Welcome to International Financial Crises. This page is dedicated the study of financial crises, especially currency and banking crises. It is a part of the International Economics Network.
Since the 1980s, the march of globalisation and concomitant increases in flows of capital and trade have led to high volatility in international financial markets. Some of these have erupted into crises, in the form of runs on banks - both national and multinational - as well as attacks on currencies. Resultant effects have included the significant increase in contagion and the collapse of both venerable private banks as well as national institutions. Whereas research on specific episodes of currency crises are better found elsewhere, this page is more general in nature and collects research on the phenomenon of financial crises.
The literature is constantly expanding, and it can be impossible to maintain an updated list of all contributions in the field. Hence, I would appreciate any suggestions and/or nominations (drop the 'spam' at the end of the address), even if the work should be your own. Given variations in individual judgement and the difficulty in divorcing the different elements of the subject matter, there is necessary some overlap in the (admittedly) artificial taxonomy that has been applied to organise the various works into manageable headings.
Financial Crises in Emerging Markets
Theoretical Studies & Models of Currency Collapse
Financial Crises
The Golembe Reports Library
The Macroeconomics of Self-Fulfilling Prophecies, 2nd Edition
Abstract: For many years it was fashionable to treat macroeconomics and microeconomics as separate subjects without looking too deeply at the relationship between the two. But in the 1970s there occurred an episode of high inflation and high unemployment, which was inconsistent with orthodox theory. As a result, macroeconomists began to pay much greater attention to the microfoundations of their subject. In this book Roger E. A. Farmer takes a somewhat controversial point of view, arguing for the future of macroeconomics as a branch of applied general equilibrium theory. His main theme is that macroeconomics is best viewed as the study of equilibrium environments in which the welfare theorems break down. This approach makes it possible to discuss the role of government policies in a context in which policy may serve some purpose. Since the publication of the first edition in 1993, self-fulfilling prophecies has become a major competitor to the real business-cycle view of economic fluctuations. The second edition has been updated in three ways: (1) problems are included at the end of every chapter, and a study guide containing sample answers to all of the problems is available; (2) a new chapter discusses research from the past five years on business fluctuations in multisector models; and (3) the chapter on representative agent growth models now includes an appendix that explains the transversality condition.
In Defense of Free Capital Markets
Asset Price Bubbles: The Implications for Monetary, Regulatory, and International Policies
Financial Crises, Liquidity, and the International Monetary System
Abstract: Once upon a time, economists saw capital account liberalization--the free and unrestricted flow of capital in and out of countries--as unambiguously good. Good for debtor states, good for the world economy. No longer. Spectacular banking and currency crises in recent decades--from Latin America in the early 1980s to Scandinavia a decade later to Mexico, Southeast Asia, Russia, and, quite lately, Argentina--have shattered the consensus. In this remarkably clear and pithy volume, one of Europe's leading economists examines these crises, the reforms being undertaken to prevent them, and how global financial institutions might be restructured to this end. Jean Tirole first analyzes the current views on the crises and on the reform of the international financial architecture. Reform proposals often treat the symptoms rather than the fundamentals, he argues, and sometimes fail to reconcile the objectives of setting effective financing conditions while ensuring that a country "owns" its reform program. A proper identification of market failures is essential to reformulating the mission of an institution such as the IMF, he emphasizes. Next he adapts the basic principles of corporate governance, liquidity provision, and risk management of corporations to the particulars of country borrowing. Building on a "dual- and common-agency perspective," he revisits commonly advocated policies and considers how multilateral organizations can help debtor countries reap enhanced benefits while liberalizing their capital accounts.
Capital Flows and Crises
Abstract: The implications of capital mobility for growth and stability are some of the most contentious and least understood contemporary issues in economics. In this book Barry Eichengreen discusses historical, theoretical, empirical, and policy aspects of the effects, both positive and negative, of capital flows. He focuses on the connections between capital flows and crises as well as on those between capital flows and growth. Eichengreen argues that international financial liberalization, like other forms of economic liberalization, can positively affect the efficiency of resource allocation and the rate of economic growth. But analyses of both recent and historical experience also show an undeniable association between capital mobility and crises, especially when domestic institutions are weak and the harmonization of capital account liberalization and other policy reforms is inadequate. In his conclusion, Eichengreen makes suggestions for policy design to maximize the benefits of international financial liberalization while minimizing the risks of financial instability.
Turbulent Waters: Cross-Border Finance and International Governance
IMF Essays from a Time of Crisis: The International Financial System, Stabilization, and Development
Abstract: The first deputy managing director of the International Monetary Fund during the international crises of the last decade reflects on international monetary policy and the role of the IMF.
From Capital Surges to Drought: Seeking Stability for Emerging Economies
Abstract: This book analyzes the new trends in capital flows to emerging markets since the Asian crisis, their determinants and policy implications. It explains why such flows have declined so dramatically in recent years, emphasising both structural and cyclical factors. Senior bankers, regulators, and well-known academics explain the behaviour of different players. The book breaks new ground by showing in detail how such behaviour has contributed to the decline of flows and their volatility. The book suggests what coping mechanisms developing countries could adopt to deal with crisis situations; what measures should be taken at the national and international levels to make recipient countries less vulnerable to international financial instability; how such instability can be reduced; and what can be done on the source countries to encourage larger more stable capital flows to developing countries.
Bailouts or Bail-ins? Responding to Financial Crises in Emerging Economies
Abstract: Roughly once a year, the managing director of the International Monetary Fund, the U.S. treasury secretary and in some cases the finance ministers of other G-7 countries will get a call from the finance minister of a large emerging market economy. The emerging market finance minister will indicate that the country is rapidly running out of foreign reserves, that it has lost access to international capital markets and, perhaps, that is has lost the confidence of its own citizens. Without a rescue loan, it will be forced to devalue its currency and default either on its government debt or on loans to the country’s banks that the government has guaranteed. This book looks at these situations and the options available to alleviate the problem. It argues for a policy that recognizes that every crisis is different and that different cases need to be handled within a framework that provides consistency and predictability to borrowing countries as well as those who invest in their debt.
Crisis Prevention and Prosperity Management for the World Economy: Pragmatic Choices for International Financial Governance I
Financial Crises: Lessons from the Past, Preparation for the Future
Abstract: Throughout the 1990s, numerous financial crises rocked the world financial sector. The Asian bubble burst, for example; Argentina and Brazil suffered currency crises; and the post-Soviet economy bottomed out in Russia. In Financial Crises, a distinguished group of economists and policy analysts examine and draw lessons from attempts to recover from past crises. They also consider some potential hazards facing the world economy in the 21st century and discuss ways to avoid them and minimize the severity of any future downturn.
Emerging Capital Markets in Turmoil: Bad Luck or Bad Policy?
Abstract: Analysis of financial crises in emerging market economies, including Mexico, Argentina, and Russia; traces the evolution of crisis theory and challenges the conventional wisdom.
Banking crises in emerging economies: origins and policy options
Is our Current International Economic Environment Unusually Crisis Prone?
Transparency, Liberalization and Financial Crises
Who Recovers First? Banking Crisis Resolution in Developing Countries
Solvency Runs, Sunspot Runs, and International Bailouts | Published
Banking Crises and Exchange Rate Regimes: Is There a Link? | Published
Crises and Liquidity - Evidence and Interpretation
On the welfare gains of reducing the likelihood of economic crises
Development Financing during a Crisis: Securitization of Future Receivables
Currency Crises and the Real Economy - The Role of Banks
Has 1997 Asian Crisis Increased Information Flows Between International Markets?
Domestic Bank Regulation and Financial Crises: Theory and Empirical Evidence from East Asia
The interbank market during a crisis
Financial Restructuring in Banking and Corporate Sector Crises: What Policies to Pursue?
Post-Resolution Treatment of Depositors at Failed Banks: Implications for the Severity of Banking Crises, Systemic Risk, and Too-Big-To-Fail
Labor, financial crises, and globalization
Financial Liberalization and Banking Crises in Emerging Economies | Published
The Market for Crash Risk
Financial Contagion Through Capital Connections: A Model of the Origin and Spread of Bank Panics
Abstract: Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and multiple banks. The equilibrium probability of bank failure is uniquely determined. We explore how the cross holding of deposits motivated by imperfectly correlated regional liquidity shocks can lead to contagious effects conditional on the failure of a financial institution. We show that contagious bank failure occurs with positive probability in the unique equilibrium of the economy and demonstrate that the presence of such contagion risk can lead to endogenously incomplete insurance against liquidity shocks.
Moral Hazard and International Crisis Lending: A Test
Financial Instability and Monetary Regulation
Systemic Financial Crises, Balance Sheets, and Model Uncertainity
Financial Institutions, Financial Contagion, and Financial Crises
Foreign Currency Credit Ratings for Emerging Market Economies
Financial Liberalization and Banking Crises in Emerging Economies
Banking Crises in Emerging Markets: Presumptions and Evidence
Post-Resolution Treatment of Depositors at Failed Banks: Implications for the Severity of Banking Crises, Systemic Risk, and Too-Big-To-Fail
Corporate Governance in the Asian Financial Crisis
Financial Crises, Poverty, and Income Distribution
Managing the Real and Fiscal Effects of Banking Crises
Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows
Banking, financial integration, and international crises : an overview
Financial Crises, Financial Dependence, and Industry Growth
Monetary Policy in a Financial Crisis
Excessive Risk-Taking, Banking Sector Fragility, and Banking Crises
Exchange rate regimes and financial dollarization: does flexibility reduce bank currency mismatches?
Web Resources
The NBER has gathered all material written by its associates into a convenient resource location. Many of these working papers have formed the basis for published papers in the field.
Part of the Global Macroeconomic and Financial Policy website: other related collections here are Empirical Papers on Crises, Crisis Resolution, Studies of Contagion, Capital Controls, and Banking Crises.
World Bank studies on financial crises. The Bank also researches on Contagion and International Capital Flows.
The focus of the Golembe Report is mainly on U.S. financial policy; occasional reports do address banking crises. Unfortunately, the library only contains summaries of the actual reports.
Print Resources
Farmer, R. (1999)
De Rosa, David (2000)
Hunter, W.C., G.G. Kaufman & M. Pomerleano (editors) (2003)
Tirole, J. (2002)
Eichengreen, B. (2003)
Bryant, R.C. (2003)
Fischer, S. (2004)
Ffrench-Davis, R. & S. Griffith-Jones (editors) (2004)
Roubini, N. & B. Setser (2004)
Bryant, R.C. (2004)
CONFERENCE VOLUME
Caprio, G., J.A. Hanson & R.E. Litan (editors) (2005)
Calvo, G.A. (2005)
Banking & Financial Crises
Goldstein, M. & P. Turner (1996)
Bordo, M. & B. Eichengreen (1999)
Mehrez, G. & D. Kaufmann (1999)
Montinola, G. (2000)
Spiegel, M.M. (2000)
Domac, I., M.S.M. Peria (2000)
Detragiache, E. & A. Spilimbergo (2001)
Chatterjee, S. & D. Corbae (2001)
Ketkar, S. & D. Ratha (2001)
Disyatat, P. (2001)
Climent, F.J. & V. Meneu (2001)
Dekle, R. & K.M. Kletzer (2001)
Furfine, C. (2001)
Claessens, S., D. Klingebiel & L. Laeven (2001)
Kaufman, G.G. & S.A. Seelig (2001)
Diwan, I. (2001)
Daniel, B.C. & J.B. Jones (2001/07)
Bates, D.S. (2001)
Dasgupta, A. (2001)
Dell'Ariccia, G., I. Gödde & J. Zettelmeyer (2001)
Aglietta , M. (2001)
Stone, M.R. & M. Weeks (2001)
Huang, H. & C. Xu (2001)
Mulder, C.B. & R. Perrelli (2001)
Daniel, B. & J.B. Jones (2001)
Eichengreen, B. & C. Arteta (2001)
Kaufman, G.G. & S.A. Seelig (2001)
Johnson, S., P. Boone, A. Breach & E. Friedman (2001)
Baldacci, E., L.R. De Mello Jr. & M.G. Inchauste Comboni (2002)
Claessens, S., D. Klingebiel, L. Laeven, P. Honohan & G. Caprio (2002)
Chordia, T., A. Sarkar & A. Subrahmanyam (2002)
REVIEW PAPER
Hernández, L. & K. Schmidt-Hebbel (2002)
Laeven, L., D. Klingebiel & R. Kroszner (2002)
Christiano, L.J., C. Gust & J. Roldos (2002)
Kibritcioglu, A. (2002)
Crisis Prevention and Crisis Management: The Role of Regulatory Governance
Das, U.S. & M.G. Quintyn (2002)
Bedfellows, Hostages, or Perfect Strangers? Global Capital Markets and the Catalytic Effect of IMF Crisis Lending
Cottarelli, C. & C. Giannini (2002)
Liquidity provision vs. deposit insurance: Preventing bank panics without moral hazard?
Martin, A. (2002)
Decentralized Creditor-Led Corporate Restructuring: Cross-Country Experience
Dado, M. & D. Klingebiel (2002)
"Original Sin," Balance Sheet Crises and the Roles of International Lending
Zettelmeyer, J. & O. Jeanne (2003)
Gaucho Banking Redux
della Paolera, G. & A.M. Taylor (2003)
Availability of Financial Soundness Indicators
REVIEW PAPER
Slack, G. (2003)
Financial Crises as Herds: Overturning the Critiques | Published
Chari, V.V. & P.J. Kehoe (2003)
Economic growth, liquidity, and bank runs
Ennis, H. & T. Keister (2003)
Bank Concentration and Crises | Alternative | Published
Beck, T., A. Demirgüç-Kunt, and R. Levine (2003/06)
Abstract: Motivated by public policy debates about bank consolidation and conflicting theoretical predictions about the relationship between the market structure of the banking industry and bank fragility, this paper studies the impact of bank concentration, bank regulations, and national institutions on the likelihood of suffering a systemic banking crisis. Using data on 70 countries from 1980 to 1997, we find that crises are less likely in economies with (i) more concentrated banking systems, (ii) fewer regulatory restrictions on bank competition and activities, and (iii) national institutions that encourage competition.
Transparency, Risk Management and International Finacial Fragility
Draghi, M., F. Giavazzi & R.C. Merton (2003)
Propping and Tunneling
Friedman, E., S. Johnson & T. Mitton (2003)
Debt maturity structure with pre-emptive creditors
Gai, P. & H.S. Shin (2003)
Liberalization, Growth and Financial Crises | Alternative
Tornell, A., F. Westermann & L. Martinez (2003)
Crisis in Competitive versus Monopolistic Banking Systems
Boyd, J.H., G. De Nicolo & B.D. Smith (2003)
Currency Mismatches, Debt Intolerance and Original Sin: Why They Are Not the Same and Why it Matters
Eichengreen, B., R. Hausmann & U. Panizza (2003)
On the welfare gains of eliminating a small likelihood of economic crises: A case for stabilization policies?
Chatterjee, S. & D. Corbae (2003)
Financial Instability under Floating Exchange Rates
Vranceanu, R. & D. Besancenot (2003)
Liquidity Shortages and Banking Crises
Diamond, D.W. & R.G. Rajan (2003)
Crises and Growth: A Re-Evaluation
Ranciere, R., A. Tornell & F. Westermann (2003)
Systematic Financial Distress: Containment and Resolution
CONFERENCE VOLUME
Various Authors (2003)
Abstract: The resolution of a systemic financial crisis involves many policy choices ranging from macroeconomic (including monetary and fiscal policy) to microeconomic (including recapitalization of financial institutions, closure, capital adequacy rules and corporate governance requirements), with reforms varying in depth. These choices involve tradeoffs, including the amount of government resources needed to resolve the crisis, the speed of recovery, and the recovery’s sustainability. Despite considerable analysis, these tradeoffs are not well known—an oversight that leads to conflicting policy advice and larger than necessary economic costs. Even less is known about the political economy factors that make governments choose certain policies. Policies enacted during crises importantly shape the financial sector and have important long-term impact on financial sector development. The objective of this conference on “Systemic Financial Distress: Containment and Resolution” is to discuss and add to existing knowledge about the tradeoffs involved in policies related to systemic financial restructuring and to review how policies have been used. The conference complements the World Bank’s Global Bank Insolvency Initiative where the focus is more on the legal and institutional aspects of bank insolvency, not necessarily being of systemic importance. The conference proceedings will be published in a book.
Bank Portfolio Restrictions and Equilibrium Bank Runs
Shell, K. & J. Peck (2003)
International Financial Crises
Dornbusch, R. & S. Fischer (2003)
Abstract: Our friend and colleague Rudiger Dornbusch passed away before he was able to complete his book based on the Munich Lectures in Economics that he gave in November 17, 1998, at the Center for Economic Studies of Ludwig-Maximilians-Universitaet. The lectures contain a fascinating overview of the mechanics and history of international financial crises showing the breadth and ingenuity of this eminent scholar. The lectures were lively and provocative, full of important insights and observations. Interestingly enough, Dornbusch expressed a substantial mistrust in the actions of political decision makers, supervisory agencies and central banks in the game that leads to the crisis and even collapse of financial systems, and he advocated supranational supervisory actions as a remedy. CES has decided to prepare a transcript of the lectures, which are also available in the Internet as full length-videos. I am grateful to Paul Kremmel for his assistance.
Government Guarantees, Investment, and Vulnerability to Financial Crises
Irwin, G. & D. Vines (2003)
Banks, Liquidity Crises and Economic Growth
Gaytan, A. & R. Ranciere (2003)
Balance Sheet Effects, Bailout Guarantees and Financial Crises | Published
Schneider, M. & A. Tornell (2003)
Improving the Availability of Trade Finance during Financial Crises
Auboin, M. & M. Meier-Ewert (2003)
Distributional Effects of Crises: The Role of Financial Transfers
Halac, M. & S. Schmukler (2003)
The Effects of Financial Crises on International Trade
Ma, Z. & L. Cheng (2003)
Financial Crises and the Presence of Foreign Banks
Tschoegl, A.E. (2003)
Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
Dungey, M., R. Fry, B. Gonzalez-Hermosillo & V. Martin (2003)
Fundamentals, Panics, and Bank Distress During the Depression
Calomiris, C.W. & J.R. Mason (2004)
Lending booms, sharp reversals and real exchange rate dynamics
Gopinath, G. (2004)
Currency crises and contingent liabilities
Burnside, C. (2004)
Financial Development and the Instability of Open Economies | Published
Aghion, P., P. Bacchetta & A. Banerjee (2004)
Abstract: This paper introduces a framework for analyzing the role of financial factors as a source of instability in small open economies. Our basic model is a dynamic open economy model with a tradeable good produced with capital and a country-specific factor. We also assume that firms face credit constraints, with the constraint being tighter at a lower level of financial development. A basic implication of this model is that economies at an intermediate level of financial development are more unstable than either very developed or very underdeveloped economies. This is true both in the sense that temporary shocks have large and persistent effects and also in the sense that these economies can exhibit cycles. Thus, countries that are going through a phase of financial development may become more unstable in the short run. Similarly, full capital account liberalization may destabilize the economy in economies at an intermediate level of financial development: phases of growth with capital inflows are followed by collapse with capital outflows. On the other hand, foreign direct investment does not destabilize.
Timing of International Bailouts
Kim, S-J. (2004)
Liquidity and Financial Market Runs
Bernardo A.E. & I. Welch (2004)
Rational Speculation, Financial Crises, and Optimal Policy Responses
Surti, J. (2004)
Slow Recoveries
Bergoeing, R., N. Loayzaw & A. Repetto (2004)
Abstract: Economies respond differently to aggregate shocks that reduce output. While some countries rapidly recover their pre-crisis trend, others stagnate. Recent studies provide empirical support for a link between aggregate growth and plant dynamics through its effect on productivity: the entry and exit of firms and the reallocation of resources from less to more efficient firms explain a relevant part of transitional productivity dynamics. In this paper we use a stochastic general equilibrium model with heterogeneous firms to study the effect on aggregate short-run growth of policies that distort the process of birth, growth and death of firms, as well as the reallocation of resources across economic units. Our findings show that indeed policies that alter plant dynamics can explain slow recoveries. We also find that output losses associated to delayed recoveries are large.
Liquidity, Efficiency, and Bank Bailouts
Gorton, G. & L. Huang (2004)
Bank Runs and Investment Decisions Revisited | Published
Keister, T. & H.M. Ennis (2004/06)
Currency mismatch, uncertainty and debt maturity structure
Bussière, M., M. Fratzscher & W. Koeniger (2004)
Abstract: The academic literature has so far little to say about the underlying causes of the large structural asset and liability imbalances of emerging markets that frequently contributed to financial crises. The aim of the paper is to contribute to filling this gap by proposing a theoretical model that links currency and maturity mismatches with real volatility in the economy. We show that if (i) a significant share of the debt is denominated in foreign currency-creating a currency mismatch- and (ii) borrowing is constrained by solvency, then currency mismatch can create and exacerbate a maturity mismatch. An important feature of the model is that higher economic or political uncertainty tightens solvency constraints and tilts the debt profile towards short term debt, thereby increasing the volatility of output. Taking the model implications to the data, we find empirical support for the model’s predictions using data for 28 emerging market economies.
Market imperfections and the instability of open economies
Meng, Q. & A. Velasco (2004)
Resolving Systemic Financial Crises: Policies and Institutions
Klingebiel, D., S. Claessens & L. Laeven (2004)
Why Do Emerging Economies Borrow Short Term?
Broner, F., G. Lorenzoni & S. Schmukler (2004)
Bailouts and Bank Runs in a Model of Crony Capitalism
Femminis, G. & L. Ruggerone (2004)
Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies
Levy Yeyati, E., M.S.M. Peria & S. Schmukler (2004)
Money Market Pressure and the Determinants of Banking Crises
Ho, T-K. & J. von Hagen (2004)
The efficient resolution of capital account crises: how to avoid moral hazard
Irwin, G. & D. Vines (2004)
Financial Liberalization, Banking Crises and Growth: Assessing the Links
Bonfiglioli, A. & C. Mendicino (2004)
Crises and Prices: Information Aggregation, Multiplicity and Volatility
Angeletos, G-M. & I. Werning (2004)
Information Dynamics and Equilibrium Multiplicity in Global Games of Regime Change
Angeletos, G-M., C. Hellwig & A. Pavan (2004)
Managing Confidence in Emerging Market Bank Runs
Kim, S-J. & A. Mody (2004)
Systemic Crises and Growth
Ranciere, R., A. Tornell & F. Westermann (2005)
Policies for Banking Crises: A Theoretical Framework
Repullo, R. (2005)
Financial Crises, 1880-1913: The Role of Foreign Currency Debt | Published
Bordo, M. & C. Meissner (2005/06)
The Real Effect of Banking Crises
Dell'Aricia, G., E. Detragiache & R. Rajan (2005)
Aftermath of banking crises: Effects on real and monetary variables
Gupta, P. (2005)
Abstract: This paper models the effects of a banking crisis, and in particular distinguishes between a short-term crisis, such as a banking panic, and a longer-term crisis, such as a banking insolvency. Using an optimizing framework, it shows that depositors shift from deposits into cash in both types of crises, which results in an increase in the interest rates on deposits and loans, and a contraction in output and consumption. However, when the crisis is resolved in a finite time period, there is an intertemporal substitution of consumption, and consumption is postponed until the crisis is resolved. This in turn results in a further decline in the demand for money, availability of credit and output.
Do Risk Premia Protect from Banking Crises?
Gersbach, H. & J. Wenzelburger (2005)
Private sector involvement in the resolution of financial crises: How do markets react?
Tillmann, P. (2005)
Globalization and Emerging Markets: With or Without Crash?
Martin, P. & H. Rey (2005)
Banking Sector Crisis and Inequality
Honohan, P. (2005)
Maturity Matches and Financial Crises: Evidence from Emerging Market Corporations
Bleakley, H. & K. Cowan (2005)
Synchronization of Financial Crises
Dungey, M., J.P.A.M. Jacobs & Lestano (2005)
The 35 Most Tumultuous Years in Monetary History: Shocks, the Transfer Problem, and Financial Trauma
Aliber, R.Z. (2005)
Banking Sector Strength and the Transmission of Currency Crises
Bruinshoofd, A., B. Candelon & K. Raabe (2005)
Trade Credit and Bank Credit: Evidence from Recent Financial Crises
Preve, L.A., I. Love & V. Sarria-Allende (2005)
Corporate bankruptcies and official bail-outs: A cost–benefit analysis
Kenca, T., A. Ozkanb & F.G. Ozkan (2005)
The Effect of Banking Crisis on Bank-Dependent Borrowers
Chava, S. & A.K. Prunanandam (2005)
Cash-in-the-Market Pricing and Optimal Bank Bailout Policy
Acharya, V.V. & T. Yorulmazer (2005)
Financial crashes as endogenous jumps: estimation, testing and forecasting
Fernandes, M. (2005)
Crises and Capital Requirements in Banking
Morrison, Alan D.; White, Lucy (2005)
The Role of Foreign Currency Debt in Financial Crises: 1880-1913 vs. 1972-1997
Bordo, M.D. & C.M. Meissner (2005)
Phoenix Miracles in Emerging Markets: Recovering without Credit from Systemic Financial Crises | Published
Calvo, G.A., A. Izquierdo & E. Talvi (2006)
Money and Modern Banking without Bank Runs
Skeie, D.R. (2006)
Abstract: In the literature, bank runs take the form of withdrawals of real demand deposits that deplete a fixed reserve of goods in the banking system. However, in a modern banking system, large withdrawals take the form of electronic payments that shift balances among banks within a clearinghouse system, with no analog of a depletion of a scarce reserve. In a model of nominal demand deposits repayable in money within a clearinghouse, the author shows that interbank lending and monetary prices imply that traditional bank runs do not occur. This finding suggests that deposit insurance may not be needed to prevent bank runs in a modern economy.
Flight to Quality and Collective Risk Management
Caballero, R. & A. Krishnamurthy (2006)
Banking Crises, Financial Dependence and Growth | Published
Kroszner, R.S., L.A. Laeven & D. Klingebiel (2006/07)
Inside the crisis: An empirical analysis of banking systems in distress
Demirgüç-Kunt, A., E. Detragiache & P. Gupta (2006)
Bank panics and the endogeneity of central banking
Gorton, G. & L. Huang (2006)
Distance-to-Default in Banking: A Bridge Too Far?
Chan-Lau, J.A. & A.N.R. Sy (2006)
Decomposing the effects of financial liberalization: Crises vs. growth
Ranciere, R., A. Tornell & F. Westermann (2006)
Can Good Events Lead to Bad Outcomes? Endogenous Banking Crises and Fiscal Policy Responses
Feltenstein, A. & C. Rochon (2006)
Trade credit and bank credit: Evidence from recent financial crises
Love, I., L.A. Preve & V. Sarria-Allende (2007)
A Cardan's discriminant approach to predicting currency crashes
Koh, S.K., W.M. Fong & F. Chan (2007)
Responding to Financial Crises
Frankel, J.A. (2007)
Exchange rate regimes, banking and the non-tradable sector
Kawamura, E. (2007)
Suspension of payments, bank failures, and the nonbank public's losses
Dwyer Jr., J.P. & I. Hasan (2007)
Fetters of Debt, Deposit, or Gold during the Great Depression? The International Propagation of the Banking Crisis of 1931
Richardson, G. & P. Van Horn (2007)
Crises and Growth: A Latin American Perspective
Edwards, S. (2007)
Re-Accessing International Capital Markets after Financial Crises: Some Empirical Evidence
Zanforlin, L. (2007)
Stiglitz Versus the IMF on the Asian Debt Crisis: An Intertemporal Model with Real Exchange Rate Overshooting
Kirsanova, T., G. Menzies & D. Vines (2007)
Emerging Market Liquidity and Crises
Levy Yeyati, E., S. Schmukler & N. Van Horen (2007)
Optimal Portfolio Liquidation for CARA Investors
Schied, A. & T. Schöneborn (2007)
The Everyday Social Sources of Economic Crises: From "Great Frustrations" to "Great Revelations" in Interwar Britain
Seabrooke, L. (2007)
Quantifying and understanding the economics of large financial movements
(2007)
Gabaix, X., P. Gopikrishnan, V. Plerou & H.E. Stanley (2007)
GDP at risk in a DSGE model: an application to banking sector stress testing
Jokivuolle, E., J. Kilponen & T. Kuusi (2008)
Financial Innovation, Macroeconomic Stability and Systemic Crises
Gai, P., S. Kapadia, S. Millard & A. Perez (2008)
This Time is Different: A Panoramic View of Eight Centuries of Financial Crises
Reinhart, C.M. & K.S. Rogoff (2008)
The Anatomy of Banking Crises
Duttagupta, R. & P. Cashin (2008)
Reserve Requirements, the Maturity Structure of Debt, and Bank Runs
Al-Zein, Eza (2008)
Macroeconomic Crises since 1870
Barro, R.J. & J.F. Ursúa (2008)
Tropical Bubbles: Asset Prices in Latin America, 1980-2001
Herrera, S. & G. Perry (2001)
Lending Booms, Real Estate Bubbles and The Asian Crisis
Collyns, C.V. & A.S. Senhadji (2002)
Bubbles and Capital Flows
Ventura, J. (2002)
Temporary bubbles
Michel, P. & C. Wigniolle (2003)
Bubbling and Crashing Exchange Rates
Grimaldi, M. & P. De Grauwe (2003)
Shakeouts and Market Crashes | Published
Barbarino, A. & B. Jovanovic (2004/07)
Distinguishing Informational Cascades from Herd Behavior in the Laboratory
Bogachan, C. & S. Kariv (2004)
Riding the South Sea Bubble
Temin, P. & H-J. Voth (2005)
Testing for bubbles and change-points
Kirman, A. & G. Teyssière (2005)
Rational bubbles or persistent deviations from market fundamentals?
Koustas, Z. & A. Serletis (2005)
Bubbles and Capital Flow Volatility: Causes and Risk Management | Published
Caballero, R.J. & A. Krishnamurthy (2005/06)
Slow boom, sudden crash
Veldkamp, L.L. (2005)
Bubbles and Experience: An Experiment
Dufwenberg, M., T. Lindqvist & E. Moore (2005)
Who herds?
Bernhardt, D., M. Campello & E. Kutsoati (2006)
Bubbles and Busts: The 1990s in the Mirror of the 1920s
White, E.N. (2006)
Explosive bubbles in the cointegrated VAR model
Engsted, T. (2006)
Periodically Collapsing Rational Bubbles in Exchange Rates: A Markov-Switching Analysis for a Sample of Industrialised Markets
Ferreira, J.E.A. (2006)
Foreign Bank Participation and Crises in Developing Countries
Cull, R. & M.S.M. Peria (2007)
Banks and bubbles: How good are bankers at spotting winners?
Gonzalez, L. & C. James (2007)
Monetary Policy, Vagabonding Liquidity and Bursting Bubbles in New and Emerging Markets? An Overinvestment View
Schnabl, G. & A. Hoffmann (2007)
Inefficient Credit Booms
Lorenzoni, G. (2007)
A Simple Trade Policy Perspective on Capital Controls
Schukhnecht, L. (1998)
International Liquidity Illusion: On the Risks of Sterilization
Caballero, R.J. and A. Krishnamurthy (2001)
Country Risk and Capital Flow Reversals
Razin, A. & E. Sadka (2001)
Financial Liberalization and Capital Flow Reversals
Eicher, T.S., U. Walz & S. Turnovsky (2001)
The swings in capital flows and the Brazilian crisis
Goldfajn, I. (2001)
Convertibility, Currency Controls and the Cost of Capital in Western Europe, 1950-1999
Voth, H.J. (2001)
Credit, Prices, and Crashes: Business Cycles with a Sudden Stop
Mendoza, E.G. (2001)
Abstract: The 1990s emerging-markets crises were characterized by sudden reversals in inflows of foreign capital followed by unusually large declines in current account deficits, private expenditures, production, and prices of nontradable goods relative to tradables. This paper shows that these Sudden Stops can be the outcome of the equilibrium dynamics of a flexible-price economy with imperfect credit markets. Foreign debt is denominated in units of tradables and a liquidity constraint links credit-market access to the income generated in the nontradables sector and the relative price of nontradables. Sudden Stops occur when real shocks of foreign or domestic origin, or policy-induced shocks make this constraint binding. Sudden Stops are not reflected in long-run business cycle statistics but still they entail nontrivial welfare costs. These results question crises-management policies seeking to impose direct controls on private capital flows and favor those that work to weaken credit frictions.
Temporary Controls on Capital Inflows
Reinhart, C.M. & R.T. Smith (2001)
The Quality of Bureaucracy and Capital Account Policies
Bai, C.E. & S.J. Wei (2001)
Abstract: The extent of bureaucracy varies widely across countries. However, the quality of bureaucracy within a country evolves more slowly than economic policies---such as the imposition of capital controls---which can be implemented quickly. This paper presents the possibility that the quality of bureaucracy may be an important structural determinant of open-economy macro-policies. The imposition/removal of capital controls, in particular, may be one such consequence. We derive a model that delivers such a result. It shows that bureaucratic corruption translates into the reduced ability of government to collect tax revenue. Even if capital control/financial repression is otherwise inefficient, the government still has to rely on capital control/financial repression to raise revenue for public goods provision. For all countries for which we can obtain relevant data, we find that more corrupt countries are indeed more likely to impose capital controls, a pattern consistent with the model’s prediction. To deal with possible reverse causality we use the extent of corruption in a country’s judicial system and the degree of democracy as the instrumental variables (IV) for bureaucratic corruption. The IV regressions show more corrupt countries are associated with more severe capital controls. The results suggest that a premature removal of capital controls mandated by outside institutions could reduce rather than enhance economic efficiency.
A Simple Measure of the Intensity of Capital Controls
Edison, H.J. & F.E. Warnock (2001)
Foreign Direct Investment in a World of Multiple Taxes
Desai, M.A. & J.R. Hines Jr. (2001)
Capital Controls and Exchange Rate Instability in Developing Economies | Published
Glick, R. & M. Hutchison (2001/2005)
Short and Long-Run Integration: Do Capital Controls Matter?
Kaminsky, G. & S. Schmukler (2001)
Smoothing Sudden Stops | Published
Caballero, R.J. & A. Krishnamurthy (2001)
Private capital flows and poverty reduction: incompatible bedfellows?
Cobham, A. & A. Wood (2001)
The Effects of Capital Controls on Exchange Rate Volatility and Output
Frenkel, M., C. Nickel, G. Schmidt & G. Stadtmann (2001)
Why International Equity Inflows to Emerging Markets are Inefficient and Small Relative to International Debt Inflows
Razin, A., E. Sadka & C.W. Yuen (2001)
Scrapping capital controls: pro or anti poor?
Cobham, A. (2001)
Capital flight: a blight on growth?
FitzGerald, V. & A. Cobham (2002)
Explaining Sudden Stop, Growth Collapse, and BOP crisis
Calvo, G. (2002)
Abstract: The paper discusses a model in which growth is a negative function of fiscal burden. Moreover, growth discontinuously switches from high to low as fiscal burden reaches a critical level. Growth collapse is associated with a sudden stop of capital inflows, real depreciation and a drop in output (driven by a fall in the output of nontradables)—all of which have occurred during recent financial crises in emerging markets. The monetary version of the model is employed to show that balance of payments (BOP) crises could be a result of fiscal distortions. In par-ticular, it is further argued that BOP crisis could be a justifiable central bank response to growth col-lapse, although realistic circumstances may make this response highly ineffective. An important policy implication of the model is that in order to avoid sudden stop crises, policymakers should aim at improving fiscal institutions. Lowering the fiscal deficit is highly effective in the medium term, but could be counterproductive in the short run if it relies on higher taxes.
International Capital Crunches: The Time-Varying Role of Informational Asymmetries
Mody, A. & M.P. Taylor (2002)
Sudden Stops and the Mexican Wave: Currency Crises, Capital Flow Reversals and Output Loss in Emerging Markets | Published
Hutchison, M. & I. Noy (2002/05)
The Influence of Capital Controls on Long Run Growth: Where and How Much? | Published
Chanda, A. (2002)
Location of Investors and Capital Flight
Botman, D. & C.G.H. Diks (2002)
Capital Flows and Crisis: the Role of Credit Market Imperfections
Bloch, C. (2002)
Credits, Crises, and Capital Controls: A Microeconomic Analysis
Neeman, Z. & G.O. Orosel (2002)
Capital Account Liberalization and Growth: Was Mr. Mahathir Right?
Eichengreen, B. & D. Leblang (2002)
Explaining Sudden Stops, Growth Collapse and BOP Crises: The Case of Distortionary Output Taxes
Calvo, C.A. (2003)
Hedging Sudden Stops and Precautionary Recessions: A Quantitative Framework | Published
Caballero, r.j. & S. Panageas (2003)
Inflation Targeting and Sudden Stops
Caballero, R.J. & A. Krishnamurthy (2003)
One Cost of the Chilean Capital Controls: Increased Financial Constraints for Smallest Traded Firms |
Published
Forbes, K. (2003/07)
Capital flows to emerging markets
Penalver, A. (2003)
Cross-board listings, capital controls, and equity flows to emerging markets
Edison, H.J. & F.E. Warnock (2003)
Exchange Rate Based Stabilization with Sudden Restrictions on Capital Flows
Subramanian, C. & J. Park (2003)
The Intriguing Nexus Between Corruption and Capital Account Restrictions
Dreher, A. & L.H.R. Siemers (2003)
Modeling the Demand for Emerging Market Assets
FitzGerald, V. & D. Krolzig (2003)
Can short-term capital controls promote capital inflows?
Cordella, T. (2003)
Thirty Years of Current Account Imbalances, Current Account Reversals and Sudden Stops
Edwards, S. (2004)
Financial Openness, Sudden Stops and Current Account Reversals | Published
Edwards, S. (2004)
Capital Controls: Mud in the Wheels of Market Discipline
Forbes, K.J. (2004)
Capital Controls, Liberalizations, and Foreign Direct Investment
Desai, M.A., C.F. Foley & J.R. Hines Jr. (2004)
Financial Liberalisation and Capital Regulation in Open Economies
Morrison, A.D. & L. Whit (2004)
On the Empirics of Sudden Stops: The Relevance of Balance-Sheet Effects
Calvo, G.A., A. Izquierdo & L.F. Mejia (2004)
Morrison, A.D. & L. Whit (2004)
Exchange Rate Volatility and the Credit Channel in Emerging Markets: A Vertical Perspective
Caballero, R. & A. Krishnamurthy (2004)
Dealing with Destabilizing 'Market Discipline'
Cohen, D. & R. Portes (2004)
Bubbles and Crashes in a Behavioural Finance Model
De Grauwe, P. & M. Grimaldi (2004)
Growth Effects of the Exchange-Rate Regime and the Capital-Account Openness in A Crisis-Prone World Market: A Nuanced View
Razin, A. & Y. Rubinstein (2004)
A New Set of Measures on Capital Account Restrictions
Miniane, J. (2004)
Banks and Capital Inflows
Fontenla, M. (2004)
Capital Control, Speculation and Exchange Rate Volatility
Chu, M-L. (2004)
The determination of capital controls: Which role do exchange rate regimes play?
von Hagen, J. & J. Zhou (2004)
Capital Controls, Risk, and Liberalization Cycles
Alfaro, L. & F. Kanczuk (2004)
Managing Macroeconomic Crises
Frankel, J.A. & S-J. Wei (2004)
Quantitative Implication of A Debt-Deflation Theory of Sudden Stops and Asset Prices | Published
Mendoza, E.G. & K.A. Smith (2004/06)
Does Openness to Trade Make Countries More Vulnerable to Sudden Stops, Or Less? Using Gravity to Establish Causality
Frankel, J.A. & E.A. Cavallo (2004)
Evaluation of Exchange-Rate, Capital Market, and Dollarization Regimes in the Presence of Sudden Stops
Razin, A. & Y. Rubinstein (2005)
Sudden Stop, Financial Factors and Economic Collpase in Latin America: Learning from Argentina and Chile
Calvo, G.A. & E. Talvi (2005)
Sudden Stops and Output Drops | Alternative
Chari, V.V., P.J. Kehoe & E.R. McGrattan (2005)
Capital Controls, Sudden Stops and Current Account Reversals
Edwards, S. (2005)
Are Asset Price Guarantees Useful for Perventing Sudden Stops?: A Quantitative Investigation of the Globalization Hazard-Moral Hazard Tradeoff | Published
Durdu, C.B. & E.G. Mendoza (2005/06)
A Quantitative Model of Sudden Stops and External Liquidity Management
Caballero, R. & S. Panageas (2005)
Crises in Emerging Market Economies: A Global Perspective
Calvo, G.A. (2005)
What Matters for Financial Development? Capital Controls, Institutions, and Interactions
Chinn, M.D. & H. Ito (2005)
The Microeconomic Evidence on Capital Controls: No Free Lunch
Forbes, K.J. (2005)
Capital Controls, Exchange Rate Volatility and External Vulnerability
Edwards, S. & R. Rigobon (2005)
International Borrowing, Capital Controls and the Exchange Rate: Lessons from Chile
De Gregorio, J. & K. Cowan (2005)
Relative Price Volatility Under Sudden Stops: The Relevance of Balance Sheet Effects | Published
Calvo, G.A., A. Izquierdo & R. Loo-Kung (2005)
Robbing the Riches: Capital Flight, Institutions, and Instability
Cerra, V., R. Meenakshi & S.C. Saxena (2005)
Capital Controls: An Evaluation
Magud, N. & C.M. Reinhart (2005)
Real Exchange Rate Volatility and the Price of Nontradables in Sudden-Stop-Prone Economies
Mendoza, E.G. (2006)
Hedging Sudden Stops and Precautionary Contractions
Caballero, R.J. & S. Panageas (2006)
The Interaction Between Capital Controls and Exchange Rate Regimes: Evidence from Developing Countries
von Hagen, J. & J. Zhou (2006)
Sudden Stops and IMF-Supported Programs
Eichengreen, B.J., P. Gupta & A. Mody (2006)
Sudden Stops and Currency Drops: A Historical Look
Catão, L. (2006)
Ineffective Controls on Capital Inflows Under Sophisticated Financial Markets: Brazil in the Nineties
de M. Carvalho, B.S. & M.G.P. Garcia (2006)
Current Account Reversals and Growth: The Direct Effect Central and Eastern Europe 1923-2000
Komarek, L., Z. Komarkova & M. Melecky (2006)
Currency Crises, Current Account Reversals and Growth : The Compounded Effect for Emerging Markets
Komarek, L. & M. Melecky (2006)
Lessons From the Debt-Deflation Theory of Sudden Stops | Published
Mendoza, E.G. (2006)
Output Drops and the Shocks That Matter
Becker, T.I. & P. Mauro (2006)
Sudden Stops, Financial Crises, and Original Sin in Emerging Countries: Deja vu?
Bordo, M.D. (2006)
Capital Controls: Myth and Reality A Portfolio Balance Approach to Capital Controls
Magud, N., C. Reinhart & K. Rogoff (2006)
Do Some Forms of Financial Flows Help Protect from Sudden Stops?
Levchenko, A.A. & P. Mauro (2006)
The effects of capital controls on international capital flows in the presence of asymmetric information
Neumann, R.M. (2006)
Output Growth, Capital Flow Reversals and Sudden stop Crises
Deb, S. (2006)
Endogenous Sudden Stops in a Business Cycle Model with Collateral Constraints:A Fisherian Deflation of Tobin's Q
Mendoza, E.G. (2006)
Cross-border Listings, Capital Controls, and Equity Flows To Emerging Markets
Edison, H.J. & F.E. Warnock (2006)
Capital Controls, Capital Flow Contractions, and Macroeconomic Vulnerability | Published
Edwards, S. (2007)
Collective Risk Management in a Flight to Quality Episode
Caballero, R.J. & A. Krishnamurthy (2007)
Collateral Damage: Exchange Controls and International Trade | Published
Wei, S-J. & Z. Zhang (2007)
Controls on capital inflows and external shocks
David, A.C. (2007)
How do Capital Controls Affect the Transmission of Foreign Shocks?
Cooke, D. (2007)
The Effect of Capital Controls on Foreign Direct Investment Decisions Under Country Risk with Intangible Assets
Elo, K.Z. (2007)
Precautionary Demand for Foreign Assets in Sudden Stop Economies: An Assessment of the New Merchantilism
Durdu, C.B., E.G. Mendoza & M.E. Terrones (2007)
Capital flight and war
Davies, V.A.B. (2007)
Precautionary Demand for Foreign Assets in Sudden Stop Economies: An Assessment of the New Merchantilism
Durdu, C.B., E.G. Mendoza & M. Terrones (2007)
Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation
Liesenfeld, R., G.V.
Moura & J-F. Richard (2007)
Determinants and Costs of Current Account Reversals under Heterogeneity and Serial Correlation
Assmann, C. (2007)
Do China's capital controls still bind? Implications for monetary autonomy and capital liberalisation
Ma, G. & R.N. McCauley (2007)
Sudden Stops: Determinants and Output Effects in the First Era of Globalization, 1880-1913
Bordo, M.D., A.F. Cavallo & C.M. Meissner (2007)
The Role of Expectations in Sudden Stops
Mertens, K. (2007)
The Duration of Capital Account Crises--An Empirical Analysis
Mecagni, M., R. Atoyan, D. Hofman & D. Tzanninis (2007)
Are Capital Controls in the Foreign Exchange Market Effective?
Straetmans, S., R. Versteeg & C.C. Wolff (2008)
Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market
Dell'Ariccia, G., D. Igan & L. Laeven (2008)
Contagious Speculative Attacks
Gerlach,. S. & F. Smets (1995)
Abstract: During the European exchange market turmoil in 1992–1993 it was evident that speculative attacks tended to spread across currencies. Using a two-country version of the model developed by Flood and Garber (1984) we show how a speculative attack against one currency may accelerate the 'warranted' collapse of a second parity. More importantly, even if the parity of the second currency is viable in the absence of a collapse of the first one, it might be subjected to a speculative attack if the reserves available to defend the parity are 'small'.
Contagion and Trade: Why Are Currency Crises Regional?
Glick, R. & A.K. Rose (1998)
Abstract: Currency crises tend to be regional; they affect countries in geographic proximity. This suggests that patterns of international trade are important in understanding how currency crises spread, above and beyond any macroeconomic phenomena. We provide empirical support for this hypothesis. Using data for five different currency crises (in 1971, 1973, 1992, 1994, and 1997) we show that currency crises affect clusters of countries tied together by international trade. By way of contrast, macroeconomic and financial influences are not closely associated with the cross-country incidence of speculative attacks. We also show that trade linkages help explain cross-country correlations in exchange market pressure during crisis episodes, even after controlling for macroeconomic factors.
On Crises, Contagion, and Confusion
Kaminsky, G. & C. Reinhart (1999)
Abstract: Since the Tequila crisis of 1994-95, the Asian flu of 1997, and the Russian virus of 1998, economists have been busy producing research on the subject of contagion. Yet, few studies have examined empirically through which channels the disturbances are transmitted if there are, indeed, fundamental reasons for the spillovers we observe. We attempt to fill this gap by analyzing how both trade links and the largely ignored financial sector links influence the pattern of fundamentals-based contagion. We examine the role of international bank lending, the potential for cross-market hedging, and bilateral and third-party trade in the propagation of crises.
On Currency Crises and Contagion
Fratzscher, M. (2000)
Contagion: How to Measure It?
Rigobon, R. (2001)
Are Trade Linkages Important Determinants of Country Vulnerability to Crises?
Forbes, K.J. (2001)
What Drives Contagion: Trade, Neighborhood, or Financial Links?
Hernandez, L.F. & Valdes, R.O. (2001)
Crisis and Contagion in East Asia: Nine Lessons
Kawai, M., R. Newfarmer & S. Schmukler (2001)
Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test
Corsetti, G., M. Pericoli & M. Sbracia (2001)
Abstract: This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a factor model of returns as theoretical framework, we nest leading contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of contagion is successful in controlling for a potential bias induced by changes in the variance of global shocks, current tests are conditional on a specific yet arbitrary assumption about the variance of country specific shocks. Our results suggest that, for a number of pairs of country stock markets, the hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not consistent with the evidence.
Volatility Dependence and Contagion in Emerging Equity Markets
Edwards, S. & R. Susmel (2001)
Pure Contagion and Investors Shifting Risk Appetite: Analytical Issues and Empirical Evidence
Kumar, M.S. & A. Persaud (2001)
Asset Market Linkages in Crisis Periods | Published
Hartmann, P., S. Straetmans & C.G. de Vries (2001/2004)
International Financial Contagion and the Fund: A Theoretical Framework
Clark, P.B. & H. Huang (2001)
Financial Institutions, Contagious Risks, and Financial Crises
Huang, H. & C. Xu (2001)
Crises in The Global Economy from Tulips to Today: Contagion and Consequences
Neal, L. & M.D. Weidenmier (2001)
Determinants of Private Capital Flows in the 1970s and 1990s - Is There Evidence of Contagion?
Hernandez, L.F., P. Mellado & R.O. Valdes (2001)
Testing for contagion using correlations: some words of caution
Dungey, M. & D. Zhumabekova (2002)
International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse | Published
Dungey, M., R. Fry, B. Gonzalez-Hermosillo & V. Martin (2002/06)
Extreme Contagion in Equity Markets
Chan-Lau, J., D.J. Mathieson & J.Y. Yao (2002)
Coordination Failure and Financial Contagion
Manz, M. (2002)
An empirical analysis of limited recourse project
Kleimeier, S. & H. Sander (2002)
Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion | Published
Corsetti, G., M. Pericoli & M. Sbracia (2002/05)
Spreading Currency Crises: The Role of Economic Interdependence | Published
Berger, W. & H. Wagner (2002)
High Frequency Contagion of Currency Crises in Asia
Ito, T. & Y. Hashimoto (2002)
Capital Flows, Country Risk, and Contagion
Fiess, N.M. (2003)
The Center and the Periphery: The Globalization of Financial Turmoil
Kaminsky, G.L. & C. Reinhart (2003)
Market Integration and Contagion
Bekaert, G. & C.R. Harvey (2003)
Contagion of Currency Crises across Unrelated Countries without Common Lender
Taketa, K. (2003)
A Large Speculator in Contagious Currency Crises
Taketa, K. (2003)
Fatal Attraction: A New Measure of Contagion | Published
Bayoumi, T.A., G. Fazio, M.S. Kumar & R. Macdonald (2003/07)
Testing for Contagion in International Financial Markets: Which Way to Go?
Walti, S. (2003)
Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998
Dungey, M., R. Fry, B. Gonzalez-Hermosillo & V. Martin (2003)
Testing for Financial Contagion between Developed and Emerging Markets during the 1997 East Asian Crisis
Arestis, P., G.M. Caporale & A. Cipollini (2003)
Shift Contagion in Asset Markets | Published
Gravelle, T., M. Kichian & J. Morley (2003/06)
Contagion and State Dependent Mutations
Lee, I.H., A. Szeidl & A. Valentinyi (2003)
The Global Transmission of Volatility in the Foreign Exchange Market
Melvin, M. & B.P. Melvin (2003)
Testing for contagion in international financial markets: which way to go?
Walti, S. (2003)
Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Ciccarelli, M. & A. Rebucci (2003)
The Unholy Trinity of Financial Contagion | Published
Kaminsky, G.L., C. Reinhart & C.A. Vegh (2003)
The Interactions between Debt and Currency Crises: Common Causes or Contagion?
Herz, B. & H. Tong (2004)
Econometric Issues in the Analysis of Contagion | Published
Pesaran, H. & A. Pick (2004/07)
Econometric issues in the analysis of contagion
Contagion, Herding and Exchange Rate Instability - A Survey
REVIEW PAPER
Belke, A. & R. Setzer (2004)
High-Frequency Contagion Between the Exchange Rates and Stock Prices
Hashimoto, Y. & T. Ito (2004)
The Asian flu and Russian virus: the international transmission of crises in firm-level data
Forbes, K.J. (2004)
Empirical Modeling of Contagion: A Review of Methodologies
REVIEW PAPER
Dungey, M., R. Fry, B. Gonzalez-Hermosillo & V. Martin (2004)
Fundamentals and Joint Currency Crises | Alternative
Market Stress and Herding
Exchange Rate Regimes, Globalisation And The Cost Of Capital In Emerging Markets
Managerial Incentives and Financial Contagion
International transmission of stock exchange volatility: Empirical evidence from the Asian crisis
International capital flows and transmission of financial crises
When in Peril, Retrench: Testing the Portfolio Channel of Contagion | Published
Strong Contagion with Weak Spillovers | Published
Abstract: In this paper, we develop a model which explains why events in one market may trigger similar events in other markets, even though at first sight the markets appear to be only weakly related. We allow for multiple equilibria and learning dynamics in each market, and show that a jump between equilibria in one market is contagious because it more than doubles the probability of a similar jump in another market. We claim that contagion is strong since equilibrium jumps become highly synchronized across markets. Spillovers are weak because the instantaneous spillover of events from one market to another is small. To illustrate our result, we demonstrate how a currency crisis may be contagious with only weak links between countries. Other examples where weak spillovers would create strong contagion are various models of monetary policy, imperfect competition and endogenous growth.
Wealth Transfers, Contagion, and Portfolio Constraints
Intra and inter-regional causal linkages of emerging stock markets: evidence from Asia and Latin America in and out of crises
Investment Restrictions and Contagion in Emerging Markets
Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion
Vanishing Contagion?
Credit risk transfer and contagion
Credit Chains and the Propagation of Financial Distress
Credit contagion and aggregate losses
Expectations and Contagion in Self-Fulfilling Currency Attacks
Is There Hedge Fund Contagion?
Cross-border Bank Contagion in Europe
Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis
An empirical study to identify shift contagion during the Asian crisis
Contagion Equilibria in a Monetary Model
Contagion and interdependence: Measuring CEE banking sector co-movements
Informational contagion of bank runs in a third-generation crisis model
Contagion Risk in the International Banking System and Implications for London as a Global Financial Center
The defense of multilateral exchange rate target zones against contagious crises
Deconstructing the Nasdaq bubble: A look at contagion across international stock markets
A simple model of credit contagion
Identification and Estimation in an Incoherent Model of Contagion
Extreme interdependence and extreme contagion between emerging markets
A Model of Balance-of-Payments Crises
Abstract: This is the seminal paper on the analysis of balance-of-payments crises.
Fiscal Deficits, Exchange Rate Crises and Inflation
Balance of Payments Crises in a Cash-in-Advance Economy
Abstract: The author shows that a flexible-prices, Sidrauski-type model with a cash-in-advance constraint is capable of depicting some of the phenomena associated with a balance of payments crisis, like the onesrecently observed in Argentina and Mexico (current-accounts deficits,and appreciation of the real exchange rat e). It is also shown that these phenomena become exacerbated as the rate of devaluation (before the crisis occurs) becomes smaller.
The Logic of Currency Crises
Abstract: In this paper it is argued that on cannot adequately understand the recent European currency experience in terms of Krugman's (1979) model. Instead, I present two different models in which crisis and realignment result from the interaction of rational private economic actors and a government that pursues well-defined policy goals.
Mexico's balance-of-payments crisis: a chronicle of death foretold
Abstract: This paper claims that the roots of Mexico's balance-of-payments crisis are found in the prevailing high degree of capital mobility and financial globalization. Under these circumstances, shifts in foreign capital flows and anticipation of a banking system bailout may produce large imbalances between stocks of financial assets and foreign reserves, threatening the sustainability of currency pegs. Econometric analysis suggests that half of Mexico's reserve losses could be accounted for by these phenomena. Large financial imbalances are also fertile ground for self-sulfilling prophesy crises which lead devaluations to produce deep recessions. These difficulties can be partly remedied by appropriate policies.
Leading Indicators of Currency Crises
Fire-Sale FDI
Perspectives on the Recent Currency Crisis Literature
Abstract: Examines the flip side of Asian Flu - rapid foreign acquiring. This is due to Asian firms selling off and currencies plunging.
Paper Tigers? A Model of the Asian Crisis
Abstract: This paper develops an interpretation of the Asian meltdown focused on moral hazard as the common source of overinvestment, excessive external borrowing, and current account deficits. To the extent that foreign creditors are willing to lend to domestic agents against future bail-out revenue from the government, unprofitable projects and cash shortfalls are re-financed through external borrowing. While public deficits need not be high before a crisis, the eventual refusal of foreign creditors to refinance the country's cumulative losses forces the government to step in and guarantee the outstanding stock of external liabilities. To satisfy solvency, the government must then undertake appropriate domestic fiscal reforms, possibly involving recourse to seigniorage revenues. Expectations of inflationary financing thus cause a collapse of the currency and anticipate the event of a financial crisis. The empirical section of the paper presents evidence in support of the thesis that weak cyclical performances, low foreign exchange reserves, and financial deficiencies resulting into high shares of non-performing loans were at the core of the Asian collapse.
The Economics of Currency Crises and Contagion: An Introduction
REVIEW PAPER
Abstract: Two theories of the causes of currency crises prevail in the economic literature. The first traces currency instability to countries' structural imbalances and weak policies; the second identifies arbitrary shifts in market expectations as the principal source of instability. The authors of this article contend that only a synthesis of these theories can capture the complexity of the 1997-98 Asian currency crisis. In their view, the crisis resulted from the interaction of structural weaknesses and volatile international capital markets. The authors also cite two other factors that contributed to the severity of the Asia crisis: inadequate supervision of the banking and financial sectors and the rapid transmission of the crisis across countries linked by trade and common credit sources.
Corruption, Composition of Capital Flows, and Currency Crises
A Currency Crises Model That Works: A Payments Disequilibrium Approach
Portfolio Diversification, Leverage, and Financial Contagion
Safety from Currency Crashes
Currency Instability and Government Change
A Primer on Emerging Market Crises
The double play: simultaneous speculative attacks on currency and equity markets
Currency Crises and Foreign Reserves - A Simple Model
Negative Alchemy? Corruption, Composition of Capital Flows, and Currency Crises
Does the Current Account Matter?
The Role of Large Players in Currency Crises
Managing Currency Crises in Emerging Markets
CONFERENCE VOLUME
Rescue Packages and Output Losses Following Crises
A Cure Worse Than The Disease? Currency Crises and the Output Costs of IMF-Supported Stabilization Programs
Stopping 'Hot Money' or Signaling Bad Policy? Capital Controls and the Onset of Currency Crises
de Vries, C.G., P. Hartmann & S. Straetmans (2004)
Hwang, S. & M. Salmon (2004)
de los Rios, A.D. (2004)
Chakravorti, S. & S. Lall (2004)
Fernandez-Izquierdo, A. & J.A. Lafuente (2004)
Goenka, A. & M. Boschi (2004)
Broner, F.A., R.G. Gelos & C. Reinhart (2004/06)
Ellison, M., L. Graham & J. Vilmunen (2005/06)
Pavlova, A. & R. Rigobon (2005)
Fujii, E. (2005)
Ilyina, A. (2005)
Candelon, B., A. Hecq & W.F.C. Verschoor (2005)
Didier, T., P. Mauro & S.L. Schmukler (2006)
Allen, F. & E. Carletti (2006)
Boissay, F. (2005)
Gieseckea, K. & S. Weber (2006)
Keister, T. (2006)
Boyson, N.M., C.W. Stahel & R.M. Stultz (2006)
Gropp, R., M.L. Duca & J. Versala (2006)
Gebka, B. & D. Serwa (2006)
Marais, E. & S. Bates (2006)
Aliprantis, C.D., G. Camera & D. Puzzello (2007)
Jokipii, T. & B. Lucey (2007)
Vaugirard, V. (2007)
Chan-Lau, J.A., S. Mitra & L.L. Ong (2007)
Pentecote, J-S. (2007)
Hon, M.T., J.K. Strauss & S-K. Yong (2007)
Egloff, D., M. Leippold & P. Vanini (2007)
Massacci, D. (2007)
Fazio, G. (2007)
Currency Crises
Krugman, P.R. (1979)
van Wijnbergen, S. (1987)
Calvo, G.A. (1987)
Obstfeld, M. (1994)
Calvo, G.A. & E. Mendoza (1994)
Kaminsky, G., S. Lizondo & C.M. Reinhart (1997)
Krugman, P. (1998)
REVIEW PAPER
Flood, R. & N. Marion (1998)
Corsetti, G., P. Pesenti & N. Roubini (1998)
Pesenti, P. and C. Tille (1999)
Wei, S.J. (2000)
Nitithanprapas, E. & T.D. Willett (2000)
Schinasi, G.J. & R.T. Smith (2000)
Osband, K. & C. Van Rijckeghem (2000)
Chang, M. (2000)
Dornbusch, R. (2001)
Chakravorti, S. & S. Lall (2001)
Disyatat, P. (2001)
Wei, S.J. & Wu, Y. (2001)
Edwards, S. (2001)
Corsetti, G., P. Pensenti & N. Roubini (2001)
Dooley, M. & J. Frankel, Editors (2001)
Dooley, M. & S. Verma (2001)
Hutchinson, M.M. (2001)
Glick, R. & M. Hutchison (2001)