Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies

Reza Siregar and Victor Pontines

No 2004-04, Centre for International Economic Studies Working Papers from University of Adelaide, Centre for International Economic Studies

Abstract: The key objective of our study is to re-examine again the stability of selected East Asian currencies. Had there been any other attacks on these currencies prior to their meltdowns in 1997? Equally important, have the currencies stabilized during the post-1997 crisis? To address these questions, we adopt the concept of exchange market pressure (EMP) index of Kaminsky, Lizondo, and Reinhart (1998). Due to non-normality of the statistical distribution of the EMP indices in general, this study applies the Extreme Value Theory (EVT) as proposed by Huisman, Koedijk, Kool, and Palm (2001). Lastly, we document events that arguably contribute to speculative attacks on these currencies.

Keywords: Currency Crisis; Exchange Market Pressure; Extreme Value Theory; East Asia. (search for similar items in EconPapers)
JEL-codes: F31 F41 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2004-08
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