Modification of the ERW Index of Cross-Country Analysis：Application of Vector Autoregressive Extension of the STR
| Autor: | Chun-Yung Chen, 陳俊詠 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 In this study, we use EVSTAR[Banaian and Lo (2006)] to re-estimate speculative attack pressure index [Eichengreen et al. (1995,1996)]. Using monthly data from January 1990 to December 2008 for Asia-Pacific countries ─ Australia, Indonesia, Japan, South Korea, Malaysia, New Zealand, Philippines, Singapore, Thailand and non-Asia-Pacific countries ─Canada, Mexico, Turkey, interest rate, exchange rate and foreign exchange reserves data on the trends in between. We find that: 1. the main reason of causing speculative attack of countries, except Mexico, is changed in interest rates or in foreign exchange reserves, which Banaian and Lo (2006) said that the exchange rate is main potential factor of the cause of currency crisis are different; 2. adjustment speed of national currencies in the foreign exchange market are different. If adjustment speed is faster, the foreign exchange market adjust quickly, even though currency crisis doesn’t occurs. If adjustment speed is lower, market trading became much faster than usual when occur currency crisis, this maybe dealer who sell large national currency due to fear national currency appreciate. In addition, although re-estimate speculative attack pressure index is lowly correlated with speculative attack pressure index, the former have great relevance with the probability of currency crisis. This is very important for policy makers recognize the potential financial crises from historical macroeconomic data by EVSTAR |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|