Financial Fragility and Mexico's 1994 Peso Crisis: An Event-Window Analysis of Market-Valuation Effects

Berry Wilson, Anthony Saunders and Gerard Caprio

Journal of Money, Credit and Banking, 2000, vol. 32, issue 3, 450-68

Abstract: Persistent cycles of devaluation, debt repudiation, and financial crisis have been recurrent themes in Latin America and elsewhere. This study focuses on one such event, namely, the Mexican peso devaluation, debt, and financial-sector crisis of 1994-95. This paper utilizes an event-study framework, with daily stock market data, to document financial market responses to the unfolding crisis. In particular, we find that the devaluation itself was viewed as relatively benign by market participants. The results also show little evidence that investors anticipated the peso devaluation, the declining reserve levels of Mexico's central bank, and the increasing sovereign default risk of Mexico. However, the results suggest that the equity markets did respond positively to remedial actions taken by governmental authorities, such as the Clinton bailout plan.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (9)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Financial fragility and Mexico's 1994 peso crisis: an event-window analysis of market-valuation effects (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:32:y:2000:i:3:p:450-68

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().