Home  About us  Contact
 

Peso Crisis (peso + crisis)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Contagion Effects from the 1994 Mexican Peso Crisis: Evidence from Chilean Stocks

FINANCIAL REVIEW, Issue 1 2002
Ike Mathur
The contagion, or informational spillover, effects of the 1994 peso crisis from the Mexican market to the Chilean market, and to the Chilean American Depository Receipts (ADRs) trading in the U.S., are examined. Significant excess returns are observed for Chilean stocks for the event dates of the Mexican Peso crisis, providing evidence of contagion effects. Significant excess returns on these Chilean ADRs are also observed for each of the five event dates associated with the Peso crisis, suggesting that the contagion effects spilled over to the ADRs. A multiple regression model shows that the spillover contagion effects were very efficiently transmitted from the Mexican market to the Chilean market to the Chilean ADRs. Multifactor regressions show that the most significant influence on the pricing of Chilean ADRs is the raw Chilean Index, rather than the Chilean Index expressed in U.S. dollars. [source]

Market based debt reduction agreements: a case study on Mexican and Polish Brady bonds

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2001
Luca Barbone
F34; G14 Abstract This paper analyzes some aspects of the workings of the Brady bond (restructured Less Developed Countries debt) market. It concentrates on the effects of the December 1994 Mexican crisis on the risk assessment (as measured by the stripped spread) of Poland, another Brady country. The main findings are: (i) over the sample period, the unit root hypothesis on the risk premium (measured by the stripped spread) of Mexico and Poland cannot be rejected; this is consistent with the idea that the risk premium reflects new information accruing to the market; (ii) comovements in stripped spreads between Mexico and Poland were stronger during the period of the Peso crisis: we do not reject the null of cointegration for the year that includes the crisis (July 1994,July 1995), but we do reject the null for the year starting 6 months after the crisis (July 1995,July 1996); (iii) the crisis has had a strong permanent effect on the risk assessment of Mexico with respect to the one of Poland (550 basis points circa). Copyright © 2001 John Wiley & Sons, Ltd. [source]

Market Sentiment and Macroeconomic Fluctuations under Pegged Exchange Rates

ECONOMICA, Issue 292 2006
PIERRE-RICHARD AGÉNOR
The effects of an adverse change in market sentiment, defined as a temporary increase in the premium faced by domestic borrowers on world financial markets, are studied in an intertemporal optimizing framework with imperfect capital mobility. Firms' demands for working capital are financed by bank credit. The shock leads to a rise in domestic interest rates, capital outflows and a drop in official reserves, a reduction in bank deposits and loans, a contraction in output, and an increase in unemployment. These predictions are consistent with Argentina's economic downturn in the immediate aftermath of the Mexican peso crisis of December 1994. [source]

Contagion Effects from the 1994 Mexican Peso Crisis: Evidence from Chilean Stocks

FINANCIAL REVIEW, Issue 1 2002
Ike Mathur
The contagion, or informational spillover, effects of the 1994 peso crisis from the Mexican market to the Chilean market, and to the Chilean American Depository Receipts (ADRs) trading in the U.S., are examined. Significant excess returns are observed for Chilean stocks for the event dates of the Mexican Peso crisis, providing evidence of contagion effects. Significant excess returns on these Chilean ADRs are also observed for each of the five event dates associated with the Peso crisis, suggesting that the contagion effects spilled over to the ADRs. A multiple regression model shows that the spillover contagion effects were very efficiently transmitted from the Mexican market to the Chilean market to the Chilean ADRs. Multifactor regressions show that the most significant influence on the pricing of Chilean ADRs is the raw Chilean Index, rather than the Chilean Index expressed in U.S. dollars. [source]