Do high interest rates defend currencies during speculative attacks? New evidence

• 成果类型: Article
• 署名作者: Goderis, Benedikt; Ioannidou, Vasso P.
• 署名单位: University of Oxford; Tilburg University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2007.05.003
• 发表日期: 2008
• 页码: 158-169
• 关键词: speculative attacks; currency crises; monetary policy; short-term debt

摘要

Kraay [Kraay, A., 2003. Do high interest rates defend currencies during speculative attacks? Journal of International Economics 59, 297-321.] documents the lack of any systematic association between monetary policy and the outcome of a speculative attack. This paper revisits Kraay's work and modifies it by introducing an improved measure of monetary policy and an additional country-specific fundamental, short-term corporate debt, to capture balance sheet vulnerabilities emphasized by the recent currency crises literature. The results show that for low levels of short-term corporate debt, raising interest rates lowers the probability of a successful attack. This effect decreases and eventually reverses for higher levels of debt. These findings contrast earlier empirical evidence and imply a fundamental reconsideration of the role of monetary policy during currency crises. (C) 2007 Elsevier B.V. All rights reserved.