Incidence of Speculative Attacks on Rupiah During the Pre- and Post- 1997 Financial Crisis

Reza Siregar and Victor Pontines

No 2005-07, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: The objective of this study is to identify and date the episodes of high speculative attack periods against the Indonesian rupiah over the last fifteen years (i.e. from 1985 to 2003). From the findings, we hope to address the following set of questions. Had rupiah indeed been stable prior to its meltdown in the third quarter 1997? Arguably a more relevant question to be addressed at this point is whether the rupiah has stabilized, as measured by a relatively moderate EMP index, since its worst fall in late 1997? This study also hopes to introduce a simple measurement index to detect the presence of market pressures in the foreign exchange market, and to illustrate a reliable methodology to estimate a ''threshold'' separating low market pressures from the extreme ones.

Keywords: currency crisis; exchange market pressure; speculative attacks; extreme value theory; Rupiah (search for similar items in EconPapers)
JEL-codes: F31 F41 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2005
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Working Paper: Incidences of Speculative Attacks on Rupiah During The Pre- and Post-1997 Financial Crisis (2005)
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