Siregar, Reza and Pontines, Victor and Mohd Hussain, Nurulhuda (2010): The US Subprime Crises and Extreme Market Pressures in Asia.
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The primary objective of this study is to examine the evidence of occurrences of extreme market pressure of currencies of a number of Asian economies against the US dollar during the period of 2000-2009. In particular, we are interested in investigating the severity of these pressures during the recent US sub-prime crisis of 2007-2009. Were the currencies of these economies subjected to indiscriminate selling pressures during the period of the crisis? Was the heightened severity of the selling pressures associated with a particular event during the subprime crisis, such as the collapse of the Lehman Brothers? Our findings confirm the globally indiscriminate impacts of the sub-prime crisis on the countries examined and the greatest impact was felt and experienced by these economies around the time of the Lehman-Brothers’ collapse during the last quarter of 2008. Our findings offer far-reaching implications in terms of the linkages between macroeconomic and financial stability.
|Item Type:||MPRA Paper|
|Original Title:||The US Subprime Crises and Extreme Market Pressures in Asia|
|Keywords:||Currency Crisis; Exchange Market Pressure; SEACEN; Extreme Value Theory|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Reza Yamora Siregar|
|Date Deposited:||04. Jun 2010 20:20|
|Last Modified:||14. Feb 2013 20:12|
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