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Contagious Currency Crises: First Tests

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  • Eichengreen, Barry
  • Rose, Andrew
  • Wyplosz, Charles

Abstract

The authors address the fact that the incidence of speculative attacks tends to be temporally correlated; that is, currency crises appear to pass 'contagiously' from one country to another. The paper provides a survey of the theoretical literature. The authors also provide empirical evidence consistent with the contagious nature of currency crises. They estimate that the existence of a currency crisis elsewhere in the world (whether successful or not) raises the probability of an attack on the domestic currency by 8 percent, even after taking account of a variety of domestic political and economic factors. Copyright 1996 by The editors of the Scandinavian Journal of Economics.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.

Volume (Year): 98 (1996)
Issue (Month): 4 (December)
Pages: 463-84

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Handle: RePEc:bla:scandj:v:98:y:1996:i:4:p:463-84

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Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442

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Web: http://www.blackwellpublishing.com/subs.asp?ref=0347-0520

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  1. Diamond, Douglas W & Dybvig, Philip H, 1983. "Bank Runs, Deposit Insurance, and Liquidity," Journal of Political Economy, University of Chicago Press, vol. 91(3), pages 401-19, June.
  2. Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series 1619, The World Bank.
  3. Maurice Obstfeld, 1991. "Destabilizing Effects of Exchange-Rate Escape Clauses," NBER Working Papers 3603, National Bureau of Economic Research, Inc.
  4. Claessens, Stijn, 1991. "Balance of payments crises in an optimal portfolio model," European Economic Review, Elsevier, vol. 35(1), pages 81-101, January.
  5. Flood, Robert P. & Garber, Peter M., 1984. "Collapsing exchange-rate regimes : Some linear examples," Journal of International Economics, Elsevier, vol. 17(1-2), pages 1-13, August.
  6. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
  7. Grilli, Vittorio U., 1986. "Buying and selling attacks on fixed exchange rate systems," Journal of International Economics, Elsevier, vol. 20(1-2), pages 143-156, February.
  8. Bensaid, Bernard & Jeanne, Olivier, 1997. "The instability of fixed exchange rate systems when raising the nominal interest rate is costly," European Economic Review, Elsevier, vol. 41(8), pages 1461-1478, August.
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