at Google ScholarTitle 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
)
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 > Former Professors > Chair Economics I - International Economics and Finance - 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 - International Economics and Finance Faculties > Faculty of Law, Business and Economics > Department of Economics > Former Professors |
| Result of work at the UBT: | Yes |
| DDC Subjects: | 300 Social sciences > 330 Economics |
| Date Deposited: | 18 May 2015 12:17 |
| Last Modified: | 05 Sep 2023 10:14 |
| URI: | https://eref.uni-bayreuth.de/id/eprint/13566 |