Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System

Barry Eichengreen, Andrew Rose and Charles Wyplosz

No 4898, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper presents an empirical analysis of speculative attacks on pegged exchange rates in 22 countries between 1967 and 1992. We define speculative attacks or crises as large movements in exchange rates, interest rates, and international reserves. We develop stylized facts concerning the univariate behavior of a variety of macroeconomic variables, comparing crises with periods of tranquility. For ERM observations we cannot reject the null hypothesis that there are few significant differences in the behavior of key macroeconomic variables between crises and non-crisis periods. This null can be decisively rejected for non-ERM observations, however. Precisely the opposite pattern is evident in the behavior of actual realignments and changes in exchange rate regimes. We attempt to tie these findings to the theoretical literature on balance of payments crises.

JEL-codes: F31 F32 (search for similar items in EconPapers)
Date: 1994-10
New Economics Papers: this item is included in nep-eec
Note: IFM ME
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Citations: View citations in EconPapers (136)

Published as Economic Policy, October 1995
Published as The New Transatlantic Economy, Canzoneri, Matthew, William Ethier and Vittorio Grilli, eds., Cambridge: Cambridge University Press, 1996.

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Related works:
Working Paper: Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System (1995)
Working Paper: Speculative attacks on pegged exchange rates: an empirical exploration with special reference to the European Monetary System (1995)
Working Paper: Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System (1995)
Working Paper: Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System (1994)
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