Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System

51 Pages Posted: 10 Jul 2000 Last revised: 22 May 2022

See all articles by Barry Eichengreen

Barry Eichengreen

University of California, Berkeley; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Andrew Kenan Rose

University of California - Haas School of Business; NUS Business School; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Charles Wyplosz

University of Geneva - Graduate Institute of International Studies (HEI); Centre for Economic Policy Research (CEPR)

Date Written: October 1994

Abstract

This paper presents an empirical analysis of speculative attacks on pegged exchange rates in 22 countries between 1967 and 1992. We define speculative attacks or crises as large movements in exchange rates, interest rates, and international reserves. We develop stylized facts concerning the univariate behavior of a variety of macroeconomic variables, comparing crises with periods of tranquility. For ERM observations we cannot reject the null hypothesis that there are few significant differences in the behavior of key macroeconomic variables between crises and non-crisis periods. This null can be decisively rejected for non-ERM observations, however. Precisely the opposite pattern is evident in the behavior of actual realignments and changes in exchange rate regimes. We attempt to tie these findings to the theoretical literature on balance of payments crises.

Suggested Citation

Eichengreen, Barry and Rose, Andrew Kenan and Rose, Andrew Kenan and Wyplosz, Charles, Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System (October 1994). NBER Working Paper No. w4898, Available at SSRN: https://ssrn.com/abstract=226500

Barry Eichengreen (Contact Author)

University of California, Berkeley ( email )

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Andrew Kenan Rose

University of California - Haas School of Business ( email )

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Charles Wyplosz

University of Geneva - Graduate Institute of International Studies (HEI) ( email )

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HOME PAGE: http://heiwww.unige.ch/~wyplosz

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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