A Model of Crises in Emerging Markets

A Model of Crises in Emerging Markets

This paper presents a perfect foresight model of speculative attacks on emerging markets. Credit constrained governments are assumed to have two objectives: to accumulate liquid assets in order to self-insure against shocks to national consumption and to insure poorly regulated domestic ®nancial markets. This policy regime generates endogenous ®scal de®cits de®ned to include the growth of conti...

Long Memory in Stock Returns: A Study of Emerging Markets

The present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. When return series exhibit long memory, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. It poses a serious challenge to ...

Managing ...nancial crises in emerging markets: new developments in review

We begins with a summary of the current debate on sovereign debt restructuring, including the idea of inserting collective action clauses (CACs) into sovereign bond contracts and the IMF’s proposal for a Sovereign Debt Restructuring Mechanism (SDRM). We compare these two proposals in a context where problems of creditor coordination interact with those of debtor incentives – “debtor moral hazar...

Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets

Financial Crises in Emerging Markets: The Lessons from 1995

THE MEXICAN PESO crisis of December 1994, and its reverberations in the financial markets of developing countries around the world, has intensified the debate over the nature of balance of payments crises in developing countries. Many simple explanations have been given for the crisis and its aftermath, but none of them does very well at accounting for the main patterns of behavior in emerging ...