IDENTIFYING AND DATING THE EPISODES OF SPECULATIVE PRESSURES AGAINST THE SINGAPORE DOLLAR

Victor Pontines and Reza Siregar

The Singapore Economic Review (SER), 2006, vol. 51, issue 02, 113-133

Abstract: The key objective of this study is to bring into light several shortcomings of early literatures in identifying episodes of currency crises. A careful examination of the basic statistical distribution of exchange market pressure index, based on a weighting scheme proposed by Eichengreen–Rose–Wyplosz (1995, 1996), reveals that the conventional method of defining currency crisis is statistically flawed. This study applies an alternative statistical method known as Extreme Value Analysis (EVA), originally developed by Hill (1975), and, more recently, extended by Huismanet al.(2001) to the case of Singapore from 1985 to 2003.

Keywords: Currency crisis; exchange market pressure; extreme value theory; Singapore (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1142/S0217590806002366

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