Exchange Market Intervention and Evidence of Post-Crisis Flexible Exchange Rate Regimes in Selected East Asian Economies
By examining exchange market intervention activities of the monetary authority of each country, we revisit an old debate on whether crisis-effected countries in East Asia, namely Indonesia, Korea, Singapore and Thailand, have gone back to their pre-1997 rigid exchange rate policies, or, instead, have they actually moved to a more flexible regime? More importantly, if indeed there has been a shift from a rigid to a more flexible one, was the move a voluntary one, or mainly due to the presence of high market pressures on the currency? Given the absence of publicly available information on intervention in the foreign exchange market during the observation period, we propose an index of central bank intervention activity in the exchange market that also includes overnight market rates. Apart from applying the Markov switching ARCH and the extreme value theory methodologies to the construction of the index, thresholds of exchange rate regimes are also generated and utilized to systematically classify the types of exchange rate regimes that these East Asian countries adopted during the post-1997 financial crisis.
|Date of creation:||Apr 2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (+ 61 8) 8303 5672
Fax: (+ 61 8) 8223 1460
Web page: http://www.adelaide.edu.au/cies/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Pontines, Victor & Siregar, Reza, 2007. "The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?," Japan and the World Economy, Elsevier, vol. 19(2), pages 214-235, March.
- 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.
- Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
- Reinhart, Carmen & Kaminsky, Graciela, 2000.
"Las crisis gemelas: las causas de los problemas bancarios y de balanza de pagos
[The twin crises: Te causes of banking and balance of payments problems]," MPRA Paper 13842, University Library of Munich, Germany.
- 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.).
- Hans Genberg & Alexander K. Swoboda, 2004.
"Exchange-Rate Regimes: "Does What Countries Say Matter?","
IHEID Working Papers
07-2004, Economics Section, The Graduate Institute of International Studies.
- Hans Genberg & Alexander K. Swoboda, 2005. "Exchange Rate Regimes: Does What Countries Say Matter?," IMF Staff Papers, Palgrave Macmillan, vol. 52(si), pages 8.
- Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997.
"Leading indicators of currency crises,"
Policy Research Working Paper Series
1852, The World Bank.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2004.
"The Modern History of Exchange Rate Arrangements: A Reinterpretation,"
The Quarterly Journal of Economics,
MIT Press, vol. 119(1), pages 1-48, February.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2002. "The Modern History of Exchange Rate Arrangements: A Reinterpretation," NBER Working Papers 8963, National Bureau of Economic Research, Inc.
- Reinhart, Carmen & Rogoff, Kenneth, 2004. "The modern history of exchange rate arrangements: A reinterpretation," MPRA Paper 14070, University Library of Munich, Germany.
- 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.
- Michael P. Dooley & David Folkerts-Landau & Peter M. Garber, 2005.
"An essay on the revived Bretton Woods system,"
Federal Reserve Bank of San Francisco, issue Feb.
- 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.
- Leonardo Hernández & Peter Montiel, 2002. "Post-crisis exchange rate policy in five Asian countries: filling in the 'hollow middle'?," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
- Leonardo HernÃ¡ndez & Peter Montiel, 2001. "Post-Crisis Exchange Rate Policy in Five Asian Countries: Filling in the Â“Hollow MiddleÂ”?," Department of Economics Working Papers 2001-05, Department of Economics, Williams College.
- Leonardo HernÃ¡ndez & Peter Montiel, 2001. "Post-Crisis Exchange Rate Policy in Five Asian Countries: Filling in the "Hollow Middle"?," IMF Working Papers 01/170, International Monetary Fund.
- Leonardo Hernández & Peter Montiel, 2001. "Post-Crisis Exchange Rate Policy in Five Asian Countries: Filling in the "Hollow Middle"?," Center for Development Economics 167, Department of Economics, Williams College.
- Leonardo Hernández & Peter J. Montiel, 2002. "Post-crisis exchange rate policy in five Asian countries: filling in the "hollow middle"?," Pacific Basin Working Paper Series 2002-07, Federal Reserve Bank of San Francisco.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Andrea Bubula & Inci Ã–tker, 2002. "The Evolution of Exchange Rate Regimes Since 1990: Evidence From De Facto Policies," IMF Working Papers 02/155, International Monetary Fund.
- 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.
- Reuven Glick & Peter Kretzmer & Clas Wihlborg, 1990.
"Real exchange rate effects of monetary disturbances under different degrees of exchange rate flexibility: an empirical analysis,"
Working Papers in Applied Economic Theory
90-03, Federal Reserve Bank of San Francisco.
- Glick, Reuven & Kretzmer, Peter & Wihlborg, Clas, 1995. "Real exchange rate effects of monetary disturbances under different degrees of exchange rate flexibility: An empirical analysis," Journal of International Economics, Elsevier, vol. 38(3-4), pages 249-273, May.
- Ramikishen Rajan, 2002. "Exchange Rate Policy Options for Post-crisis Southeast Asia: Is There a Case for Currency Baskets?," The World Economy, Wiley Blackwell, vol. 25(1), pages 137-163, 01.
- Serven, Luis & Frankel, Jeffrey & Fajnzylber, Eduardo & Schmukler, Sergio, 2000.
"Verifying exchange rate regimes,"
Policy Research Working Paper Series
2397, The World Bank.
- Collignon, Stefan & Pisani-Ferry, Jean & Park, Yung Chul, 1999. "Exchange rate policies in emerging Asian countries," Economics Papers from University Paris Dauphine 123456789/12492, Paris Dauphine University.
- Ramkishen S. Rajan & Reza Siregar, 2002. "Choice of Exchange Rate Regime: Currency Board (Hong Kong) or Monitoring Band (Singapore)?," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 538-556, December.
- Weymark, Diana N, 1998. "A General Approach to Measuring Exchange Market Pressure," Oxford Economic Papers, Oxford University Press, vol. 50(1), pages 106-21, January.
- Beng, Gan Wee, 2000. "Exchange-rate policy in East Asia after the fall: how much have things changed?," Journal of Asian Economics, Elsevier, vol. 11(4), pages 403-430.
- Jeffrey A. Frankel & Shang-Jin Wei, 1994.
"Yen Bloc or Dollar Bloc? Exchange Rate Policies of the East Asian Economies,"
in: Macroeconomic Linkage: Savings, Exchange Rates, and Capital Flows, NBER-EASE Volume 3, pages 295-333
National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel & Shang-Jin Wei, 1992. "Yen bloc or dollar bloc: exchange rate policies of the East Asian economies," Pacific Basin Working Paper Series 93-01, Federal Reserve Bank of San Francisco.
- Wei, S.J. & Frankel, J.A., 1992. "Yen Bloc or Dollar Bloc: Exchange Rate Policies of the East Asian Economies," Papers 92-08, University of Birmingham - International Financial Group.
- Hamilton, James D. & Susmel, Raul, 1994.
"Autoregressive conditional heteroskedasticity and changes in regime,"
Journal of Econometrics,
Elsevier, vol. 64(1-2), pages 307-333.
- Tom Doan, . "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
- Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393.
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- Weymark, Diana N, 1997. "Measuring the degree of exchange market intervention in a small open economy," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 55-79, February.
When requesting a correction, please mention this item's handle: RePEc:adl:cieswp:2006-01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dmitriy Kvasov)
If references are entirely missing, you can add them using this form.