IDEAS home Printed from
   My bibliography  Save this article

Structural Break in the Real Exchange Rates: The Asian Crisis


  • Chung, Hoe Sang

    (Chonnam National University)

  • Kim, Young-Yong

    (Korea Economic Research Institute)


This study estimates the break point in the residual variance and in the propagation mechanism of the real exchange rates at about the time of the Asian crisis that occurred in 1997, and provides some explanations for the breaks. The breaks in the residual variance increased the volatility of the real exchange rates, which given the overall effects of common adverse shocks to the countries seems to be reinforced by the sudden withdrawal of Japanese commercial banks' lending to the region. And the subsequent breaks in the propagation mechanism reduced the volatility, which reflects the change in the government policy stance to result in smoothing the pace of appreciation. In addition, the breaks in the nominal exchange rates rather than in the price ratios are mainly responsible for the breaks in the real exchange rates.

Suggested Citation

  • Chung, Hoe Sang & Kim, Young-Yong, 2009. "Structural Break in the Real Exchange Rates: The Asian Crisis," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 13(1), pages 91-110, June.
  • Handle: RePEc:ris:eaerev:0125
    DOI: 10.11644/KIEP.JEAI.2009.13.1.197

    Download full text from publisher

    File URL:
    File Function: Full text
    Download Restriction: no

    File URL:
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item

    More about this item


    Asian Crisis; Structural Break; Real Exchange Rate; Residual Variance; Propagation Mechanism; Japanese Commercial Banks; Reserve Accumulation;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:eaerev:0125. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: JE Lee (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.