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Is there a causal link between currency and debt crises?

Title data

Dreher, Axel ; Herz, Bernhard ; Karb, Volker:
Is there a causal link between currency and debt crises?
In: International Journal of Finance & Economics. Vol. 11 (2006) Issue 4 . - pp. 305-325.
ISSN 1076-9307
DOI: https://doi.org/10.1002/ijfe.300

Abstract in another language

Though currency and debt crises quite often occur simultaneously, the links between these two types of crises are not well understood. We review how currency and debt crises could be related due to common causes, contagion effects from one crisis to the other, and complementary budget financing aspects. In an empirical analysis based on a panel of 80 countries over the period 1975–2000, we first investigate the determinants of each crisis separately. Then we estimate links between both crises employing instrumental variables techniques. We find that, while there is a negative lagged influence of currency crises on debt crises, currency crises significantly increase the risk of contemporaneous debt crises and vice versa.

Further data

Item Type: Article in a journal
Refereed: Yes
Keywords: Debt crises; currency crises; contagion
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: 02 Apr 2015 06:38
Last Modified: 02 Apr 2015 06:38
URI: https://eref.uni-bayreuth.de/id/eprint/9779