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Journal of Theoretical and Computational Studies
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OMORI'S LAW AND THE PROPAGATION OF MONETARY CRISIS IN THE SOUTHEAST ASIAN COUNTRIES

T. Mart

Departemen Fisika, FMIPA, Universitas Indonesia, Depok 16424, Indonesia

Abstract
We report on our analysis of the available historical currency exchange rates from 10 Southeast Asian countries. We use Omori's law to precisely locate the time position when these currencies started to collapse. The result of our analysis corroborates the finding of previous investigation by Lillo and Mantegna that the returns exceeding certain thresholds can be nicely described by a power law function analogous to the Omori's law. Furthermore, in contrast to common believe, we found that the monetary crisis in this region was not started in Thailand. We estimate that the sign of the monetary crisis had been previously alarmed by the Kyat (the Myanmar currency) two years before the crisis propagated to Thailand. The propagation of the crisis is found to be different from the results of previous studies.

Publication : J. Theor. Comput. Stud. Proceeding Supplement 7 (2007) 0401 » page of Content
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Full paper : open license in format PDF (722.206 byte)
Contact : T. Mart
Additional info : 7 pages, language English » accessed 18.320 times

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