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A Model of Speculative Attacks and Devaluations in Korea and Indonesia

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Date
2009
Author
Lin, Austin Yi
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Abstract
Since the beginning of the Bretton Woods era, currency crises and speculative attacks have affected the world economy. This paper presents a model, originally derived by Blanco and Garber, that predicts one-period ahead probabilities of a currency devaluation and the expected exchange rate conditional on a devaluation. The analysis is then applied to Korea and Indonesia during the periods of 1960-1980 and 1969-1989, respectively. Despite numerous devaluations during both periods, all of the calculated probabilities of devaluation in the next period are close to zero for both Korea and Indonesia. However, it is promising that rises in predicted probabilities of devaluation are observed before actual devaluations for Indonesia.
Type
Honors thesis
Department
Mathematics
Permalink
https://hdl.handle.net/10161/1429
Citation
Lin, Austin Yi (2009). A Model of Speculative Attacks and Devaluations in Korea and Indonesia. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/1429.
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This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 United States License.

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