Empirical Indicators of Currency Crises in East Asia

Pacific Economic Review, 4: 2 (1999) pp. 165-183

Posted: 31 Mar 2013

See all articles by Tony S. Wirjanto

Tony S. Wirjanto

University of Waterloo - School of Accounting and Finance; University of Waterloo, Department of Statistics & Actuarial Science

Date Written: 1999

Abstract

The paper is concerned with identifying useful indicators of the probability of currency crises in Indonesia, Malaysia, the Philippines, South Korea and Thailand over a period of 22 years, where a currency crisis is defined as a large and infrequent devaluation of a local currency. The leading crisis indicators include international and domestic factors; but they are dominated by the leading indicators from the financial sector, such as the ratio of short-term debt to foreign reserves, the ratio of M2 to foreign reserves, and the indicator representing a regional contagion effect. This result is interpreted as pointing to external illiquidity together with adverse shifts in the market sentiment as the likely catalyst for the 1997-98 East Asia crisis.

Suggested Citation

Wirjanto, Tony S., Empirical Indicators of Currency Crises in East Asia (1999). Pacific Economic Review, 4: 2 (1999) pp. 165-183, Available at SSRN: https://ssrn.com/abstract=2241889

Tony S. Wirjanto (Contact Author)

University of Waterloo - School of Accounting and Finance ( email )

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Waterloo, Ontario N2L 3G1
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519-888-4567 x35210 (Phone)

HOME PAGE: http://https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

University of Waterloo, Department of Statistics & Actuarial Science ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)
519-746-1875 (Fax)

HOME PAGE: http://math.uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

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