Generally a currency crisis is defined to occur if an index of currency pressure exceeds a threshold. This paper compares currency crisis dating methods. For two definitions of currency pressure we contrast ad hoc and extreme value-based thresholds. We illustrate the methods with data of six East Asian countries for the January 1970-December 2002 period, and evaluate the methods on the basis of the IMF chronology of the Asia crisis in [1997][1998][1999] NON-TECHNICAL SUMMARYRecently, several countries experienced large currency depreciations as well as collapses of the financial and productive sector. This triggered many empirical studies on signalling future currency crises as well as studies that look for evidence of the propagation of crises by tracking shifts in correlations and testing contagion channels. Identifying currency crisis episodes plays a crucial role in these empirical studies.Generally, a currency crisis is defined to occur if an index of currency pressure exceeds a threshold. Eichengreen et al. (1995Eichengreen et al. ( , 1996 made an early effort to identify currency crisis episodes. They take changes in exchange rates, international reserves and interest rates to capture successful as well as unsuccessful speculative attacks. These variables are combined into an index of speculative pressure known as Exchange Market Pressure Index EMPI. Kaminsky et al. (1998) followed the concept of Eichengreen et al. fairly closely, but excluded interest rate differentials in their index. The ad hoc threshold is in terms of a number of standard deviations above the mean. The other method, extreme value, exploits the information in the tails of the distribution of the index.The objective of this paper is to compare these two currency crisis dating methods with respect to the choice of the threshold. We use data on six Asian countries, Indonesia, Malaysia, Philippines, Singapore, South Korea and Thailand, for the period between January 1970 and December 2002. We analyse how many currency crisis episodes are identified and show distributions over time. In general, extreme value theory identifies more or less the same number of crisis episodes as ad hoc thresholds equal to two standard deviations.

a b s t r a c tFinancial crises are high cost events which can transmit across international borders. Using data from 1883 to 2008, this article develops a means of mapping changes in the degree of international synchronisation of banking and currency crises through a formal concordance index. This index specifically accounts for the typically low incidence and potential serial correlation of crisis data. The results show that banking crises were highly internationalised at the beginning of the 20th century, and became far less so in the strong regulatory environment prevailing after the Depression until the 1980s. A strong increase in the synchronicity of international banking crises is revealed during the late 20th and early 21st century. Currency crises began the century as more idiosyncratic, but have tended to become more synchronised over the 115 year sample.

This paper examines the dynamic relationship between stock returns and exchange rate changes using daily data from January 3, 1994-September 27, 2013 for six East Asian countries: Indonesia, Malaysia, the Philippines, Singapore, South Korea and Thailand. We estimate conditional correlations using the multivariate GARCH-DCC model in order to disclose the relationship between stock markets and foreign exchange markets. This is important for understanding financial stability. The estimation results reveal time varying correlations in the pre and post Asian crisis and the Global Financial Crisis periods for all countries. The correlations are stronger when the crisis intensifies. The degree of interdependence between both markets reflects a mutually markets response to shocks and changes in policy.