| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP3846
|
| DP3846 Digital Goods and the New Economy |
| Danny Quah
|
| 发表日期 | 2003-03-23
|
| 出版年 | 2003
|
| 语种 | 英语
|
| 摘要 | We pursue the idea that a region presents a common ?prospectus? to investors and lenders. Specifically, we explore whether investors respond to regional developments, rather than to country-specific fundamentals. Such behaviour may be appropriate where regions are identified by common development strategies and economic policies, and the costs of country-specific analysis exceed the returns. Using dynamic factor analysis, we estimate a common regional component of the exchange market pressure index (EMPI) as a measure of regional vulnerability. We find that a high level of regional external liabilities and exuberance in domestic stock and credit markets generates regional vulnerabilities, which are heightened when the US High Yield Index is also on the rise. Country-specific movements of the EMPI are also explained by the same regional indicators rather than by the country-specific components of these indicators. |
| 主题 | International Macroeconomics
|
| 关键词 | Currency crisis
Vulnerability
Contagion
Dynamic factor analysis
|
| URL | https://cepr.org/publications/dp3846
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532828
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推荐引用方式
GB/T 7714 |
Danny Quah. DP3846 Digital Goods and the New Economy. 2003.
|
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