TY  - JOUR
AU  - Eichengreen,Barry
AU  - Rose,Andrew K.
AU  - Wyplosz,Charles
TI  - Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration  with Special Reference to the European Monetary System
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4898
PY  - 1994
Y2  - October 1994
UR  - http://www.nber.org/papers/w4898
L1  - http://www.nber.org/papers/w4898.pdf
N1  - Author contact info:
Barry Eichengreen
Department of Economics
University of California, Berkeley
549 Evans Hall 3880
Berkeley, CA 94720-3880
Tel: 510/642-2772
Fax: 510/643-0926
E-Mail: eichengr@econ.Berkeley.edu

Andrew K. Rose
Haas School of Business Administration
University of California, Berkeley
Berkeley, CA 94720-1900
Tel: 510/642-6609
Fax: 510/642-4700
E-Mail: arose@haas.berkeley.edu

Charles Wyplosz
Graduate Institute of International Studies
Avenue de la Paix 11a
1202 Geneva
Switzerland
Tel: 41 22 908 5946
Fax: 41 22 733 3049
E-Mail: charles.wyplosz@graduateinstitute.ch
AB  - 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.
ER  -