NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Barry Eichengreen, Andrew K. Rose, Charles Wyplosz

NBER Working Paper No. 4898
Issued in October 1994
NBER Program(s):   IFM   ME

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.

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Document Object Identifier (DOI): 10.3386/w4898

Published:

  • Economic Policy, October 1995 ,
  • The New Transatlantic Economy, Canzoneri, Matthew, William Ethier and Vittorio Grilli, eds., Cambridge: Cambridge University Press, 1996.

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