Extremal analysis of currency crises in Taiwan

Tai-kuang Ho ()

Applied Economics, 2008, vol. 40, issue 9, 1175-1186

Abstract: We employ extreme value theory to identify currency crises in Taiwan. The new approach is able to identify severe currency crises, and at the same time avoid the crisis-misclassification problem of Markov-switching models. Signal accounting indicates that currency crises in Taiwan are preceded by rapid expansion of domestic credit and other monetary aggregates, implying that financial excesses stressed by the third-generation crisis model are the main causes of these currency crises.

Date: 2008
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DOI: 10.1080/00036840600771221

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