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The dynamics of a complex system: The exchange rate crisis in Southeast Asia

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  • Siokis, Fotios M.

Abstract

We investigate the dynamics of the exchange rate market just after and prior to the 1997 crisis. The return of the exchange rate is well characterized by a power law, with the relaxation exponent to vary significantly across countries.

Suggested Citation

  • Siokis, Fotios M., 2012. "The dynamics of a complex system: The exchange rate crisis in Southeast Asia," Economics Letters, Elsevier, vol. 114(1), pages 98-101.
    • Handle: RePEc:eee:ecolet:v:114:y:2012:i:1:p:98-101
    DOI: 10.1016/j.econlet.2011.09.029
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    References listed on IDEAS

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    Cited by:

    1. Alessandro Spelta & Nicolò Pecora & Andrea Flori & Paolo Giudici, 2023. "The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach," Annals of Operations Research, Springer, vol. 330(1), pages 639-664, November.
    2. Yang, Ming-Yuan & Li, Sai-Ping & Wu, Yue & Tang, Jingtai & Ren, Fei, 2019. "Do government rescue policies reduce the market volatility after crash? Evidence from the Shanghai stock market," Finance Research Letters, Elsevier, vol. 29(C), pages 117-124.

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    More about this item

    Keywords

    Financial crisis; Foreign exchange rates crashes; Power law;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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