The Experts below are selected from a list of 31269 Experts worldwide ranked by ideXlab platform
Gyozo Gyongyosi - One of the best experts on this subject based on the ideXlab platform.
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household debt revaluation and the real economy evidence from a foreign Currency debt Crisis
Social Science Research Network, 2020Co-Authors: Emil Verner, Gyozo GyongyosiAbstract:We examine the consequences of a sudden increase in household debt burdens by exploiting variation in exposure to household foreign Currency debt during Hungary’s late-2008 Currency Crisis. The revaluation of debt burdens causes higher default rates and a collapse in spending. These responses lead to a worse local recession, driven by a decline in local demand, and negative spillover effects on nearby borrowers without foreign Currency debt. The estimates translate into an output multiplier on higher debt service of 1.67. The impact of debt revaluation is particularly severe when foreign Currency debt is concentrated on household, rather than firm, balance sheets.
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household debt revaluation and the real economy evidence from a foreign Currency debt Crisis
Research Papers in Economics, 2020Co-Authors: Emil Verner, Gyozo GyongyosiAbstract:We examine the consequences of a sudden increase in household debt burdens by exploiting variation in exposure to household foreign Currency debt during Hungary’s late-2008 Currency Crisis. The revaluation of debt burdens leads to higher default rates and a collapse in spending. These responses lead to a worse local recession, driven by employment losses at non-exporting firms, and negative spillover effects on nearby borrowers without foreign Currency debt. The estimates translate into a multiplier on higher debt service of 1.67. The impact of debt revaluation is particularly severe when foreign Currency debt is concentrated on household, rather than firm, balance sheets.
Jamal Ibrahim Haidar - One of the best experts on this subject based on the ideXlab platform.
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Currency Crisis transmission through international trade
Economic Modelling, 2012Co-Authors: Jamal Ibrahim HaidarAbstract:Abstract The Eurozone recent Crisis has shown how balance of payments problems in less developed European Monetary Union (EMU) member countries can affect EMU trading partners, spreading the Crisis to a larger group of countries. This paper introduces a three-country dynamic general equilibrium model to analyze whether and how terms of trade effects can generate a spillover effect or a Currency Crisis transmission between countries. Specifically, using a two period model, it incorporates world market clearing conditions for tradables into a new theoretic model, analyzes net capital flow movements between countries, and establishes cross-border macroeconomic linkages. This paper shows how a Currency Crisis can transmit through the real (trade) sector channel of the economy.
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Currency Crisis transmission through international trade
Social Science Research Network, 2011Co-Authors: Jamal Ibrahim HaidarAbstract:The Eurozone recent Crisis has shown how balance of payments problems in less developed European Monetary Union (EMU) member countries can affect EMU trading partners, spreading the Crisis to a larger group of countries. This paper introduces a three-country dynamic general equilibrium model to analyze whether and how terms of trade effects can generate a spillover effect or a Currency Crisis transmission between countries. Specifically, using a two period model, it incorporates world market clearing conditions for tradables into a new theoretic model, analyzes net capital flow movements between countries, and establishes cross-border macroeconomic linkages. This paper shows how a Currency Crisis can transmit through the real (trade) sector channel; presents how changes in a foreign country's capital flow condition can influence home country's exchange rate through the change in terms of trade; mathematically proves that the significance of the real sector channel between two countries is positively associated with their trade levels; offers a new trade-related explanation for the occurrence of Currency crises between countries; and describes how capital movement between two countries can lead to a Currency Crisis in one of these countries and in a third country.
Emil Verner - One of the best experts on this subject based on the ideXlab platform.
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household debt revaluation and the real economy evidence from a foreign Currency debt Crisis
Social Science Research Network, 2020Co-Authors: Emil Verner, Gyozo GyongyosiAbstract:We examine the consequences of a sudden increase in household debt burdens by exploiting variation in exposure to household foreign Currency debt during Hungary’s late-2008 Currency Crisis. The revaluation of debt burdens causes higher default rates and a collapse in spending. These responses lead to a worse local recession, driven by a decline in local demand, and negative spillover effects on nearby borrowers without foreign Currency debt. The estimates translate into an output multiplier on higher debt service of 1.67. The impact of debt revaluation is particularly severe when foreign Currency debt is concentrated on household, rather than firm, balance sheets.
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household debt revaluation and the real economy evidence from a foreign Currency debt Crisis
Research Papers in Economics, 2020Co-Authors: Emil Verner, Gyozo GyongyosiAbstract:We examine the consequences of a sudden increase in household debt burdens by exploiting variation in exposure to household foreign Currency debt during Hungary’s late-2008 Currency Crisis. The revaluation of debt burdens leads to higher default rates and a collapse in spending. These responses lead to a worse local recession, driven by employment losses at non-exporting firms, and negative spillover effects on nearby borrowers without foreign Currency debt. The estimates translate into a multiplier on higher debt service of 1.67. The impact of debt revaluation is particularly severe when foreign Currency debt is concentrated on household, rather than firm, balance sheets.
Kiyotaka Sato - One of the best experts on this subject based on the ideXlab platform.
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exchange rate changes and inflation in post Crisis asian economies vector autoregression analysis of the exchange rate pass through
Journal of Money Credit and Banking, 2008Co-Authors: Takatoshi Ito, Kiyotaka SatoAbstract:Macro-economic consequences of large Currency depreciations among the Crisis-hit Asian economies varied from one country to another. Inflation did not soar after the Asian Currency Crisis of 1997–98 in most Crisis-hit countries except Indonesia where high inflation followed a very large nominal depreciation of the rupiah. The high inflation meant a loss of price competitive advantage, a key for economic recovery from a Crisis. This paper examines the pass-through effects of exchange rate changes on the domestic prices in the East Asian economies using a vector autoregression analysis. The main results are as follows: (i) the degree of exchange rate pass-through to import prices was quite high in the Crisis-hit economies; (ii) the pass-through to Consumer Price Index (CPI) was generally low, with a notable exception of Indonesia; and (iii) in Indonesia, both the impulse response of monetary policy variables to exchange rate shocks and that of CPI to monetary policy shocks were positive, large, and statistically significant. Thus, Indonesia's accommodative monetary policy, coupled with the high degree of CPI responsiveness to exchange rate changes was an important factor in the inflation-depreciation spiral in the wake of the Currency Crisis.
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exchange rate changes and inflation in post Crisis asian economies vector autoregression analysis of the exchange rate pass through
Journal of Money Credit and Banking, 2008Co-Authors: Kiyotaka SatoAbstract:Macro-economic consequences of large Currency depreciations among the Crisis-hit Asian economies varied from one country to another. Inflation did not soar after the Asian Currency Crisis of 1997-98 in most Crisis-hit countries except Indonesia where high inflation followed a very large nominal depreciation of the rupiah. The high inflation meant a loss of price competitive advantage, a key for economic recovery from a Crisis. This paper examines the pass-through effects of exchange rate changes on the domestic prices in the East Asian economies using a vector autoregression analysis. The main results are as follows: (i) the degree of exchange rate pass-through to import prices was quite high in the Crisis-hit economies; (ii) the pass-through to Consumer Price Index (CPI) was generally low, with a notable exception of Indonesia; and (iii) in Indonesia, both the impulse response of monetary policy variables to exchange rate shocks and that of CPI to monetary policy shocks were positive, large, and statistically significant. Thus, Indonesia's accommodative monetary policy, coupled with the high degree of CPI responsiveness to exchange rate changes was an important factor in the inflation-depreciation spiral in the wake of the Currency Crisis. Copyright (c) 2008 The Ohio State University.
Paolo Pasimeni - One of the best experts on this subject based on the ideXlab platform.
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an optimum Currency Crisis
European Journal of Comparative Economics, 2014Co-Authors: Paolo PasimeniAbstract:This paper presents an ex-post assessment of the current situation of the Economic and Monetary Union (EMU) in light of the conditions prescribed by the theory of Optimum Currency Areas (OCA). The analysis shows that those conditions were satisfied at very different degrees. Factors mobility has clearly increased since the inception of the Eurozone, with an important difference between free movement of capital, which can be considered as fully accomplished, and labour mobility, which has improved, but to a lower degree. Prices and wages flexibility was initially lower compared to other regions, like the US, but has improved over time. The similarity of business cycles among different economies joining the euro was a condition not respected at the beginning, which probably led to sustained imbalances within the Eurozone. Finally, fiscal union was the main missing element of the initial construction of the Eurozone, and still is. The common budget is so exiguous that its effectiveness as shock absorption mechanism is negligible. The analysis then shows how some of the concerns raised on the eve of the euro did actually materialize, even if not immediately. First, in its first decade the Eurozone did not experience major turbulences, because growing financial integration was compensating the need for fiscal transfers, through the private insurance channel. Second, once the long-feared shock hit, the mechanism proved weak and non-resilient. The inherent weaknesses of the EMU became evident. Third, as it had been foreseen, the cost of the adjustment after the shock fell mainly on labour, with much higher and longer unemployment in the Eurozone than both non-Eurozone EU and the US. Fourth, as the theory suggested, the lack of common mechanisms of adjustment dramatically increased socio-economic divergences within the EMU.
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an optimum Currency Crisis
Social Science Research Network, 2014Co-Authors: Paolo PasimeniAbstract:This paper presents an ex-post assessment of the current situation of the EMU in light of the conditions prescribed by the theory of Optimum Currency Areas (OCA). The analysis shows that some of those conditions were satisfied at the inception of the EMU, others were missing at the beginning, but improved over time as expected by the endogenous approach to the OCA theory. The common fiscal capacity was the main missing element of the initial construction of the Eurozone, and still is. The common budget is so exiguous that its effectiveness as shock absorption mechanism is negligible. The analysis then shows how some of the concerns raised on the eve of the euro did actually materialize, even if not immediately. First, in its first decade the Eurozone did not experience major turbulences, because growing financial integration was compensating the need for fiscal transfers, channelling the excess of saving from the ‘core’ to the ‘periphery’. Second, the mechanism generated record-high private indebtedness in the ‘periphery’ and exposure of the banks in the ‘core’, making the whole system more fragile as it relied upon financial markets’ stability. Third, once the long-feared shock hit, the mechanism proved weak and non-resilient. The inherent weaknesses of the EMU became evident. Fourth, as it had been foreseen, the cost of the adjustment after the shock fell mainly on labour, with much higher and longer unemployment in the Eurozone than both non-Eurozone EU and the US. Fifth, as the theory suggested, the lack of common mechanisms of adjustment dramatically increased the socio-economic divergences within the EMU. The paper finally presents a simulation for a common budget of the Eurozone, linked to the relative current account positions of the member states.
