1. Extremal analysis of currency crises in Taiwan.
- Author
-
Ho, Tai-Kuang
- Subjects
CRISES ,NATIONAL currencies ,DEVALUATION of currency ,RANDOM variables ,MARKOV processes - Abstract
We employ extreme value theory to identify currency crises in Taiwan. The new approach is able to identify severe currency crises, and at the same time avoid the crisis-misclassification problem of Markov-switching models. Signal accounting indicates that currency crises in Taiwan are preceded by rapid expansion of domestic credit and other monetary aggregates, implying that financial excesses stressed by the third-generation crisis model are the main causes of these currency crises. [ABSTRACT FROM AUTHOR]
- Published
- 2008
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