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.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 12 (2007)
Issue (Month): 4 ()
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Web page: http://www.interscience.wiley.com/jpages/1076-9307/
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