Research Paper No. 655

IDENTIFYNG A CURRENCY CRISIS USING THRESHOLD AUTOREGRESSIONS: AUSTRALIA AND THE EAST ASIAN "MELTDOWN"

by

Olan Henry, Nilss Olekalns & Peter M. Summers

September 1998

Department of Economics. University of Melbourne. Parkville Victoria 3052 Australia

ABSTRACT

A two regime threshold autogressive model is fitted to a trade weighted index of the Australian real exchange rate in order to identify episodes of exchange rate crisis. We find strong evidence of a threshold in the growth rate of the real exchange reate, with the data being classified into two regimes. The first regime is consistent with an exchange rate crisis. There is no evidence to suggest that the recent Asian meltdown has led to the real exchange rate entering the crisis regime.
This mail form will be sent automatically to Department of Economics Administrative Staff and your request will be processed. Please fill in your Details below and Click On "Send Request" button when you are finished. Papers will be sent by post.

Please enter paper No :

Please enter paper title :

Please enter your name :

Please enter you postal address :

Please enter your e-mail address :