Extremal analysis of currency crises in Taiwan
Journal
Applied Economics
Journal Volume
40
Journal Issue
9
Pages
1175-1186
Date Issued
2008
Author(s)
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.
SDGs
Type
journal article