Explaining the Real Exchange Rate during Sudden Stops and Tranquil Periods

Akiko Terada- Hagiwara ()

International Finance from EconWPA

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 (gdebt crisish) and 90s (gSudden Stop crisish), 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)
New Economics Papers: this item is included in nep-ifn and nep-sea
Date: 2005-04-20
Note: Type of Document - pdf; pages: 34

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

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