2002 Fiscal Year Final Research Report Summary
On Currency Crises of the 1990's
| Project/Area Number |
13630110
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | HIROSHIMA UNIVERSITY |
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Principal Investigator |
YANO Junji Hiroshima University, Faculty of Economics, Professor, 経済学部, 教授 (40210306)
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| Project Period (FY) |
2001 – 2002
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| Keywords | Self-Fulfilling Currency Crisis / Capital Flow / Leading indicators / Conatgion Effects / Cointegration |
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| 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.
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