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The price of inconvertible deposits - the stock market boom during the Argentine crisis

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  • Levy Yeyati, Eduardo
  • Schmukler, Sergio L.
  • Van Horen, Neeltje

Abstract

The Argentine crisis witnessed, among other things, a deposit run, the suspension of deposit convertibility, and a"boom"in the stock market. The authors argue that this boom reflects the cost that depositors were willing to incur to get their money out of the banking system, in light of the impending risks. This boom was generalized to all stocks, and more pronounced in liquid stocks. Furthermore, the boom was a symptom that deposits were effectively restricted, and that investors were not able to circumvent capital controls.

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Paper provided by The World Bank in its series Policy Research Working Paper Series with number 3146.

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Date of creation: 31 Oct 2003
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Handle: RePEc:wbk:wbrwps:3146
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Keywords: Markets and Market Access; Payment Systems&Infrastructure; Banks&Banking Reform; International Terrorism&Counterterrorism; Fiscal&Monetary Policy; Markets and Market Access; Economic Theory&Research; Banks&Banking Reform; Financial Economics; Access to Markets;

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  1. Augusto de la Torre & Eduardo Levy Yeyati & Sergio L. Schmukler, 2003. "Living and Dying with Hard Pegs: The Rise and Fall of Argentina’s Currency Board," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Spring 20), pages 43-108, January.
  2. Ross Levine & Sergio L. Schmukler, 2003. "Migration, Spillovers,and Trade Diversion: The Impact of Internationalization on Stock Market Liquidity," NBER Working Papers 9614, National Bureau of Economic Research, Inc.
  3. Alaganar, V. T. & Bhar, Ramaprasad, 2001. "Diversification gains from American depositary receipts and foreign equities: evidence from Australian stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 97-113, March.
  4. Michael Melvin, . "A Stock Market Boom During a Financial Crisis? ADRs and capital outflows in Argentina," Working Papers 2133524, Department of Economics, W. P. Carey School of Business, Arizona State University.
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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. El corralito cambiario (Blue)
    by ELY in Blog de Eduardo Levy Yeyati on 2012-03-21 16:33:00
  2. En defensa de los controles de capital
    by Eduardo Levy-Yeyati in Foco Económico on 2010-12-15 12:00:00
  3. Stock as a medium of exchange
    by JP Koning in Moneyness on 2014-10-04 15:55:00
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Eichler, Stefan, 2012. "Limited investor attention and the mispricing of American Depositary Receipts," Economics Letters, Elsevier, vol. 115(3), pages 490-492.
  2. repec:zbw:iwhdps:4-16 is not listed on IDEAS
  3. Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik, 2009. "The ADR shadow exchange rate as an early warning indicator for currency crises," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1983-1995, November.
  4. Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2008. "Financial Stability, the Trilemma, and International Reserves," NBER Working Papers 14217, National Bureau of Economic Research, Inc.
  5. Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2005. "Cross-Border Trading as a Mechanism for Implicit Capital Flight: ADRs and the Argentine Crisis," Working Papers 533, Research Seminar in International Economics, University of Michigan.
  6. Pasquariello, Paolo, 2008. "The anatomy of financial crises: Evidence from the emerging ADR market," Journal of International Economics, Elsevier, vol. 76(2), pages 193-207, December.
  7. Eduardo Yeyati & Sergio Schmukler & Neeltje Van Horen, 2009. "Crises, Capital Controls, and Financial Integration," Working Papers id:2099, eSocialSciences.
  8. Eichler, Stefan & Roevekamp, Ingmar, 2016. "A market-based indicator of currency risk: Evidence from American Depositary Receipts," Hannover Economic Papers (HEP) dp-572, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  9. Marina Halac & Sergio Schmukler, 2003. "Distributional effects of crises : the role of financial transfers," Policy Research Working Paper Series 3173, The World Bank.
  10. Augusto de la Torre & Eduardo Levy Yeyati & Samuel Pienknagura, . "Latin America’s Deceleration and the Exchange Rate Buffer : LAC Semiannual Report, October 2013," World Bank Other Operational Studies 16107, The World Bank.
  11. Eduardo Levy Yeyati & Sergio Luis Schmukler & Neeltje Van Horen, 2006. "International Financial Integration through the Law of One Price," Business School Working Papers 2006-01, Universidad Torcuato Di Tella.
  12. Levy Yeyati, Eduardo & Schmukler, Sergio L. & Van Horen, Neeltje, 2009. "International financial integration through the law of one price: The role of liquidity and capital controls," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 432-463, July.
  13. Maltritz, Dominik & Eichler, Stefan, 2010. "Currency crisis prediction using ADR market data: An options-based approach," International Journal of Forecasting, Elsevier, vol. 26(4), pages 858-884, October.
  14. Eichler, Stefan, 2011. "Exchange rate expectations and the pricing of Chinese cross-listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 443-455, February.
  15. Asli Demirgüç-Kunt & Luis Servén, 2010. "Are All the Sacred Cows Dead? Implications of the Financial Crisis for Macro- and Financial Policies," World Bank Research Observer, World Bank Group, vol. 25(1), pages 91-124, February.
  16. Stefan Eichler & I. Roevekamp, 2016. "A Market-based Indicator of Currency Risk: Evidence from American Depositary Receipts," IWH Discussion Papers 4, Halle Institute for Economic Research.
  17. Eichler, Stefan & Roevekamp, Ingmar, 2016. "A Market-based Indicator of Currency Risk: Evidence from American Depositary Receipts," IWH Discussion Papers 4/2016, Halle Institute for Economic Research (IWH).
  18. Demirguc-Kunt, Asli & Serven, Luis, 2009. "Are all the sacred cows dead ? implications of the financial crisis for macro and financial policies," Policy Research Working Paper Series 4807, The World Bank.

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