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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Extremal Analysis of Currency Crises in Taiwan, Applied Economics


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62003


    Title: Extremal Analysis of Currency Crises in Taiwan, Applied Economics
    Authors: Ho TK
    教師: 何泰寬
    Date: 2008
    Publisher: Taylor & Francis
    Relation: Applied Economics ,Taylor & Francis, Vol.40, No 9, 2008年5月
    Keywords: INDEX
    RISK
    REGIME
    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.
    URI: http://www.tandf.co.uk/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62003
    Appears in Collections:[計量財務金融學系] 期刊論文

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