Currency crises and the stock market: empirical evidence for another type of twin crisis
We explore the dependency between currency crises and the stock market in emerging economies. Our focus is two-fold. First, the risk of a currency crisis rises as the foreign stake in the domestic stock market increases. Successful economies with high capital flows into their booming stock markets especially are prone to stock market-induced currency crises. Second, we apply the dividend growth model to show that stock markets crash in the run-up to a currency crisis. This new type of twin crisis is empirically tested by employing a logit framework using quarterly data for 33 emerging economies for 1994Q1-2007Q4.
Year of publication: |
2011
|
---|---|
Authors: | Eichler, Stefan ; Maltritz, Dominik |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 43.2011, 29, p. 4561-4587
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Eichler, Stefan, (2011)
-
Currency crisis prediction using ADR market data: An options-based approach
Maltritz, Dominik, (2010)
-
The term structure of sovereign default risk in EMU member countries and its determinants
Eichler, Stefan, (2013)
- More ...