Explaining the Real Exchange Rate during Sudden Stops and Tranquil Periods

Akiko Hagiwara ()

International Finance from University Library of Munich, Germany

Abstract: This paper untangles the causes behind real exchange rate devaluation events with particular attention paid to the Sudden Stop of capital flows. By utilizing cumulative impulse response function and variance decomposition analysis, we argue that there is the asymmetric response across Sudden Stop and tranquil times. Further comparison across the Sudden Stop in the 80s ("debt crisis") and 90s ("Sudden Stop crisis"), however, reveals that the Sudden Stop disturbance has become more prominent in explaining the real exchange rate disturbance in Sudden Stop crisis of the 1990s rather than debt crisis of the 1980s.

Keywords: Exchange rate depreciation; Capital flows; Sudden Stop; Asia; and Latin America (search for similar items in EconPapers)
JEL-codes: F31 F32 F41 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2005-04-20
New Economics Papers: this item is included in nep-ifn and nep-sea
Note: Type of Document - pdf; pages: 34
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0504006

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