Identifying Currency Crisis Using Treshold Autoregressions: Australia and the East Asian "Meltdown"
A two regime threshold autogressive model is fitted to a trade weighted index of the Australian real exchange rate in order to identify episodes of exchange rate crisis. We find strong evidence of a threshold in the growth rate of the real exchange reate, with the data being classified into two regimes. The first regime is consistent with an exchange rate crisis. There is no evidence to suggest that the recent Asian meltdown has led to the real exchange rate entering the crisis regime.
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