Pegxit pressure

Kris James Mitchener and Goncalo Pina

Journal of International Money and Finance, 2020, vol. 107, issue C

Abstract: We analyze whether trade shocks put pressure on pegs to break. Using new high-frequency data on prices and export portfolios from the classical gold standard era, we identify a negative causal relationship between export-price shocks and currency-risk premia in emerging market economies. The results indicate that negative export-price shocks increased the probability that countries would abandon their pegs.

Keywords: Currency risk; Commodity prices; Exchange-rate devaluation (search for similar items in EconPapers)
JEL-codes: F31 F33 F36 F41 G15 N10 N20 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:107:y:2020:i:c:s0261560620301479

DOI: 10.1016/j.jimonfin.2020.102191

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