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The US Sub-prime Crises and Extreme Exchange Market Pressures in Asia

Author

Listed:
  • Reza Siregar

    ()

  • Victor Pontines

    ()

  • Nurulhuda Mohd Hussain

    ()

Abstract

The primary objective of this study is to examine the evidence of occurrences of extreme market pressure of currencies of a number of Asian economies against the US dollar during the period of 2000-2009. In particular, we are interested in investigating the severity of these pressures during the recent US sub-prime crisis of 2007-2009. Were the currencies of these economies subjected to indiscriminate selling pressures during the period of the crisis? Was the heightened severity of the selling pressures associated with a particular event during the sub-prime crisis, such as the collapse of the Lehman-Brothers? Our findings confirm the globally indiscriminate impacts of the sub-prime crisis on the countries examined and the greatest impact was felt and experienced by these economies around the time of the Lehman-Brothers¡¯ collapse during the last quarter of 2008. Our findings offer far-reaching implications in terms of the linkages between macroeconomic and financial stability.

Suggested Citation

  • Reza Siregar & Victor Pontines & Nurulhuda Mohd Hussain, 2010. "The US Sub-prime Crises and Extreme Exchange Market Pressures in Asia," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp75, January.
  • Handle: RePEc:sea:spaper:sp75
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    File URL: http://www.seacen.org/GUI/pdf/publications/staff_paper/2010/SP75.pdf
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    References listed on IDEAS

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    1. Aizenman, Joshua & Hutchison, Michael & Noy, Ilan, 2011. "Inflation Targeting and Real Exchange Rates in Emerging Markets," World Development, Elsevier, vol. 39(5), pages 712-724, May.
    2. Carmen M. Reinhart & Kenneth S. Rogoff, 2014. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," Annals of Economics and Finance, Society for AEF, vol. 15(2), pages 1065-1188, November.
    3. 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.
    4. Siregar, Reza Yamora & Goo, Siwei, 2010. "Effectiveness and commitment to inflation targeting policy: Evidence from Indonesia and Thailand," Journal of Asian Economics, Elsevier, vol. 21(2), pages 113-128, April.
    5. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-484, December.
    6. Siregar, Reza & Rajan, Ramkishen S., 2004. "Impact of exchange rate volatility on Indonesia's trade performance in the 1990s," Journal of the Japanese and International Economies, Elsevier, vol. 18(2), pages 218-240, June.
    7. Siregar, Reza Yamora & Lim & C.S. Vincent, 2010. "The Role of Central Banks in Sustaining Economic Recovery and in Achieving Financial Stability," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp74, January.
    8. Tamim Bayoumi & Ola Melander, 2008. "Credit Matters; Empirical Evidence on U.S. Macro-Financial Linkages," IMF Working Papers 08/169, International Monetary Fund.
    9. 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.
    10. Jan P. A. M. Lestano, 2007. "Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002 [Dating currency crises]," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 371-388.
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    Cited by:

    1. Gan-Ochir Doojav & Borkhuu Gotovsuren & Tsenddorj Dorjpurev, 2012. "Financial Contagion and Volatile Capital Flows," Occasional Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number occ56, January.
    2. Reza Y. Siregar & Vincent C.S. Lim & Victor Pontines & Jami’ah Jaffar & Nurulhuda M. Hussain, 2011. "Capital Flows Management During the Post-2007 Global Financial Crisis: The Experiences of SEACEN Economies," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp85, January.
    3. Vincent Choon-Seng Lim & Nurulhuda Mohd. Hussain, 2014. "Stock Market Performance: Foretelling and Crisis Signalling?," Working Papers wp01, South East Asian Central Banks (SEACEN) Research and Training Centre.

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