Relative price volatility under Sudden Stops: The relevance of balance sheet effects

• 成果类型: Article; Proceedings Paper
• 署名作者: Calvo, Guillermo A.; Izquierdo, Alejandro; Loo-Kung, Rudy
• 署名单位: Inter-American Development Bank; Inter-American Development Bank; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.06.008
• 发表日期: 2006
• 页码: 231-254
• 关键词: balance of payments crisis; sudden stop; capital flows; dollarization; Real exchange rate; balance sheet effects; current account reversal; financial volatility; relative prices; relative price volatility

摘要

Sudden Stops are associated with increased volatility in relative prices. We introduce a model based on information acquisition to rationalize this increased volatility. An empirical analysis of the conditional variance of the wholesale price to consumer price ratio using panel ARCH techniques confirms the relevance of Sudden Stops and potential balance sheet effects as key determinants of relative price volatility, where balance sheet effects are captured by the interaction of a proxy for potential changes in the real exchange rate (linked to the degree of external leverage of the absorption of tradable goods) and a measure of domestic liability dollarization. (c) 2005 Elsevier B.V. All rights reserved.