Jotzo, Frank

The Australian National University

ASIA PACIFIC SCHOOLOF ECONOMICS AND MANAGEMENT________________________________________________________________________Asia Pacific Presshttp://ncdsnet.anu.edu.au/Asia Pacific Schoolof Economics and ManagementW O R K I N G  P A P E R Sdevelopment issuesFigures:The Asian currency crisis: lessonsfor an early warning systemFrank JotzoDI99-1aFigures 1a-1e: Nominal exchange ratesSource: DatastreamNominal exchange rate: Indonesia 0200040006000800010000120001400016000180007/1/97 8/19/97 10/7/97 11/25/97 1/13/98 3/3/98 4/21/98 6/9/98Rupiah/US$Nominal exchange rate: Thailand01020304050605/1/975/21/976/10/976/30/977/18/978/7/978/27/979/16/9710/6/9710/24/9711/13/9712/3/9712/23/971/12/981/30/982/19/983/11/983/31/984/20/98Baht/US$FIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999  1 Source: DatastreamSource: IMF - International Financial StatisticsNominal exchange rate: Mexico01234567811/1/94 12/15/94 1/30/95 3/15/95 4/28/95 6/13/95 7/27/95 9/11/95 10/25/95Peso/US$Nominal exchange rate: Chile010203040506070809082 M482 M682 M882 M1082 M1283 M2Peso/US$Nominal exchange rate: Mexico00.010.020.030.040.050.060.070.080.090.181M1282M282M482M682M882M10Peso/US$FIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999  2 Figures 2 a-2b: Relative nominal exchange ratesSource: Datastream, author's calculationsRelative exchange rates: Indonesia and Thailand050100150200250300350400450500-11 -8 -5 -2 1 4 7 10 13 16 19 22 25 28 31 34 37 40Time (weeks before/after start of crisis)Index (100 in t=-1)Indonesian RupiahThai BahtRelative exchange rates: Latin America050100150200250300350400-11 -8 -5 -2 1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46Time (weeks before/after start of crisis)Index (100 in t=-1)Mexican Peso 1982Mexican Peso 1994Chilean PesoArgentinian PesoFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 3Figures 3 a-3c: ReservesSource: IMF - International Financial Statistics (Total Reserves at end of period, IFS 1 L)Reserves: Indonesia and Thailand050001000015000200002500030000350004000045000May-95Jul-95Sep-95Nov-95Jan-96Mar-96May-96Jul-96Sep-96Nov-96Jan-97Mar-97May-97Jul-97Sep-97Nov-97Jan-98Mar-98US$ Mio.IndonesiaThailandReserves: Mexico and Argentina05000100001500020000250003000035000Jan-93Mar-93May-93Jul-93Sep-93Nov-93Jan-94Mar-94May-94Jul-94Sep-94Nov-94Jan-95Mar-95May-95Jul-95Sep-95Nov-95US$ Mio.MexicoArgentinaFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 4Source: IMF - International Financial Statistics (Total Reserves at end of period, IFS 1 L)Figures 4a-4d: Real Exchange Rates (JP Morgan series)Reserves: Mexico and Chile050010001500200025003000350040004500Apr-80Jun-80Aug-80Oct-80Dec-80Feb-81Apr-81Jun-81Aug-81Oct-81Dec-81Feb-82Apr-82Jun-82Aug-82Oct-82Dec-82Feb-83US$ Mio.MexicoChileIndonesia and Thailand80859095100105110115Jan-92May-Sep-Jan-93May-Sep-Jan-94May-Sep-Jan-95May-Sep-Jan-96May-Sep-Jan-97May-Sep-RER Index (100 in 1990)IndonesiaThailandFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 5Mexico and Argentina8090100110120130140150Jan-90Apr-90Jul-90Oct-90Jan-91Apr-91Jul-91Oct-91Jan-92Apr-92Jul-92Oct-92Jan-93Apr-93Jul-93Oct-93Jan-94Apr-94Jul-94Oct-94Jan-95Apr-95RER Index (100 in 1990)MexicoArgentinaMexico and Chile708090100110120130Jan-77May-Sep-Jan-78May-Sep-Jan-79May-Sep-Jan-80May-Sep-Jan-81May-Sep-Jan-82May-Sep-RER Index (100 in 1980) MexicoChileFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 6Relative Real Exchange Indices60708090100110120-36-34-32-30-28-26-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4Time (months before/after start of crisis)Index (100 in t=-1)Indonesia Mexico 1994ChileFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 7Figures 5 a-5c: Value of exports Source: IMF - International Financial Statistics (70 D)Value of Exports: Mexico and Argentina0100020003000400050006000Jan-91Apr-91Jul-91Oct-91Jan-92Apr-92Jul-92Oct-92Jan-93Apr-93Jul-93Oct-93Jan-94Apr-94Jul-94Oct-94Jan-95Apr-95Jul-95Oct-95$US million per monthArgentinaMexicoValue of Exports: Indonesia and Thailand0100020003000400050006000Jan-92May-Sep-Jan-93May-Sep-Jan-94May-Sep-Jan-95May-Sep-Jan-96May-Sep-Jan-97May-Sep-Jan-98$US million per monthThailandIndonesiaValue of Exports: Mexico and Chile05001000150020002500Jan-78Apr-78Jul-78Oct-78Jan-79Apr-79Jul-79Oct-79Jan-80Apr-80Jul-80Oct-80Jan-81Apr-81Jul-81Oct-81Jan-82Apr-82Jul-82Oct-82Jan-83Apr-83Jul-83Oct-83$US million per monthChileMexicoFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 8Figures 6 a-6f: Export GrowthSource: IMF - International Financial Statistics (70 D), author's calculationsExport Growth: Indonesia-10-505101520253035Feb-92Jun-92Oct-92Feb-93Jun-93Oct-93Feb-94Jun-94Oct-94Feb-95Jun-95Oct-95Feb-96Jun-96Oct-96Feb-97Jun-97Oct-97Growth in % on previous year3-month moving averageExport Growth: Thailand-10-505101520253035Feb-92Jun-92Oct-92Feb-93Jun-93Oct-93Feb-94Jun-94Oct-94Feb-95Jun-95Oct-95Feb-96Jun-96Oct-96Feb-97Jun-97Growth in % on previous year3-month moving averageFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 9Source: IMF - International Financial Statistics (70 D), author's calculationsExport Growth: Mexico 1994-20-100102030405060Feb-89Jun-89Oct-89Feb-90Jun-90Oct-90Feb-91Jun-91Oct-91Feb-92Jun-92Oct-92Feb-93Jun-93Oct-93Feb-94Jun-94Oct-94Feb-95Jun-95Oct-95Growth in % on previous year3-month moving averageExport Growth: Argentina-20-100102030405060Feb-89Jun-89Oct-89Feb-90Jun-90Oct-90Feb-91Jun-91Oct-91Feb-92Jun-92Oct-92Feb-93Jun-93Oct-93Feb-94Jun-94Oct-94Feb-95Jun-95Oct-95Growth in % on previous year 3-month moving averageFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 10Source: IMF - International Financial Statistics (70 D), author's calculationsExport Growth: Mexico 1982-40-20020406080100Feb-78Jun-78Oct-78Feb-79Jun-79Oct-79Feb-80Jun-80Oct-80Feb-81Jun-81Oct-81Feb-82Jun-82Oct-82Feb-83Jun-83Oct-83Growth in % on previous year3-month moving averageExport Growth: Chile-40-20020406080100Feb-78Jun-78Oct-78Feb-79Jun-79Oct-79Feb-80Jun-80Oct-80Feb-81Jun-81Oct-81Feb-82Jun-82Oct-82Feb-83Jun-83Oct-83Growth in % on previous year3-month moving averageFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 11Figures 7 a-7b: Ratio of domestic credit to GDPSources: IMF - International Financial Statistics (32/99B) and World Bank - World Tables (L66T)Indonesia and Thailand0.000.200.400.600.801.001.201.401982198319841985198619871988198919901991199219931994199519961997Domestic credit/GDPThailandIndonesiaLatin American countries0.000.200.400.600.801.001.201.4019751977197919811983198519871989199119931995Domestic credit/GDPMexicoArgentinaChileThailand: Dom. Credit (nominal)4000000600000096 M196 M496 M796 M1097 M197 M497 M797 M10Baht MFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 12Figures 8 a-8e: Structure of external debtShort-term debt: external debt with maturities under one yearSources:World Bank - Global Development Finance,World Debt TablesIndonesia0.005.0010.0015.0020.0025.0030.0019821984198619881990199219941996% of total external debtThailand0.0010.0020.0030.0040.0050.0060.0019821984198619881990199219941996% of total external debtMexico0.005.0010.0015.0020.0025.0030.0035.0019751977197919811983198519871989199119931995% of total external debtArgentina0.005.0010.0015.0020.0025.001983198519871989199119931995% of total external debtChile0.0010.0020.0030.0040.0050.0060.0019751977197919811983198519871989199119931995% of total external debtFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI-991c Asia Pacific Press 1999 13Table 9 a-9d: Stock market indicesStock Market Index - Indonesia020406080100120140Dec-94Mar-95Jun-95Sep-95Dec-95Mar-96Jun-96Sep-96Dec-96Mar-97Jun-97Sep-97Dec-97Mar-98Total MarketFinancialsharesStock Market Index - Thailand050100150200250300350400Jan-95Apr-95Jul-95Oct-95Jan-96Apr-96Jul-96Oct-96Jan-97Apr-97Jul-97Oct-97Jan-98Apr-98total marketfinancialsharesFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI-991c Asia Pacific Press 1999 14Source: DatastreamStock Market Index - Mexico020406080100120140Dec-92Feb-93May-93Aug-93Nov-93Jan-94Apr-94Jul-94Oct-94Dec-94Mar-95Jun-95Sep-95Nov-95Total marketFinancialsharesStock Market Index - Argentina020406080100120140160180200Aug-93Oct-93Dec-93Mar-94May-94Jul-94Sep-94Dec-94Feb-95Apr-95Jul-95Sep-95Nov-95Jan-96Total marketFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI-991c Asia Pacific Press 1999 15Figure 10: Relative stock market indicesStock Market Indices050100150200250300-76-70-64-58-52-46-40-34-28-22-16-10 -4 2 8 14 20 26Time (weeks before/after start of crisis)Index (100 in t=-1)JakartaBangkokMexico CityBuenos AiresThailaArgentiMexiIndoneFIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 16Figures 11 a-11d: Portfolio investment inflowsSource: IMF-IFS, author's calculations. IFS data codes: Portfolio investment liabilities - total, 78bgd; equity securities, 78bmd; debt securities, 78bnd.Indonesia: Quarterly portfolio investment inflows-1000-5000500100015002000250093 Q193 Q293 Q393 Q494 Q194 Q294 Q394 Q495 Q195 Q295 Q395 Q496 Q196 Q296 Q396 Q497 Q197 Q297 Q397 Q4US$ millionTotalEquity securitiesDebt securitiesThailand: Quarterly portfolio investment inflows-1000-500050010001500200025003000350089 Q189 Q390 Q190 Q391 Q191 Q392 Q192 Q393 Q193 Q394 Q194 Q395 Q195 Q396 Q196 Q397 Q197 Q3US$ millionTotalEquity securitiesDebt securities FIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 17Source: IMF-IFS, author's calculations. IFS data codes: Portfolio investment liabilities - total, 78bgd; equity securities, 78bmd; debt securities, 78bnd.Mexico: Quarterly Portfolio investment inflows-7000-5000-3000-1000100030005000700090001100089 Q189 Q390 Q190 Q391 Q191 Q392 Q192 Q393 Q193 Q394 Q194 Q395 Q195 Q396 Q196 Q397 Q1US$ millionTotalEquity securitiesDebt securitiesArgentina: Quarterly portfolio investment inflows-100001000200030004000500060007000800089 Q189 Q390 Q190 Q391 Q191 Q392 Q192 Q393 Q193 Q394 Q194 Q395 Q195 Q396 Q196 Q397 Q197 Q3US$ millionTotal FIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 18Table 12Euromoney Country Risk RatingsPartial indicators (score out of 10; higher score: 'better')Economic Performance (Projection for 2 years)Political risk (expert survey, average of assessments)Credit ratings (based on rating agencies' country risk ratings)Ranks: overall assessment (lower: 'better'); no. of countries, March 1997: 179IndonesiaIssue Rank Ec. PerformancePolitical riskCredit ratingsSep-92 40 7.7 6.3 3.1Mar-93 41 7.1 7.0 3.1Sep-93 42 7.6 6.7 3.1Mar-94 43 6.4 6.5 3.1Sep-94 40 7.5 6.8 3.1Mar-95 40 7.2 6.6 3.1Sep-95 35 7.7 6.5 3.5Mar-96 39 7.6 6.5 4.7Sep-96 41 7.3 6.2 4.7Mar-97 43 7.2 6.3 4.7Sep-97 43 7.2 5.6 4.2Dec-97 49 6.4 5.8 4.4ThailandIssue Rank Ec. PerformancePolitical riskCredit ratingsSep-92 36 8.7 6.8 5.8Mar-93 34 8.6 7.7 5.8Sep-93 32 8.4 6.7 5.8Mar-94 28 8.1 7.7 5.8Sep-94 27 8.6 7.4 5.8Mar-95 30 8.2 7.3 6.2Sep-95 27 8.5 7.3 6.2Mar-96 26 8.4 7.2 6.9Sep-96 30 8.0 6.4 6.9Mar-97 34 7.6 6.7 6.9Sep-97 46 5.2 6.0 6.3Dec-97 51 5.6 5.6 5.3FIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 19Table 12 continuedEuromoney Country Risk RatingsMexicoIssue Rank Ec. PerformancePolitical riskCredit ratingsSep-92 45 6.8 6.9 1.9Mar-93 46 6.5 6.6 1.9Sep-93 48 6.9 6.7 1.9Mar-94 46 5.3 5.9 1.9Sep-94 44 6.2 6.2 2.3Mar-95 52 5.6 5.2 1.9Sep-95 57 5.1 4.7 1.5Mar-96 53 5.4 5.0 3.1Sep-96 52 6.3 4.6 3.1Mar-97 51 6.2 5.4 3.1Sep-97 51 6.5 5.2 2.7Dec-97 50 6.8 5.5 3.1ArgentinaIssue Rank Ec. PerformancePolitical riskCredit ratingsSep-92 54 5.4 5.3 2.3Mar-93 62 5.2 4.9 0.0Sep-93 55 6.0 5.5 0.0Mar-94 51 5.8 5.1 0.4Sep-94 49 5.7 5.6 0.4Mar-95 56 5.7 5.7 0.8Sep-95 61 5.8 4.1 0.8Mar-96 57 5.6 4.8 2.2Sep-96 54 6.2 4.8 2.2Mar-97 59 6.3 5.3 2.2Sep-97 52 6.8 5.3 2.2Dec-97 54 6.6 5.6 2.9Euromoney Country Risk Rating - Methodology (March 1997)Factor Weight DesciptionEconomic 25 % 2-year projection of overall economic performancePerformance Survey result (ca. 20-40 "economists at leading  financial and economic institutions")Political 25 % "The risk of non-payment or non-servicing of risk  payment (…) and the non-repatriation of capital"Survey result ("risk analysts, risk insurance brokers and bank credit officers")Credit 10 % Average of sovereign ratings ratings from Moody's, S&P and IBCASix other 40 % based on debt and finance dataindicators All indicators are presented as scores and have here been normalised to a scale of 0-10. The rankings are based on total scores.FIGURES: THE ASIAN CURRENCY CRISISAPSEM working papers, DI99-1c Asia Pacific Press 1999 20

The Asian currency crises: lessons for an early warning system

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