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A Simple Model of An International Lender of Last Resort
Huang, Haizhou; Goodhart, C. A. E. - International Monetary Fund (IMF) - 2000
liquidity, but with potential costs of international financial contagion. An ILOLR can play a useful role in providing … international liquidity and reducing international contagion. …
Persistent link: https://www.econbiz.de/10005248186
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Predicting Sovereign Debt Crises
Schimmelpfennig, Axel; Roubini, Nouriel; Manasse, Paolo - International Monetary Fund (IMF) - 2003
We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota. By means of logit and binary recursive...
Persistent link: https://www.econbiz.de/10005248202
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Contagion, Monsoons, and Domestic Turmoil in Indonesia; A Case Study in the Asian Currency Crisis
Saxena, Sweta Chaman; Cerra, Valerie - International Monetary Fund (IMF) - 2000
shocks (“monsoons”), or contagion from neighboring countries. Markov-switching models attribute speculative pressure on … Indonesia’s currency to domestic political and financial factors and contagion from speculative pressures in Thailand and Korea … probabilities improves the conditional probabilities of crisis in Indonesia. There is also evidence of contagion in the stock market. …
Persistent link: https://www.econbiz.de/10005248271
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Currency Crisis and Contagion; Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand
Nagayasu, Jun - International Monetary Fund (IMF) - 2000
This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral...
Persistent link: https://www.econbiz.de/10005263754
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Managing Confidence in Emerging Market Bank Runs
Mody, Ashoka; Kim, Se-Jik - International Monetary Fund (IMF) - 2004
distressed banks create contagion. …
Persistent link: https://www.econbiz.de/10005263784
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Managing Financial Crises; The Experience in East Asia
Lane, Timothy D.; Hamann, A. Javier; Schulze-Gattas, … - International Monetary Fund (IMF) - 2000
The Asian financial crisis of 1997-98 was one of the most dramatic economic events of recent times, which raised many questions regarding the appropriate policy response to financial crises. This paper reviews the experience of this crisis, focusing on the overall strategy of crisis management...
Persistent link: https://www.econbiz.de/10005263845
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Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003
contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not … require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from … structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work …
Persistent link: https://www.econbiz.de/10005263948
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Moral Hazard and International Crisis Lending: A Test
Dell'Ariccia, Giovanni; Zettelmeyer, Jeromin; Schnabel, … - International Monetary Fund (IMF) - 2002
We test for the existence of a moral hazard effect attributable to official crisis lending by analyzing the evolution of sovereign bond spreads in emerging markets before and after the Russian crisis. The nonbailout of Russia in August 1998 is interpreted as an event that decreased the perceived...
Persistent link: https://www.econbiz.de/10005263951
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Output Response to Currency Crises
Sahay, Ratna; Mishra, Deepak; Gupta, Poonam - International Monetary Fund (IMF) - 2003
This paper analyzes the behavior of output during currency crises using a sample of 195 crisis episodes in 91 developing countries during 1970-98. It finds that more than two-fifths of the crises in the sample were expansionary, and that output contraction was greater in large and more developed...
Persistent link: https://www.econbiz.de/10005263977
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Central Bank Involvement in Banking Crises in Latin America
Jácome, Luis Ignacio - International Monetary Fund (IMF) - 2008
This paper reviews the nature of central bank involvement in 26 episodes of financial disturbance and crises in Latin America from the mid-1990s onwards. It finds that, except in a handful of cases, large amounts of central bank money were used to cope with large and small crises alike. Pouring...
Persistent link: https://www.econbiz.de/10005264086