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Modelling the dependency between currency and debt crises: An option based approach

  • Maltritz, Dominik
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    The interrelation between currency and debt crises is considered in a model relying on option pricing theory. By capturing uncertainty and time aspects in this stochastic and dynamic framework we analyze parameters that determine the probabilities and dependencies of these crises.

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    File URL: http://www.sciencedirect.com/science/article/B6V84-4S08JS7-6/2/75d00dde267fe93ab82b914cb72d8033
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 100 (2008)
    Issue (Month): 3 (September)
    Pages: 344-347

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    Handle: RePEc:eee:ecolet:v:100:y:2008:i:3:p:344-347
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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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. Corsetti, Giancarlo & Mackowiak, Bartosz Adam, 2001. "Nominal Debt and the Dynamics of Currency Crises," CEPR Discussion Papers 2929, C.E.P.R. Discussion Papers.
    3. Benigno, Pierpaolo & Missale, Alessandro, 2001. "High Public Debt in Currency Crises: Fundamentals versus Signalling Effects," CEPR Discussion Papers 2862, C.E.P.R. Discussion Papers.
    4. Michael Chui & Prasanna Gui & Andrew G Haldane, 2000. "Sovereign liquidity crises: analytics and implications for public policy," Bank of England working papers 121, Bank of England.
    5. Jonathan Eaton & Mark Gersovitz & Joseph E. Stiglitz, 1986. "The Pure Theory of Country Risk," NBER Working Papers 1894, National Bureau of Economic Research, Inc.
    6. Giancarlo Corsetti & Bartosz Mackowiak, 2000. "Nominal Debt and the Dynamics of Currency Crises," Working Papers 820, Economic Growth Center, Yale University.
    7. Geske, Robert, 1977. "The Valuation of Corporate Liabilities as Compound Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 541-552, November.
    8. Reinhart, Carmen, 2002. "Default, currency crises, and sovereign credit ratings," MPRA Paper 13917, University Library of Munich, Germany.
    9. Roberto Chang & Andres Velasco, 1998. "Financial crises in emerging markets: a canonical model," Working Paper 98-10, Federal Reserve Bank of Atlanta.
    10. Delianedis, Gordon & Geske, Robert, 1998. "Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults," University of California at Los Angeles, Anderson Graduate School of Management qt7dm2d31p, Anderson Graduate School of Management, UCLA.
    11. Allan Drazen, 2000. "Political Contagion in Currency Crises," NBER Chapters, in: Currency Crises, pages 47-67 National Bureau of Economic Research, Inc.
    12. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    13. Maurice Obstfeld, 1994. "The Logic of Currency Crises," NBER Working Papers 4640, National Bureau of Economic Research, Inc.
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