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Incidences of Speculative Attacks on Rupiah During The Pre- and Post-1997 Financial Crisis

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Author Info

  • Reza Siregar

    ()
    (School of Economics, University of Adelaide)

  • Victor Pontines

    ()
    (School of Economics, University of Adelaide)

Abstract

The objective of this study is to identify and date the episodes of high speculative attack periods against the Indonesian rupiah over the last fifteen years (i.e. from 1985 to 2003). From the findings, we hope to address the following set of questions. Had rupiah indeed been stable prior to its meltdown in the third quarter 1997? Arguably a more relevant question to be addressed at this point is whether the rupiah has stabilized, as measured by a relatively moderate EMP index, since its worst fall in late 1997? This study also hopes to introduce a simple measurement index to detect the presence of market pressures in the foreign exchange market, and to illustrate a reliable methodology to estimate a “threshold” separating low market pressures from the extreme ones.

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File URL: http://www.adelaide.edu.au/cies/papers/0504.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 2005-04.

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Length: 40 pages
Date of creation: May 2005
Date of revision:
Handle: RePEc:adl:cieswp:2005-04

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Keywords: Currency Crisis; Exchange Market Pressure; Speculative Attacks; Extreme Value Theory; Rupiah.;

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References

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  1. Koedijk, C.G. & Stork, P.A. & Vries, C.G. de, 1992. "Differences between foreign exchange rate regimes: The view from the tails," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108712, Tilburg University.
  2. Siregar, Reza & Rajan, Ramkishen S., 2004. "Impact of exchange rate volatility on Indonesia's trade performance in the 1990s," Journal of the Japanese and International Economies, Elsevier, vol. 18(2), pages 218-240, June.
  3. Jeffrey Sachs & Aaron Tornell & Andres Velasco, 1996. "Financial Crises in Emerging Markets: The Lessons from 1995," NBER Working Papers 5576, National Bureau of Economic Research, Inc.
  4. De Vries, C.G. & Leuven, K.U., 1994. "Stylized Facts of Nominal Exchange Rate Returns," Papers 94-002, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
  5. Graciela Laura Kaminsky, 1997. "Leading Indicators of Currency Crises," IMF Working Papers 97/79, International Monetary Fund.
  6. 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.
  7. 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.
  8. Reza Yamora Siregar, 1996. "Real exchange rate targeting and inflation in Indonesia: theory and empirical evidence," Pacific Basin Working Paper Series 96-07, Federal Reserve Bank of San Francisco.
  9. Reinhart, Carmen & Calvo, Guillermo, 2002. "Fear of floating," MPRA Paper 14000, University Library of Munich, Germany.
  10. Obstfeld, Maurice, 1996. "Models of currency crises with self-fulfilling features," European Economic Review, Elsevier, vol. 40(3-5), pages 1037-1047, April.
  11. Koedijk, Kees G & Kool, Clemens J M, 1992. "Tail Estimates of East European Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 83-96, January.
  12. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 591-609, August.
  13. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-84, December.
  14. John Williamson, 2004. "The Years of Emerging Market Crises: A Review of Feldstein," Journal of Economic Literature, American Economic Association, vol. 42(3), pages 822-837, September.
  15. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-25, August.
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