This paper presents an empirical analysis of speculative attacks on pegged exchange rates in 22 countries between 1967 and 1992. We define speculative attacks or crises as large movements in exchange rates, interest rates, and international reserves. We develop stylized facts concerning the univariate behavior of a variety of macroeconomic variables, comparing crises with periods of tranquility. For ERM observations we cannot reject the null hypothesis that there are few significant differences in the behavior of key macroeconomic variables between crises and non-crisis periods. This null can be decisively rejected for non-ERM observations, however. Precisely the opposite pattern is evident in the behavior of actual realignments and changes in exchange rate regimes. We attempt to tie these findings to the theoretical literature on balance of payments crises.
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number
4898.
Length: Date of creation: Oct 1994 Date of revision: Handle: RePEc:nbr:nberwo:4898
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Find related papers by JEL classification: F31 - International Economics - - International Finance - - - Foreign Exchange F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
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F. Gulcin Ozkan & Alan Sutherland, .
"A Model of the ERM Crisis,"
EPRU Working Paper Series
93-09, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
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