This article uses a crisis index based on an average of the variations in currency and financial crises indicators, referred to as “twin crises”, adjusting them to the same volatility. Thus, the objective is to measure the degree of vulnerability to twin crises within a group of 19 countries...

During the last crisis, developed economies' sovereign Credit Default Swap (hereafter CDS) premia have gained in importance as a tool for approximating credit risk. In this paper, we fit a dynamic factor model to decompose the sovereign CDS spreads of ten OECD economies into three components: a...

In this paper we first trace the changing nature of banking, currency and debt crises from the last century to the present. Each type of crisis has transmogrified in the presence of official intervention and the creation of a safety net. A similar pattern is observed for international rescue...

Empirically, currency crises are more frequently accompanied by simultaneous sovereign debt crises than by banking crises. Nevertheless the phenomenon of twin currency and debt crises has so far been treated in economic literature only sparsely. We analyse the optimal policy of a government that...

Empirically, currency crises are more frequently accompanied by sovereign debt crises than by banking crises. Nevertheless the phenomenon of twin currency and debt crises has so far been neglected in economic literature. We analyze the optimal policy of a government that may choose and combine...

This paper examines the contagion of the eurozone debt crisis to developed and emerging stock markets around the world. Using the VAR methodology, and changes in sovereign bond yields and stock returns of the crisis countries as proxies for the eurozone debt crisis, this paper finds strong and...

The financial crisis that has been wreaking havoc in markets across the world since August 2007 had its origins in an asset price bubble that interacted with new kinds of financial innovations that masked risk; with companies that failed to follow their own risk management procedures; and with...

The COVID-19 crisis, which has sent economies in South Asia and around the world into a deep recession, has highlighted South Asia's rising debt levels and sizable hidden liabilities. State-owned enterprises, state-owned commercial banks, and public-private partnerships have been at the center...