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Identifying And Dating The Episodes Of Speculative Pressures Against The Singapore Dollar

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  • VICTOR PONTINES

    (School of Economics, University of Adelaide, SA 5005, Australia)

  • REZA SIREGAR

    (School of Economics, University of Adelaide, SA 5005, Australia)

Abstract

The key objective of this study is to bring into light several shortcomings of early literatures in identifying episodes of currency crises. A careful examination of the basic statistical distribution of exchange market pressure index, based on a weighting scheme proposed by Eichengreen–Rose–Wyplosz (1995, 1996), reveals that the conventional method of defining currency crisis is statistically flawed. This study applies an alternative statistical method known as Extreme Value Analysis (EVA), originally developed by Hill (1975), and, more recently, extended by Huismanet al.(2001) to the case of Singapore from 1985 to 2003.

Suggested Citation

  • Victor Pontines & Reza Siregar, 2006. "Identifying And Dating The Episodes Of Speculative Pressures Against The Singapore Dollar," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 51(02), pages 113-133.
    • Handle: RePEc:wsi:serxxx:v:51:y:2006:i:02:n:s0217590806002366
    DOI: 10.1142/S0217590806002366
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    References listed on IDEAS

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    1. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    2. Mr. Abdul d Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 2003/032, International Monetary Fund.
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    Cited by:

    1. Stavarek, Daniel & Dohnal, Marek, 2009. "Exchange Market Pressure in Central Europe: An Application of the Girton-Roper Model," MPRA Paper 15744, University Library of Munich, Germany.

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