2 e D

Transcription

1 Æ }

2 2 e D

3 S. 9 :

4

5

6 W W W " f 3j 34 _% _

7 3o 3o <" <" f f " f 3o 3o MU H 3j ; 4 w@3 Ãw@q w 4Ã w wãq wãq w wãq w w w w w w w w w

8 b 3o 3o <" <" f f " f 3o 3o MU < w w w u w qu w u qu w w w w w w

9 3j " f f 3o f f f f " f 3o 43 Æ

10 " A 3o f f " f 3o " f 3o 3o MU " f 3o 3o MU 44

11 A W W W 2 W 45

12 W 3j W

13 W 3j W W W W W W W W f f W o W o f W W W

14 W 3j 3j nj W 3j j *j E 3jK W W W W 3j *j A A EA 3jK 3j W 3j A 3j

15 W A W W W W A W W W W 46 Æ

16 e " f f 3o f W 3o W " A 3o A 3oA A A A A 47 Æ W w Æ Ãuw w w w w Æ w w

17 f f f D f S f f f f 48 49

18 W W W

19 f. f f f H 4: 4;

20 f f f f 3 W A W W W

21 W f f o o f W W

22 A A W f A f

23 f b W f f 4< 3 3

24 W A W W W W W A W 3o W W

25 W W 2f A W W A W 53 Æ Æ

26 A A W W A A A A W A A A

27 A A A A 2 W A 54 W W

28 f 22 55

29 " f 3o f f f f f f

30 W W W WW W W WWW WW W WW WWW

31

32

33 88 88

34 W

35 2e W W 57

36 2D 58

37 @?!?} W?_i Ãh?} W?_i

38 W 2S 59

39

40

41

42

43 3j 3j

44 Figure 1: Response to News about an Increase in Prospective Deficits Consumption, Real Balances 0.25 Inflation time time 0.6 Net Government Debt, Money Supply 1.15 Exchange Rate time time

45 Figure 2: Reverting To Floating Exchange Rates at Time Consumption, Real Balances 0.2 Inflation time time 0.58 Money Supply 1.2 Exchange Rate time time

46 Figure 3a: Effects of Varying Threshold Rule Parameter Ψ on the Time of the Attack µ Adjusted to Satisfy the Government s Present Value Constraint Growth Rate of Money 2.8 Time of the Attack Ψ Ψ

47 Figure 3b: Effects of Varying Threshold Rule Parameter Ψ on the Time of the Attack MT Adjusted to Satisfy the Government s Present Value Constraint MT/M 2.8 Time of the Attack Ψ Ψ

48 Figure 4 Nominal Exchange Rates Versus the U.S. Dollar Indonesia Korea Jun 97= The Philippines Jun 97= Malaysia Jun 97= Hong Kong Jun 97=100 Thailand Jun 97= Jun 97= Singapore Taiwan Province of China Jun 97= Jun 97= Each point represents a value, at the end of a month, of 100 S 6/97 /S t where S t is the number of local currency units per U.S. dollar at date t. Vertical lines represents crisis dates determined by the first month in which a large depreciation occurred. Source: IFS.

49 Figure 5 Central Bank Credit Extended to Banks Relative to Base Money Indonesia Korea Malaysia The Philippines Thailand Taiwan Province of China Each graph plots the value of credit extended by the central bank to commercial banks relative to the monetary base. Source: IFS except for Malaysia, for which the source is Bank Negara Malaysia.

50 Figure 6 Stock Market Indices and Crisis Dates Korea Jan-91 Jul-91 Jan-92 Jul-92 Jan-93 Jul-93 Jan-94 Jul-94 Jan-95 Jul-95 Jan-96 Jul-96 Jan-97 Jul-97 Feb-98 Jul-98 June 97=100 Thailand Jan-93 Jul-93 Jan-94 Jul-94 Jan-95 Jul-95 Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 June 97=100 Indonesia Jan-93 Jul-93 Mar-94 Sep-94 Mar-95 Sep-95 Feb-96 Aug-96 Feb-97 Aug-97 Feb-98 Jul-98 June 97=100 Malaysia Jan-93 Jul-93 Dec-93 Jul-94 Dec-94 Jul-95 Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 June 97=100 Philippines Jan-93 Jul-93 Jan-94 Jul-94 Jan-95 Jul-95 Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 June 97=100 Hong Kong Jan-93 Jul-93 Jan-94 Jul-94 Jan-95 Jul-95 Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 June 97=100 Singapore Jan-93 Jul-93 Dec-93 Jul-94 Dec-94 Jul-95 Jan-96 Jul-96 Jan-97 Jan-98 Jul-98 June 97=100 Taiwan Province of China Jan-93 Jul-93 Dec-93 Jun-94 Dec-94 Jul-95 Dec-95 Jul-96 Dec-96 Jun-97 Dec-97 Jul-98 June 97=100

51 The thin line represents the level of the stock market index for the finance sector (banking for Korea). The thick line represents the level of this index relative to a stock market index for the industrial (Hong Kong, Indonesia, Malaysia, Singapore), manufacturing (Korea), commerce (Philippines, Thailand) or steel (Taiwan) sector. The vertical lines represent crisis dates for each country. Source: Bloomberg. Note the different horizontal scale for Korea for illustrative purposes.