregar & Victor Pontines & Ramkishen Rajan,, 2004. "Extreme Value Theory and the Incidence of Currency Crises," Econometric Society 2004 Australasian Meetings 181, Econometric Society.
- Reuven Glick & Andrew K. Rose, 1998.
"Contagion and Trade: Why Are Currency Crises Regional?,"
NBER Working Papers
6806, National Bureau of Economic Research, Inc.
- Glick, Reuven & Rose, Andrew K., 1999. "Contagion and trade: Why are currency crises regional?," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 603-617, August.
- Reuven Glick & Andrew K. Rose, 1998. "Contagion and trade: why are currency crises regional?," Pacific Basin Working Paper Series 98-03, Federal Reserve Bank of San Francisco.
- Glick, Reuven & Rose, Andrew K, 1998. "Contagion and Trade: Why are Currency Crises Regional," CEPR Discussion Papers 1947, C.E.P.R. Discussion Papers.
- Ranil Salgado & Jahangir Aziz & Francesco Caramazza, 2000. "Currency Crises - In Search of Common Elements," IMF Working Papers 00/67, International Monetary Fund.
- Frankel, Jeffrey A. & Rose, Andrew K., 1996.
"Currency crashes in emerging markets: An empirical treatment,"
Journal of International Economics,
Elsevier, vol. 41(3-4), pages 351-366, November.
- Jeffrey A. Frankel & Andrew K. Rose, 1996. "Currency crashes in emerging markets: an empirical treatment," International Finance Discussion Papers 534, Board of Governors of the Federal Reserve System (U.S.).
- Takatoshi Ito & Yuko Hashimoto, 2002.
"High Frequency Contagion of Currency Crises in Asia,"
NBER Working Papers
9376, National Bureau of Economic Research, Inc.
- Takatoshi Ito & Yuko Hashimoto, 2005. "High-Frequency Contagion of Currency Crises in Asia ," Asian Economic Journal, East Asian Economic Association, vol. 19(4), pages 357-381, December.
- Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1996.
"Contagious Currency Crises,"
CEPR Discussion Papers
1453, C.E.P.R. Discussion Papers.
- Abdul Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.
- Reinhart, Carmen & Kaminsky, Graciela, 1999.
"The twin crises: The causes of banking and balance of payments problems,"
14081, University Library of Munich, Germany.
- Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
- Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
- Lestano & Jacobs, Jan P.A.M., 2004. "A comparison of currency crisis dating methods: East Asia 1970-2002," CCSO Working Papers 200412, University of Groningen, CCSO Centre for Economic Research.
- Zhongbo Jing & Jakob de Haan & Jan Jacobs & Haizhen Yang, 2013. "Identifying Banking Crises Using Money Market Pressure: New Evidence For a Large Set of Countries," DNB Working Papers 397, Netherlands Central Bank, Research Department.
- Megersa, kelbesa & Cassimon, Danny, 2013.
"Assessing Indicators of Currency Crisis in Ethiopia: Signals Approach,"
47151, University Library of Munich, Germany.
- Megersa, Kelbesa & Cassimon, Danny, 2013. "Assessing Indicators of Currency Crisis in Ethiopia : Signals Approach," IOB Working Papers 2013.07, Universiteit Antwerpen, Institute of Development Policy and Management (IOB).
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Kuper, Gerard & Jacobs, Jan & Boonman, Tjeerd, 2013. "Sovereign debt crises in Latin America: A market pressure approach," Research Report 13016-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Ari, Ali, 2008. "An Early Warning Signals Approach for Currency Crises: The Turkish Case," MPRA Paper 25858, University Library of Munich, Germany, revised 2009.
- Ari, Ali, 2012. "Early warning systems for currency crises: The Turkish case," Economic Systems, Elsevier, vol. 36(3), pages 391-410.
- Mohammad Karimi & Marcel-Cristian Voia, 2011. "Identifying Extreme Values of Exchange Market Pressure," Carleton Economic Papers 11-10, Carleton University, Department of Economics.
- Victor Pontines & Reza Siregar, 2012. "Episodes of Large Exchange Rate Appreciations and Reserves Accumulations in Selected Asian Economies: Is Fear of Appreciation Justified?," CAMA Working Papers 2012-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.