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Identifying And Dating The Episodes Of Speculative Pressures Against The Singapore Dollar

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Author Info

  • VICTOR PONTINES

    ()
    (School of Economics, University of Adelaide, SA 5005, Australia)

  • REZA SIREGAR

    ()
    (School of Economics, University of Adelaide, SA 5005, Australia)

Abstract

The key objective of this study is to bring into light several shortcomings of early literatures in identifying episodes of currency crises. A careful examination of the basic statistical distribution of exchange market pressure index, based on a weighting scheme proposed by Eichengreen–Rose–Wyplosz (1995, 1996), reveals that the conventional method of defining currency crisis is statistically flawed. This study applies an alternative statistical method known as Extreme Value Analysis (EVA), originally developed by Hill (1975), and, more recently, extended by Huisman et al. (2001) to the case of Singapore from 1985 to 2003.

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Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal The Singapore Economic Review.

Volume (Year): 51 (2006)
Issue (Month): 02 ()
Pages: 113-133

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Handle: RePEc:wsi:serxxx:v:51:y:2006:i:02:p:113-133

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Related research

Keywords: Currency crisis; exchange market pressure; extreme value theory; Singapore;

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Cited by:
  1. Stavarek, Daniel & Dohnal, Marek, 2009. "Exchange Market Pressure in Central Europe: An Application of the Girton-Roper Model," MPRA Paper 15744, University Library of Munich, Germany.
  2. Stavarek, Daniel, 2010. "Exchange Market Pressure and De Facto Exchange Rate Regime in the Euro-Candidates," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 119-139, July.

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