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Determining underlying macroeconomic fundamentals during emerging market crises: Are conditions as bad as they seem?

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dc.contributor.author Aguiar, Mark
dc.contributor.author Broner, Fernando
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned 2017-07-26T12:08:01Z
dc.date.available 2017-07-26T12:08:01Z
dc.date.issued 2001-08-01
dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=863
dc.identifier.citation Journal of Monetary Economics, 53 (4), 2006, 699-724
dc.identifier.uri http://hdl.handle.net/10230/338
dc.description.abstract Emerging market crises are characterized by large swings in both macroeconomic fundamentals and asset prices. The economic significance of observed movements in macroeconomic variables is obscured by the brief and extreme nature of crises. In this paper we propose to study the macroeconomic consequences of crises by studying the behavior of effective fundamentals, constructed by studying the relative movements of stock prices during crises. We find that these effective fundamentals provide a different picture than that implied by observed fundamentals. First, asset prices often reflect expectations of improvement in fundamentals after the initial devaluations; specifically, effective depreciations are positive but not as large as the observed ones. Second, crises vary in their effect on credit market conditions, with investors expecting tightening of credit in some cases (Mexico 1994, Philippines 1997), but loosening of credit in others (Sweden 1992, Korea 1997, Brazil 1999).
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 863
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Determining underlying macroeconomic fundamentals during emerging market crises: Are conditions as bad as they seem?
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2017-07-23T02:40:34Z
dc.subject.keyword currency crises; emerging markets; stock prices; overshooting; credit markets
dc.subject.keyword Macroeconomics and International Economics
dc.rights.accessRights info:eu-repo/semantics/openAccess

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