EXCHANGE RATE ECONOMICS AND MACROECONOMIC FUNDAMENTALS

Argamaya Argamaya

DOI: https://doi.org/10.23917/jep.v8i1.3934

Abstract

Financial crises have a long history. Recently, several international crises emerged: the Mexican and Argentina currency and debt crisis of 1973-1982 and 1978-1981 respectively, the exchange rate crises following the abandonment of the European Exchange Rate Mechanism in 1992, the Tequila Effect resulting from the Mexican peso devaluation in 1992, the Asian Flu of 1997 resulting after Thailand's devaluation and the Russian Cold which arose from the collapse of the rubble in 1998. These episodes of international financial turmoil attracted worldwide attention; causes, impact and policy implications have been studied extensively.

Keywords

Financial Crises; Exchange rate; and Exchange rate regimes

Full Text:

PDF

References

Akgiray, V., G. G. Booth and B. Seifert (1988), "Distribution Properties of Latin American Black Market Exchange rates", Journal of International Money and Finance, 7(1), 37-48.

Baig, T. and I. Goldfajn (1999), "Financial Market Contagion in the Asian crisis", IMF Staff Papers 46/2, International Monetary Fund, Washington, D.C.

Burkart, O. and V. Coudert (2002), "Leading Indicators of Currency Crises for Emerging Countries", Emerging Markets Review, 3(2), 107-133.

Bustelo, P. (2000), "Novelties of Financial Crises in the 1990s and the Search for New Indicators", Emerging Markets Review, 1(3), 229-251.

Connolly, M.B. and D. Taylor (1984), "The Exact Timing of the Collapse of an Exchange Rate Regime and its Impact on the Relative Price of Traded Goods", Journal of Money, Credit and Banking, 16(2), 194-207.

Dermirg"u,c-Kunt, A. and E. Detragiache (1997), "The Determinants of Banking Crises in Developing and Developed Countries", IMF Working Paper 106, International Monetary Fund, Washington, D.C.

Dungey, M., R. Fry, B. Gonzalez-Hermosillo, and V.L. Martin (2003), "Empirical Modelling of Contagion: a

Review of Methodologies", Working Papers 8, Cambridge Endowment for Research in Finance, Cambridge.

Dungey, M. and V.L. Martin (2002), "Measuring contagion in the East Asian Currency Crisis", Mimeo, The Australian National University, Canberra, Australia.

Eichengreen, B., A.K. Rose, and C. Wyplosz (1995), "Exchange rate mayhem: the Antecedents and Aftermath of Speculative Attacks", Economic Policy, 21, 251-312.

Eichengreen, B., A.K. Rose, and C. Wyplosz (1996), "Contagious Currency Crises", Scandinavian Journal of Economics, 98(4), 463-484.

Fase, M.M.G and C. Winder (1993), "the Demand for Money in the Netherlands and the other EC Countries", De Economist, 141(14), 471-496.

Flood, R.P., P.M. Garber and C. Kramer (1996), "Collapsing Exchange Rate Regimes: Another Linear Example", Journal of International Economics, 41(34), 223-234.

Flood, R.P. and P.M. Garber (1984), "Collapsing Exchange Rate Regimes: some Linear Examples", Journal of International Economics, 17,1-13.

Frankel, J.A. and A.K. Rose, "Currency Crashes in Emerging Markets: an Empirical Treatment", Journal of International Economics, 41(3-4), 351-366.

Girton, L. and D. Roper (1977), "A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience", American. Economic Review, 67(4), 537-548.

Glick, R. and A.K. Rose (1999), "Contagion and Trade: Why are Currency Crises regional?", Journal of International Money and Finance, 18(4), 603-617.

Gonzalez-Hermosillo, B. (1996), "Banking Sector Fragility and Systemic Sources of Fragility", IMF Working Paper 12, International Monetary Fund, Washington, D.C.

Granger, C.W.J., B.W. Huang and C.W. Yang (2000), "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian flu", Quarterly Review of Economics and Finance, 40(3), 337-354.

Hill, B.M. (1975), "A Simple General Approach to Inference about the Tail of a Distribution", Annuals of Statistics, 3(5), 1163-1174.

Ito, T. and Y. Hashimoto (2002), "High Frequency Contagion of Currency Crises in Asia", NBER Working Paper 9376, National Bureau of Economic Research, Cambridge, MA.

Kaminsky, G.L., S. Lizondo, and CM. Reinhart (1998), "Leading Indicators of Currency Crisis", IMF Staff Papers 45/1, International Monetary Fund, Washington, D.C.

Kaminsky, G.L. and CM. Reinhart (1999), "The Twin Crises: the Causes of Banking and Balance-of-Payments Problems", American. Economic Review, 89(3), 473-500.

Kaminsky, G.L. and CM. Reinhart (2000), "On Crises, Contagion, and Confusion", Journal of International Economics, 51(1), 145-168.

Koedijk, K.G., M.M.A. Schafgans and C.G. de Vries (1990), "The Tail Index of Exchange Rate Returns", Journal of International Economics, 29(1-2), 93-108.

Koedijk, K.G., P.A. Stork and C.G. de Vries (1992), "Differences between Foreign Exchange Rate Regimes: the View from the Tails", Journal of International Money and Finance, 11 (5), 462-473.

Krugman, P. (1979), "A Model of Balance-of-Payments Crises", Journal of Money, Credit and Banking, 11(3), 311-325.

Krugman, P. and J. Rotemberg (1992), "Speculative Attacks on Target Zones", in P. Krugman and M. Miller, editors, Exchange Rate Target and Currency Bands, Cambridge University Press, Cambridge, 117-132.

Lestano and J.P.A.M. Jacobs (2002), "Dating Asian Currency Crises 1970-2002: a Comparison of Method", Mimeo, Department of Economics, University of Groningen, The Netherlands.

Longin, F. and B. Solnik (2001), "Extreme Correlation of International Equity markets", Journal of Finance, 56(2), 649-676.

Marchesi, S. (2003), "Adoption of an IMF Programme and Debt Rescheduling", Journal of Development Economics, 70(2), 403-423.

Nagayasu, J. (2001), "Currency Crisis and Contagion: Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand", Journal of Asian Economics, 12(4), 529-546.

Oskooee, M.B. and D.J. Bernstein (1999), "Exchange Rate Market Pressure during the Current Managed Float", Applied Economics Letters, 6(9), 585-588.

Pentecost, EJ., A. van Poeck, and C. van Hooydonk (2001), "Measuring and Estimating Exchange Market Pressure in the EU", Journal of International Money and Finance, 20(3), 401-418.

Pozo, S. and C. Amuedo-Dorantes (2003), "Statistical Distributions and the Identification of Currency Crises", Journal of International Money and Finance, 22(4), 591-609.

Rigobon, R. (2002), International Financial Contagion: Theory and Evidence in Evolution, Monograph, Research Foundation of Association for Investment Management and Research, Virginia.

Salant, S.W. and D. W. Henderson (1978), "Market Anticipations of Government Policies and the Price of Gold", Journal of Political Economy, 86(4), 627-648.

Weymark, D.N. (1997), "Measuring the Degree of Market Exchange Intervention in A Small Open Economy", Journal of International Money and Finance, 16(1), 55-79.

Zhang, Z. (2001), "Speculative Attacks in the Asian Crisis", IMF Working Paper 189, International Monetary Fund, Washington, D.C.

Article Metrics

Abstract view(s): 364 time(s)
PDF: 159 time(s)

Refbacks

  • There are currently no refbacks.