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Is There a Causal Link between Currency and Debt Crises?

Dreher, Axel; Herz, Bernhard; Karb, Volker - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005408199

Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads

Dailami, Mansoor; Masson, Paul; Padou, Jean Jose - EconWPA - 2005

We offer evidence in this paper that US interest rate policy has an important influence in the determination of credit spreads on emerging market bonds over US benchmark treasuries, and therefore on their cost of capital. Our analysis improves upon the existing literature and understanding, by...

Persistent link: https://www.econbiz.de/10005556582

Private and Public Information in Self-Fulfilling Currency Crises

Bannier, Christina E. - EconWPA - 2003

This paper analyses the implications of information dissemination on currency crises in models with self-fulfilling expectations. Following Morris/Shin (1999, 2000), we introduce noisy private and public information, so that under certain conditions for the noise parameters a unique equilibrium...

Persistent link: https://www.econbiz.de/10005408151

Indicators of financial crises do work! An early-warning system for six Asian countries

Lestano; Jacobs, Jan; Kuper, Gerard H. - EconWPA - 2004

Indicators of financial crisis generally do not have a good track record. This paper presents an early warning system for six countries in Asia, in which indicators do work.We distinguish three types of financial crises, currency crises, banking crises and debt crises, and extract four groups of...

Persistent link: https://www.econbiz.de/10005408159

Currency crises in Asia: A multivariate logit approach

Jacobs, Jan P.A.M.; Kuper, Gerard H.; Lestano - EconWPA - 2004

Indicators of financial crisis generally do not have a good track record. This paper presents an early warning system (EWS) for six countries in Asia in which indicators do work. Our binary choice model, which has been estimated for the period 1970:01–2001.12, has the following features. We...

Persistent link: https://www.econbiz.de/10005119432

Indicators of financial crises do work! An early-warning system for six Asian countries

Lestano; Jacobs, Jan; Kuper, Gerard H. - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005119472

Indices de vulnérabilité au créancier bancaire commun.

Elise, MARAIS - EconWPA - 2004

L’objet de cet article est de mener une étude empirique sur l’effet de créancier bancaire commun à l’aide d’indices de vulnérabilité calculés à partir des données de la BRI afin de montrer une vulnérabilité à un retournement des capitaux bancaires à la veille des crises...

Persistent link: https://www.econbiz.de/10005125507

The Brazilian Currency Turmoil of 2002: A Nonlinear Analysis

Goretti, Manuela - EconWPA - 2005

2002. We test for financial contagion from the Argentine crisis and the impact of factors including IMF intervention and …

Persistent link: https://www.econbiz.de/10005125532

TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS

caporale, gulielmo maria; cipollini, rea; spagnolo, nicola - EconWPA - 2004

In this paper we test for contagion within the East Asian region, contagion being defined as a significant increase in … omitted variable respectively. The null of interdependence against the alternative of contagion is then tested as an over … corresponding to the beginning of the contagion period, and finally we impose more plausible restrictions in order to identify the …

Persistent link: https://www.econbiz.de/10005408168

La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique

Elise, MARAIS - EconWPA - 2004

Cet article a pour objet d’´etudier empiriquement le ph´enom`ene de contagion lors de la crise asiatique de 1997 …

Persistent link: https://www.econbiz.de/10005408190