Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002 [Dating currency crises&rsqb

Lestano Lestano
Authors registered in the RePEc Author Service: Jan Jacobs

International Journal of Finance & Economics, 2007, vol. 12, issue 4, 371-388

Abstract: Generally a currency crisis is defined to occur if an index of currency pressure exceeds a threshold. This paper compares currency crisis dating methods. For two definitions of currency pressure we contrast 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 1997-1999. Copyright © 2007 John Wiley & Sons, Ltd.

Date: 2007
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:371-388

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DOI: 10.1002/ijfe.316

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