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Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies

  • Reza Siregar


    (School of Economics, University of Adelaide)

  • Victor Pontines


    (School of Economics, University of Adelaide)

The key objective of our study is to re-examine again the stability of selected East Asian currencies. Had there been any other attacks on these currencies prior to their meltdowns in 1997? Equally important, have the currencies stabilized during the post-1997 crisis? To address these questions, we adopt the concept of exchange market pressure (EMP) index of Kaminsky, Lizondo, and Reinhart (1998). Due to non-normality of the statistical distribution of the EMP indices in general, this study applies the Extreme Value Theory (EVT) as proposed by Huisman, Koedijk, Kool, and Palm (2001). Lastly, we document events that arguably contribute to speculative attacks on these currencies.

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Paper provided by University of Adelaide, Centre for International Economic Studies in its series Centre for International Economic Studies Working Papers with number 2004-04.

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Length: 41 pages
Date of creation: Aug 2004
Date of revision:
Handle: RePEc:adl:cieswp:2004-04
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  1. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
  2. Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1994. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," CEPR Discussion Papers 1060, C.E.P.R. Discussion Papers.
  3. Hernandez, Leonardo & Montiel, Peter J., 2003. "Post-crisis exchange rate policy in five Asian countries: Filling in the "hollow middle"?," Journal of the Japanese and International Economies, Elsevier, vol. 17(3), pages 336-369, September.
  4. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
  5. Girton, Lance & Roper, Don, 1977. "A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience," American Economic Review, American Economic Association, vol. 67(4), pages 537-48, September.
  6. Huisman, Ronald, et al, 2001. "Tail-Index Estimates in Small Samples," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 208-16, April.
  7. 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.
  8. Andrew Berg & Catherine Pattillo, 1999. "Are Currency Crises Predictable? A Test," IMF Staff Papers, Palgrave Macmillan, vol. 46(2), pages 1.
  9. Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
  10. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
  11. Jacobs, Jan P.A.M. & Kuper, Gerard H. & Lestano, 2005. "Currency crises in Asia: a multivariate logit approach," CCSO Working Papers 200506, University of Groningen, CCSO Centre for Economic Research.
  12. 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.).
  13. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  14. Richard J Rogalski & Joseph D Vinso, 1978. "Empirical Properties of Foreign Exchange Rates," Journal of International Business Studies, Palgrave Macmillan, vol. 9(2), pages 69-79, June.
  15. Andrea Bubula & Inci Ötker, 2002. "The Evolution of Exchange Rate Regimes Since 1990: Evidence From De Facto Policies," IMF Working Papers 02/155, International Monetary Fund.
  16. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-84, December.
  17. Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393.
  18. Koedijk, Kees G & Kool, Clemens J M, 1992. "Tail Estimates of East European Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 83-96, January.
  19. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 85-107, March.
  20. repec:dgr:rugccs:200313 is not listed on IDEAS
  21. Koedijk, Kees G. & Stork, Philip A. & de Vries, Casper G., 1992. "Differences between foreign exchange rate regimes: The view from the tails," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 462-473, October.
  22. Boothe, Paul & Glassman, Debra, 1987. "The statistical distribution of exchange rates: Empirical evidence and economic implications," Journal of International Economics, Elsevier, vol. 22(3-4), pages 297-319, May.
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