349
Views
1
CrossRef citations to date
0
Altmetric
Research Articles

Macroeconomic costs of currency crises in BRICS: an empirical analysis

&
Pages 223-243 | Received 26 May 2019, Accepted 26 Mar 2020, Published online: 07 Apr 2020

References

  • Abrigo, M.R., and I. Love. 2016. Estimation of panel vector autoregression in Stata. The Stata Journal 16(3): 778–804. doi:10.1177/1536867X1601600314.
  • Aka, B.E. 2006. On the duration of the financial system stability under liberalization. Emerging Markets Review 7(2): 147–61. doi:10.1016/j.ememar.2006.01.002.
  • Baltagi, B. 2008. Econometric analysis of panel data. West Sussex, UK: John Wiley & Sons.
  • Basistha, A., and S. Teimouri. 2015. Currency crises and output dynamics. Open Economies Review 26(1): 139–53. doi:10.1007/s11079-014-9323-y.
  • Berg, A., and C. Pattillo. 1999. Predicting currency crises: The indicators approach and an alternative. Journal of International Money and Finance 18(4): 561–86. doi:10.1016/S0261-5606(99)00024-8.
  • Bouri, E., R. Gupta, S. Hosseini, and C.K.M. Lau. 2018. Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian graphical structural VAR model. Emerging Markets Review 34: 124–42. doi:10.1016/j.ememar.2017.11.004.
  • Bussière, M., S.C. Saxena, and C.E. Tovar. 2012. Chronicle of currency collapses: Re-examining the effects on output. Journal of International Money and Finance 31(4): 680–708. doi:10.1016/j.jimonfin.2012.01.008.
  • Calvo, G.A., and C.M. Reinhart. 2000. When Capital Inflows Suddenly Stop: Consequences and policy options. In Key issues in reform of the international monetary and financial system, ed. P.B. Kenen and A.K. Swoboda, 175–201. Washington, DC: International Monetary Fund.
  • Cerra, V., and S.C. Saxena. 2008. Growth dynamics: The Myth of economic recovery. American Economic Review 98(1): 439–57. doi:10.1257/aer.98.1.439.
  • Chiodo, A.J., and M.T. Owyang (2002). A case study of a currency crisis: The Russian default of 1998. The Federal Reserve Bank of St. Louis Review, Nov./Dec., 7-18.
  • Corsetti, G., P. Pesenti, and N. Roubini. 1999. What caused the Asian currency and financial crisis? Japan and the World Economy 11(3): 305–73. doi:10.1016/S0922-1425(99)00019-5.
  • Edison, H.J. 2003. Do indicators of financial crises work? An evaluation of an early warning system. International Journal of Finance & Economics 8(1): 11–53. doi:10.1002/ijfe.197.
  • Eichengreen, B., and A.K. Rose. 2003. Does it pay to defend against a speculative attack? In In managing currency crises in emerging markets, eds. Michael P. Dooley and Jeffrey A. Frankel, 61–86. Chicago, IL: University of Chicago Press.
  • Erler, A., C. Bauer, and B. Herz. 2014. Defending against speculative attacks – it is risky, but it can pay off. Journal of Banking and Finance 47: 309–30. doi:10.1016/j.jbankfin.2014.03.036.
  • Erler, A., C. Bauer, and B. Herz. 2015. To intervene, or not to intervene: Monetary policy and the costs of currency crises. Journal of International Money and Finance 51: 432–56. doi:10.1016/j.jimonfin.2014.12.010.
  • Favero, C.A., and F. Giavazzi. 2002. Is the international propagation of financial shocks non-linear?: Evidence from the ERM. Journal of International Economics 57(1): 231–46. doi:10.1016/S0022-1996(01)00139-8.
  • Glick, R., and M.M. Hutchison. 2013. Models of currency crises. In The evidence and impact of financial globalization, ed. G. Caprio, vol. Ch. 33, 485–97. Oxford: Elsevier Inc.
  • Gupta, P., D. Mishra, and R. Sahay. 2007. Behavior of output during currency crises. Journal of International Economics 72(2): 428–50. doi:10.1016/j.jinteco.2006.10.003.
  • Hoechle, D. 2007. Robust standard errors for panel regressions with cross-sectional dependence. The Stata Journal 7(3): 281–312. doi:10.1177/1536867X0700700301.
  • Hong, K., and A. Tornell. 2005. Recovery from a currency crisis: Some stylized facts. Journal of Development Economics 76(1): 71–96. doi:10.1016/j.jdeveco.2003.12.012.
  • Kaminsky, G., S. Lizondo, and C.M. Reinhart. 1998. Leading Indicators of Currency Crises. IMF Staff Papers 45(1): 1–48. doi:10.2307/3867328.
  • Karimi, M., and M.C. Voia. 2014. Currency crises, exchange rate regimes and capital account liberalization: A duration analysis approach. In Advances in non-linear economic modeling, ed. Frauke Schleer-van Gellecom, 233–62. Berlin Heidelberg: Springer.
  • Lahiri, A., and C.A. Vegh. 2007. Output costs, currency crises and interest rate defence of a Peg. The Economic Journal 117(516): 216–39. doi:10.1111/j.1468-0297.2007.02008.x.
  • Licchetta, M. 2011. Common determinants of currency crises: The role of external balance sheet variables. International Journal of Finance & Economics 16(3): 237–55. doi:10.1002/ijfe.425.
  • Ma, Z., and L. Cheng. 2005. The effects of financial crises on international trade. In International trade in East Asia, NBER-East Asia seminar on economics, ed. T. Ito and A.K. Rose, vol. 14, NBER Chapters, 253–86. Chicago, IL: National Bureau of Economic Research.
  • Mensi, W., S. Hammoudeh, D.K. Nguyen, and S.H. Kang. 2016. Global financial crisis and spillover effects among the US and BRICS stock markets. International Review of Economics and Finance 42: 257–76. doi:10.1016/j.iref.2015.11.005.
  • Mensi, W., S. Hammoudeh, J.C. Reboredo, and D.K. Nguyen. 2014. Do global factors impact BRICS stock markets? A quantile regression approach. Emerging Markets Review 19: 1–17. doi:10.1016/j.ememar.2014.04.002.
  • Peng, D., and C. Bajona. 2008. China’s vulnerability to currency crisis: A KLR signals approach. China Economic Review 19(2): 138–51. doi:10.1016/j.chieco.2007.09.003.
  • Pradhan, R.P., P. Dasgupta, and S. Bele. 2013. Finance, development and economic growth in BRICS: A panel data analysis. Journal of Quantitative Economics 11(1–2): 308–22.
  • Ranciere, R., A. Tornell, and F. Westermann. 2006. Decomposing the effects of financial liberalization: Crises vs. growth. Journal of Banking and Finance 30(12): 3331–48. doi:10.1016/j.jbankfin.2006.05.019.
  • Rao, B.M., and P. Padhi. 2018. Common determinants of the likelihood of currency crises in BRICS. Global Business Review 21(3): 1–15.
  • Rao, B.M., and P. Padhi. 2019. Identifying the early warnings of currency crisis in India. Foreign Trade Review 54(4): 269–99. doi:10.1177/0015732519874206.
  • Syriopoulos, T., B. Makram, and A. Boubaker. 2015. Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis. International Review of Financial Analysis 39: 7–18. doi:10.1016/j.irfa.2015.01.015.
  • Tamgac, U. 2011. Crisis and self-fulfilling expectations: The Turkish experience in 1994 and 2000–2001. International Review of Economics and Finance 20(1): 44–58. doi:10.1016/j.iref.2010.07.005.
  • Teimouri, S., and J. Zietz. 2017. Economic costs of alternative monetary policy responses to speculative currency attacks. Journal of International Money and Finance 73(Part B): 419–34. doi:10.1016/j.jimonfin.2017.02.016.
  • Teimouri, S., and T. J. Brooks 2015. Output recovery after currency crises. Comparative Economic Studies 57(1): 75–102. doi:10.1057/ces.2014.45
  • Tudela, M. 2004. Explaining currency crises: A duration model approach. Journal of International Money and Finance 23(5): 799–816. doi:10.1016/j.jimonfin.2004.03.011.
  • Zhang, R., X. Li, and S. Chand. 2018. An early warning of an impending currency crisis in China. The Singapore Economic Review 64(05): 1101–1125.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.