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Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002 [Dating currency crises]

  • Jan P. A. M. Lestano

    (Department of Economics, University of Groningen, The Netherlands)

Generally a currency crisis is defined to occur if an index of currency pressure exceeds a threshold. This paper compares currency crisis dating methods. For two definitions of currency pressure we contrast ad hoc and extreme value-based thresholds. We illustrate the methods with data of six East Asian countries for the January 1970-December 2002 period, and evaluate the methods on the basis of the IMF chronology of the Asia crisis in 1997-1999. Copyright © 2007 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.316
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Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 12 (2007)
Issue (Month): 4 ()
Pages: 371-388

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Handle: RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:371-388
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  1. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996. "Contagious Currency Crises," NBER Working Papers 5681, National Bureau of Economic Research, Inc.
  2. Abdul Abiad, 2003. "Early Warning Systems; A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.
  3. Reuven Glick & Andrew K. Rose, 1998. "Contagion and trade: why are currency crises regional?," Pacific Basin Working Paper Series 98-03, Federal Reserve Bank of San Francisco.
  4. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
  5. Ranil Salgado & Jahangir Aziz & Francesco Caramazza, 2000. "Currency Crises; In Search of Common Elements," IMF Working Papers 00/67, International Monetary Fund.
  6. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
  7. Jeffrey A. Frankel & Andrew K. Rose, 1996. "Currency crashes in emerging markets: an empirical treatment," International Finance Discussion Papers 534, Board of Governors of the Federal Reserve System (U.S.).
  8. Takatoshi Ito & Yuko Hashimoto, 2002. "High Frequency Contagion of Currency Crises in Asia," NBER Working Papers 9376, National Bureau of Economic Research, Inc.
  9. repec:dgr:rugccs:200412 is not listed on IDEAS
  10. Reza Siregar & Victor Pontines & Ramkishen Rajan,, 2004. "Extreme Value Theory and the Incidence of Currency Crises," Econometric Society 2004 Australasian Meetings 181, Econometric Society.
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