Titlebar

Export bibliographic data
Literature by the same author
plus on the publication server
plus at Google Scholar

 

The Interactions between Debt and Currency Crises : Common Causes or Contagion?

Title data

Herz, Bernhard ; Tong, Hui:
The Interactions between Debt and Currency Crises : Common Causes or Contagion?
Bayreuth : Universität Bayreuth , 2004 . - 42 S. - (Wirtschaftswissenschaftliche Diskussionspapiere der Universität Bayreuth, Rechts- und Wirtschaftswissenschaftliche Fakultät ; 17-03 )

Official URL: Volltext

Abstract in another language

In contrast to the well-known twin currency and banking crises the literature has so far neglected a second type of twin crises, the simultaneous occurrence of currency and debt crises. The decision of a government to devalue and/or to default is closely interlinked through the government's intertemporal budget constraint. In our empirical analysis we find some evidence that one-year lagged debt crisis strongly Granger causes currency crisis and two-year lagged currency crisis weakly Granger causes debt crisis. We find strong evidence that debt and currency crises have common fundamental causes. Low reserve over imports ratio, low domestic GDP growth rate, and low FDI over external debt ratio all increase the likelihood of debt and currency crises.

Further data

Item Type: Working paper, discussion paper
Institutions of the University: Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I > Chair Economics I - Univ.-Prof. Dr. Bernhard Herz
Faculties
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
Date Deposited: 18 May 2015 12:17
Last Modified: 04 Apr 2019 05:40
URI: https://eref.uni-bayreuth.de/id/eprint/13566