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The Yen, The US dollar and The Speculative Attacks Against The Thailand Baht

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Author Info

  • Reza Siregar

    ()
    (School of Economics, University of Adelaide)

  • Victor Pontines

    ()
    (School of Economics, University of Adelaide)

Abstract

Early constructions of a single crisis index known as the exchange market pressure (EMP) index have largely been based on the fluctuations of the real or nominal exchange rate of a currency against the US dollar ---the most commonly accepted anchor currency in the global market. Hardly any studies have however tested the sensitivity of this crisis index to the choice of “the anchor” currency. To address this pertinent issue, our study considers the case of Thailand for the period of 1985 to 2003. The test results indicate that the EMP index of the baht / the US dollar rate reported substantially less number of speculative attacks against the baht than that reported by the EMP index of the baht / the Japanese yen rate.

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File URL: http://www.adelaide.edu.au/cies/papers/0406.pdf
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Bibliographic Info

Paper provided by University of Adelaide, Centre for International Economic Studies in its series Centre for International Economic Studies Working Papers with number 2004-06.

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Length: 38 pages
Date of creation: Oct 2004
Date of revision:
Handle: RePEc:adl:cieswp:2004-06

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Keywords: Currency Crisis; Exchange Market Pressure; Extreme Value Theory; Thailand.;

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