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This volume presents six monographs of currency crisis episodes in two Latin American countries in 1994-1995 (Mexico and Argentine) and four Asian countries in 1997-1998 (Thailand, Malaysia, Indonesia, and Korea). The Asian part of this volume is supplemented with a short comparative note, commenting these four monographs. All the studies were prep...
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... Malaysian banks' growth of equity purchase financing grew from 4 to 20%, while growth of manufacturing sector credits fell from 30 to 14% in mid 1990s (Sasin, 2001a). Thai finance companies were strongly engaged in real estate speculation, which was the direct cause of their troubles in 1H1997 (Antczak, 2001). While in principle there is no strong reason why equity-financed investments should be inferior to debt-financed corporate expansion, one could argue that equity speculation is more likely to stimulate short-term debt. ...
The thesis investigates the importance of international liquidity for currency crisis gener-ation, prevention and costs. It includes a case study of the main 1990s currency crises, a model of policymaker optimising foreign exchange reserve stock with respect to its al-ternative costs, its impact on currency crisis probability and expected damage related to the currency collapse. An attempt is also made at matching revealed policymakers’ crisis aversion with real-life output losses related to currency crises. International liquidity played significant, albeit very rarely dominant role in the crises of the 1990s. The excep-tions included Korea, Thailand and, possibly, Mexico. Calibration and application of the reserve stock optimisation model showed that most of the emerging markets policymak-ers are prepared to suffer considerable annual costs of maintaining their official reserves. On average, the central banks in the sample spent 0.3% of GDP annually on their reserve holdings. The implied aversion to crises (expected crisis cost) was about 9% of GDP. In case of some of the countries, prospective currency crisis would have to cost (in terms of both forgone output and reputation) over 20% of GDP in order for their 0.9% of GDP annual investment in reserves stock to pay back. This is far more than the estimated av-erage output loss of 2.3% of GDP in the past currency crises. The article underscores that the quasi-fiscal costs of keeping war-chests of international liquidity are considera-ble enough to justify cooperation between governments and central banks on a more ac-tive foreign debt and liquidity management policy.
This chapter analyzes the interrelations between exchange rate regimes and episodes of currency crises in the 1990s. We start from a general discussion on which regime is best for emerging-market economies (Sections 4.1). The costs of a sudden change in exchange-rate regime under speculative pressure are analyzed in Section 4.2. This is followed by a series of case studies in Section 4.3. Section 4.4 attempts to quantify the influence of different factors on the duration of an exchange-rate peg using a logit analysis. Section 4.5 offers conclusions.
While the most recent studies on currency crises have tended to concentrate on Latin America and Asia, the main objective of this chapter and the entire volume is to expand this analysis to the countries of Central and Eastern Europe and the former Soviet Union.1
Küreselleşmenin bir sonucu olarak ülkeler arasında sınırların ortadan kalkması,
piyasalar arası finansal ilişkilerde yoğunluk ve serbestliği de beraberinde getirmiştir. Bu
serbestleşme piyasalarda yaşanan şokların ülkelerarası transferine olanak sağlayan bir
yapı ortaya çıkartmıştır. Ekonomik şokların ülkelerarası transferi konusunda literatürde
yapılmış birçok çalışma yer almaktadır. Bu çalışmalara ilave olarak son yıllarda finansal
şokların transferi konusunda krizlerin bulaşıcılığı ön plana çıkmış ve birçok araştırmacı
tarafından incelenmiştir.
Bu çalışmada da çeşitli ülkelerde yaşanmış ve küresel çapta diğer ülkeleri de
etkileyen birtakım krizlere değinilerek, bu krizlerin bulaşıcılığı incelenmiştir.
Çalışmanın birinci bölümünde detaylı olarak küreselleşmeden bahsedilmiştir. İkinci
bölümde finansal krizlerin bulaşma etkisi konusunda literatüre uygun bir alt yapı
oluşturması için tanımlamalar yapılmış ve çeşitli küresel krizlerin bulaşıcılık etkileri
incelenmiştir. Çalışmanın üçüncü bölümünde ise ABD kaynaklı 2007-2009 küresel
finansal krizin bulaşma etkisi örneklem seçilen bir grup ülke için ampirik uygulama
yapılmak sureti ile incelenmiştir. Ampirik Uygulamada DCC- GARCH modeli
kullanılmıştır. Çalışma sonucuna göre kriz döneminde, kriz öncesi döneme göre DCC
katsayıları yüksek çıkarak, örneklem seçilen ülkelere 2007-2009 Küresel finans krizin
bulaşma etkisi gözlemlenmiştir. Bulaşma etkisi özellikle üst gelir grubu ülkelerde diğer
ülkelere göre daha fazla görülmüştür
In this paper, I examine the sustainability of Indonesian fiscal policy by looking at how the primary balance-to-GDP ratio has responded to variations of the debt-to-GDP ratio, as suggested by Bohn's (1998) Model Based Sustainability approach. This approach is motivated by dissatisfaction with most of the literature that use unit root and cointegration tests in combination with the intertemporal budget constraint. It is argued that unit root or cointegration tests have low power in rejection unit root from near unit root alternatives. Furthermore, Bohn (2005) shows that the consistency with the intertemporal budget constraint (IBC) is not a sufficient condition for debt stationary. It is possible to satisfy the IBC while simultaneously having a mildly explosive path of debt-to-GDP ratios. Using a data set covering the period 1990 – 2010 and controlling for measures of cyclical variations in GDP and temporary government expenditure, I find a significantly positive response of the primary balance-to-GDP ratio to variations in the debt-to-GDP ratio, and that response has been stable since 2000. Moreover, I also find that the debt-to-GDP ratio tends to be mean-reverting due to a nominal growth dividend. These results suggest that the government have significant and strong fiscal response to changes in debt-to-GDP ratio and that the stability of debt-to-GDP ratio is dependent on the growth rate of the economy.
