Dating currency crises with ad hoc and extreme value‐based thresholds: East Asia 1970–2002 [Dating currency crises]

Abstract Generally a currency crisis is defined to occur if an index of currency pressure exceeds a threshold. This paper compares currency crisis dating methods. For two definitions of currency pressure we contrast ad hoc and extreme value‐based thresholds. We illustrate the methods with data of six East Asian countries for the January 1970–December 2002 period, and evaluate the methods on the basis of the IMF chronology of the Asia crisis in 1997–1999. Copyright © 2007 John Wiley & Sons, Ltd.