Working Paper: CEPR ID: DP1453
Authors: Barry Eichengreen; Andrew K. Rose; Charles Wyplosz
Abstract: This paper is concerned with the fact that the incidence of speculative attacks tend to be temporally correlated; that is, currency crises appear to pass ?contagiously? from one country to another. The paper provides a survey of the theoretical literature, and analyses the contagious nature of currency crises empirically. Using 30 years of panel data from 20 industrialized countries, we find evidence of contagion. Contagion appears to spread more easily to countries that are closely tied by international trade linkages than to countries in similar macroeconomic circumstances.
Keywords: speculative; channels; international trade; macroeconomic similarity; panel data
JEL Codes: F31
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| common shocks (E32) | contagion (F65) |
| speculative attack in one country (F31) | probability of similar attack in another country (C59) |
| crisis elsewhere (H12) | likelihood of domestic crisis (H12) |
| trade linkages (F19) | contagion effects (E44) |
| macroeconomic similarities (E19) | contagion effects (E44) |