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On Currency Crises of the 1990's

Research Project

Project/Area Number 13630110
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionHIROSHIMA UNIVERSITY

Principal Investigator

YANO Junji  Hiroshima University, Faculty of Economics, Professor, 経済学部, 教授 (40210306)

Project Period (FY) 2001 – 2002
Project Status Completed (Fiscal Year 2002)
Budget Amount *help
¥900,000 (Direct Cost: ¥900,000)
Fiscal Year 2002: ¥900,000 (Direct Cost: ¥900,000)
KeywordsSelf-Fulfilling Currency Crisis / Capital Flow / Leading indicators / Conatgion Effects / Cointegration
Research Abstract

Not a few serious currency crises such as 1994 Mexican crisis, 1997 East Asia crisis erupted in 1990's. There exists two view on the nature of those crises. One view features fundamental factors as appreciation of real value of national currency, substantial worsening of current account and so on. Other view stresses financial panic in the spreading process of the crises. There are many empirical studies based on the fundamental currency crisis models and some of those analyses are rather successful in explaining currency crises in the former eras. However, to this date, only few empirical studies based on the second view exist in the literature. Thus in this study we further extend empirical study based on self-fulfilling currency crisis models. In first part of the study, we applied empirical framework of Sachs-Velasco-Tornell (1996) to the analyses of the 1997 East Asia currency crisis, 1997 Brazil crisis, 2002 Argentina crisis. It was found that 1997 East Asian currency crisis shares the nature of the self-fulfilling currency crisis models. However, the model did not have same explanatory power for the 1999 Brazil crisis and 2003 Argentina crisis. Hence in second part of the study, we adopted cointegration approach to examine the structural change of the co-movements of short-term interest rate. We examined the interest rate behavior in Latin American countries and those in East Asian countries. We found that the co-movements of the interest rates in the area became rather stronger in the latter half of 1990's in both areas.

Report

(3 results)
  • 2002 Annual Research Report   Final Research Report Summary
  • 2001 Annual Research Report
  • Research Products

    (6 results)

All Other

All Publications (6 results)

  • [Publications] 矢野順治, 池本雪乃: "90年代通貨危機の実証分析"広島大学経済論叢. 27-2(未定). (2003)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] 矢野順治, テイーキヤンヘーン: "通貨危機の伝染効果:共和分アプローチ"広島大学経済論叢. 27-2(未定). (2003)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] Junji Yano, Yukino Ikemoto: "On Currency Crises of 1990s (in Japanese)"Hiroshima Daigaku Seikei Ronsou. Vol.27,No.2(Forthcoming). (2003)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] Junji Yano, Tee Kyan Hahn: "On Contagion Effects: Contintegration Approach (in Japanese)"Hiroshima Daigaku Seikei Ronsou. Vol.27,No.2(Forthcoming). (2003)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] 矢野順治, 池本雪乃: "90年代通貨危機の実証分析"広島大学経済論叢. 27・2(未定). (2003)

    • Related Report
      2002 Annual Research Report
  • [Publications] 矢野順治, ティー・キャン・ヘーン: "通貨危機の伝染効果:共和分アプローチ"広島大学経済論叢. 27・2(未定). (2003)

    • Related Report
      2002 Annual Research Report

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Published: 2002-04-01   Modified: 2016-04-21  

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