Sudden stops and the Mexican wave: Currency crises, capital flow reversals and output loss in emerging markets

• 成果类型: Article
• 署名作者: Hutchison, MM; Noy, I
• 署名单位: University of California System; University of California Santa Cruz; University of Hawaii System; University of Hawaii Manoa
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2004.12.002
• 发表日期: 2006
• 页码: 225-248
• 关键词: growth; Currency crisis; sudden stop; current account reversals

摘要

Sudden stops are the simultaneous occurrence of a currency/balance of payments crisis with a reversal in capital flows. We investigate whether sudden-stop crises are a unique phenomenon and whether they entail an especially large and abrupt pattern of output collapse (a Mexican wave). Using a panel data set over 1975-1997 and covering 24 emerging-market economies, we distinguish between the output effects of currency crises, capital inflow reversals, and sudden-stop crises. Sudden-stop crises have a large negative, but short-lived, impact on output growth over and above that found with currency crises. A currency crisis typically reduces output by about 2-3%, while a sudden stop reduces output by an additional 6-8% in the year of the crisis. The cumulative output loss of a sudden stop is even larger, around 13-15% over a 3-year period. Our model estimates correspond closely to the output dynamics of the 'Mexican wave' (such as seen in Mexico in 1995, Turkey in 1994 and elsewhere), and out-of-sample predictions of the model explain well the sudden (and seemingly unexpected) collapse in output associated with the 1997-1998 Asian Crisis. (c) 2005 Elsevier B.V. All rights reserved.