The Yen, The US dollar and The Speculative Attacks Against The Thailand Baht

Reza Siregar and Victor Pontines

No 2004-06, Centre for International Economic Studies Working Papers from University of Adelaide, Centre for International Economic Studies

Abstract: Early constructions of a single crisis index known as the exchange market pressure (EMP) index have largely been based on the fluctuations of the real or nominal exchange rate of a currency against the US dollar ---the most commonly accepted anchor currency in the global market. Hardly any studies have however tested the sensitivity of this crisis index to the choice of “the anchor” currency. To address this pertinent issue, our study considers the case of Thailand for the period of 1985 to 2003. The test results indicate that the EMP index of the baht / the US dollar rate reported substantially less number of speculative attacks against the baht than that reported by the EMP index of the baht / the Japanese yen rate.

Keywords: Currency Crisis; Exchange Market Pressure; Extreme Value Theory; Thailand. (search for similar items in EconPapers)
JEL-codes: F31 F41 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2004-10
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