A comparison of currency crisis dating methods: East Asia 1970-2002

Lestano Lestano and Jan Jacobs

No 200412, CCSO Working Papers from University of Groningen, CCSO Centre for Economic Research

Abstract: Generally, a currency crisis is defined to occur if an index of currency pressure exceeds a threshold. This paper compares several currency crisis dating methods adopting different definitions of currency pressure indexes and ad-hoc and extreme value based thresholds. We illustrate the methods with data of six East Asian countries for the January 1970?December 2002 period, and evaluate the methods on the basis of the IMF chronology of the Asia crisis in 1997-1998.

Date: 2004
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