Fundamentals and Speculation in the Thai Baht Crisis

Daryl Goh and Nicolaas Groenewold

International Journal of Finance & Economics, 2000, vol. 5, issue 4, 297-308

Abstract: This paper uses a structural vector-autoregressive framework to assess the relative importance of fundamental and speculative components of the Thai Baht with particular emphasis on the dramatic collapse of the currency in 1997. Two alternative models were used for this purpose, loosely based on the "first-generation" and "second-generation" currency-crisis models. We show that the fall in the observed exchange rate is more than accounted for by fundamentals which is at odds with the view that the collapse of the Thai currency in 1997 was due to "pure" speculation but simply reflected a long period of poor fundamentals. Copyright @ 2000 by John Wiley & Sons, Ltd. All rights reserved.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www3.interscience.wiley.com/cgi-bin/jtoc?ID=15416 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:5:y:2000:i:4:p:297-308

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().