The US Subprime Crises and Extreme Market Pressures in Asia

Reza Siregar, Victor Pontines and Nurulhuda Mohd Hussain

MPRA Paper from University Library of Munich, Germany

Abstract: The primary objective of this study is to examine the evidence of occurrences of extreme market pressure of currencies of a number of Asian economies against the US dollar during the period of 2000-2009. In particular, we are interested in investigating the severity of these pressures during the recent US sub-prime crisis of 2007-2009. Were the currencies of these economies subjected to indiscriminate selling pressures during the period of the crisis? Was the heightened severity of the selling pressures associated with a particular event during the subprime crisis, such as the collapse of the Lehman Brothers? Our findings confirm the globally indiscriminate impacts of the sub-prime crisis on the countries examined and the greatest impact was felt and experienced by these economies around the time of the Lehman-Brothers’ collapse during the last quarter of 2008. Our findings offer far-reaching implications in terms of the linkages between macroeconomic and financial stability.

Keywords: Currency Crisis; Exchange Market Pressure; SEACEN; Extreme Value Theory (search for similar items in EconPapers)
JEL-codes: C14 F31 (search for similar items in EconPapers)
Date: 2010-05
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:22995

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