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Título del libro: Capital Without Borders: Challenges To Development
Título del capítulo: Timing the Mexican 1994-95 financial crisis using a Markov switching approach

Autores UNAM:
MORITZ ALBERTO CRUZ BLANCO;
Autores externos:
Idioma:
Inglés
Año de publicación:
2010
Palabras clave:

Financial crises; Market confidence; Markov switching autoregressive model; Mexico

Resumen:

It is increasingly asserted that recent financial crises have been driven by changes in market sentiment, the latter stemming from alterations in so-called fundamentals. There are, however, few studies aimed at identifying empirically whether this is true. Applying a Markov switching autoregressive model and using the broad money-to-international reserves ratio as the variable that captures market confidence, this chapter times the start and the end of Mexico's 1994-95 financial crisis. The estimated probabilities indicate that financial panic started since November 1993 and that it ended in May 1995. It is established that the beginning and end of the crisis is associated with a change in private agents? confidence and not to ex post events, such as the abandonment of the exchange rate or the recovery of the economy led by export growth. The results also indicate that in order to recover agents? confidence, the government had to reinforce its strategy of financial liberalisation. This placed strong limitations on the authorities? room for manoeuvre in setting macroeconomic policy. © 2010 Ashwini Deshpande editorial matter and selection.

Entidades citadas de la UNAM:
Fuente:


ISBN:
9780857289575
Editorial:
Anthem Press Nombre de la publicación:
Timing the Mexican 1994-95 financial crisis using a Markov switching approach
Página inicial:
39
Página final:
52

Tipo de producto:
Capítulo de un Libro



DOI:
10.7135/UPO9780857289575.003