To access the full text documents, please follow this link: http://hdl.handle.net/10230/338

Title:	Determining underlying macroeconomic fundamentals during emerging market crises: Are conditions as bad as they seem?
Author:	Aguiar, Mark; Broner, Fernando
Other authors:	Universitat Pompeu Fabra. Departament d'Economia i Empresa
Abstract:	Emerging market crises are characterized by large swings in both macroeconomic fundamentalsand asset prices. The economic significance of observed movements in macroeconomicvariables 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).
Subject(s):	-currency crises; emerging markets; stock prices; overshooting; credit markets -Macroeconomics and International Economics
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 http://creativecommons.org/licenses/by-nc-nd/3.0/es/
Document type:	Working Paper
Share:

Show full item record