G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9369
DP9369 Three Sisters: The Interlinkage between Sovereign Debt, Currency and Banking Crises
Sylvester Eijffinger; Bilge Karatas
发表日期2013-03-03
出版年2013
语种英语
摘要The sovereign debt default and the linkages from banking and currency crisis have been rarely explored in the crisis literature. This study attempts to dive into this unexplored area by applying panel data binary choice model on a sample with 20 emerging countries having monthly observations for the years between 1985 and 2007. The non-linear linkages from currency and banking crises to sovereign defaults are explored by using the interactions of these crises with international illiquidity, appreciated real exchange rates and real international monetary policy rates. It is discovered that currency, banking and debt crises tend to occur simultaneously. Prior occurrence of a currency crisis increases the sovereign default probability through appreciated real exchange rates, and in countries with high short-term indebtedness the occurrence of banking crisis raises the probability of a debt crisis.
主题International Macroeconomics
关键词Debt crisis Banking crisis Currency crisis Emerging markets
URLhttps://cepr.org/publications/dp9369
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/538205
推荐引用方式
GB/T 7714
Sylvester Eijffinger,Bilge Karatas. DP9369 Three Sisters: The Interlinkage between Sovereign Debt, Currency and Banking Crises. 2013.
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