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Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002 [Dating currency crises]

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Author Info
Jan P. A. M. Lestano (Department of Economics, University of Groningen, The Netherlands)

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Abstract

Generally 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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File URL: http://hdl.handle.net/10.1002/ijfe.316
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 12 (2007)
Issue (Month): 4 ()
Pages: 371-388
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Handle: RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:371-388

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  1. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996. "Contagious Currency Crises," NBER Working Papers 5681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. 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. [Downloadable!] (restricted)
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  3. Reza Siregar & Victor Pontines & Ramkishen Rajan,, 2004. "Extreme Value Theory and the Incidence of Currency Crises," Econometric Society 2004 Australasian Meetings 181, Econometric Society. [Downloadable!]
  4. 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. [Downloadable!] (restricted)
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  5. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04. [Downloadable!] (restricted)
  6. Jahangir Aziz & Francesco Caramazza & Ranil Salgado, 2000. "Currency Crises - In Search of Common Elements," IMF Working Papers 00/67, International Monetary Fund.
  7. Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany. [Downloadable!]
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  8. Abdul Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund. [Downloadable!]
  9. Takatoshi Ito & Yuko Hashimoto, 2002. "High Frequency Contagion of Currency Crises in Asia," NBER Working Papers 9376, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. 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. [Downloadable!]
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