Crisis Transmission : Evidence from the Debt, Tequila, and Asian Flu Crises

By Jose de Gregorio, R. Valdes. 2001

136 citations recorded by the source corpus.

The increasing globalization of the economy has put the issue of the international transmission of crises in the front line. Although the word contagion is a rather new concept in international finance, it is the focus of a large number of policy-oriented seminars and debates. The clustering of crises by both region and time are at the heart of this discussion. There are several important questions that need to be answered. In this chapter we focus on a subset of them: (i) What are the propagation channels of international crises across countries (other than common shocks)? (ii) Was the debt crisis contagious? And (iii) are there useful policy instruments to shield countries from contagion? In particular, do capital controls, exchange rate flexibility and the external debt-maturity structure affect contagion? We seek to answer these questions using evidence from three key events: the 1982 debt crisis; the 1994 Mexican devaluation; and the 1997 Asian crisis.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4b48f2af08b3525e6391c896ba9bb6cc7e2451cd

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Citations in the corpus

Currency crisis contagion and the identification of transmission channels (2008, methodology): “The same approach as that of Eichengreen et al. (1996) is also applied by De Gregorio and Valdes (2001) who have examined whether the crisis indicator of a country is explained by the initial macroeconomic conditions of the country and the weighted average of crisis indicators of other countries…”
News Spillovers in the Sovereign Debt Market (2003, unknown): “Eichengreen and Mody (2000) analyze data on developing country bonds issued in the years 1991–1996 and find that observed changes in fundamentals explain only a fraction of the spread compression in the period leading up to the crisis in emerging markets.”
Emerging Markets Finance (2003, background): “This literature defines contagion, in the context of currency crises, as the effect on the probability of a speculative attack, which stems from attacks on other currencies (see also De Gregorio and Valdés, 2001).”