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Exchange Rate Dynamic Models for the Transitional Phase
Abstract The exchange rate behaviors during currency crises and transitional phase are difficult to be explained by exchange rate theories based on equilibrium and no-arbitrage. This paper establishes a linear dynamic model and a cusp catastrophe model, which apply to the Asian Currency Crisis in 1997-1998. The conclusions show that the equilibrium is asymptotic stable for crisis victims in the transitional phase;After normalization of exchange rate data,two different modes of exchange rate system response to the input are summarized; Nonlinear cusp catastrophe model simulates the observed behaviors of exchange rate more accurately; It’s verified that except for Thailand Baht, happened has the catastrophe of currency prices of Philippine, Malaysia, Korea and Indonesia in the transitional phase.
Keywords Currency Crises Exchange Rate Dynamic Models Cusp Catastrophe