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Incidence 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.economics.adelaide.edu.au/research/papers/doc/wp2005-07.pdf
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Bibliographic Info

Paper provided by University of Adelaide, School of Economics in its series School of Economics Working Papers with number 2005-07.

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Length: 37 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:adl:wpaper:2005-07

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Postal: Adelaide SA 5005
Phone: (618) 8303 5540
Web page: http://www.economics.adelaide.edu.au/
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Related research

Keywords: currency crisis; exchange market pressure; speculative attacks; extreme value theory; Rupiah;

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  1. Graciela Laura Kaminsky, 1997. "Leading Indicators of Currency Crises," IMF Working Papers 97/79, International Monetary Fund.
  2. 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.
  3. 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.
  4. 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.
  5. Reza Siregar & Ramkishen Rajan, 2002. "Impact of Exchange Rate Volatility on IndonesiaÂ’s Trade Performance in the 1990s," Centre for International Economic Studies Working Papers 2002-05, University of Adelaide, Centre for International Economic Studies.
  6. Guillermo A. Calvo & Carmen M. Reinhart, 2000. "Fear of Floating," NBER Working Papers 7993, National Bureau of Economic Research, Inc.
  7. Jeffrey D. Sachs & Aaron Tornell & Andrés Velasco, 1996. "Financial Crises in Emerging Markets: The Lessons from 1995," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(1), pages 147-216.
  8. Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
  9. Maurice Obstfeld, 1997. "Models of Currency Crises with Self-Fulfilling Features," NBER Working Papers 5285, National Bureau of Economic Research, Inc.
  10. 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.
  11. 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.
  12. 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).
  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. 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.
  15. 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.
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