Uncertainty and currency crises: Evidence from survey data

Prati, Alessandro; Sbracia, Massimo

doi:10.1016/j.jmoneco.2010.05.013

Cited by 220 publications

(31 citation statements)

References 35 publications

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“…The change in the non-fuel component is much less pronounced, as nominal rigidities are relatively high and firms end up absorbing almost entirely the increase in production costs driven by higher fuel prices. Results are in line with those reported by ECB (2010) and Jacquinot et al (2009). Differently from the oil supply and oil-specific demand shocks, the positive RW demand shock has a positive effect on euro area exports and GDP.…”

Section: Foreign Aggregate Demand Shocksupporting

confidence: 89%

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Euro Area and Global Oil Shocks: An Empirical Model-Based Analysis

et al. 2012

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We assess the impact of oil shocks on euro-area macroeconomic variables by estimating a new-Keynesian small open economy model with Bayesian methods. Oil price is determined according to supply and demand conditions in the world oil market. We find that the impact of an increase in the price of oil depends upon the underlying sources of variation: when the driver of higher oil prices is an increase in the rest of the world's aggregate demand, both euro-area GDP and CPI inflation increase, whereas negative oil supply shocks and positive worldwide oil-specific demand shocks have stagflationary effects on the euro-area economy. Moreover, the increase in oil prices during the 2004-2008 period did not induce stagflationary effects on the euro-area economy because it was associated with positive aggregate demand shocks in the rest of the world. Similarly, a drop in world aggregate demand helps to explain the recent (2008) simultaneous drop in oil prices, euroarea GDP and inflation -particularly its fuel component.JEL Classification: C11, C51, E32, F41.

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Section: Foreign Aggregate Demand Shocksupporting

confidence: 89%

“…First, by inserting microfoundations of the supply of oil. One possibility is to follow Nakov and Pescatori (2009,2010), that endogenize OPEC decisions. On a different but complementary route, taking into account the role of oil inventories could be relevant for clearly distinguishing between precautionary demand and supply.…”

Section: Discussionmentioning

confidence: 99%

Euro Area and Global Oil Shocks: An Empirical Model-Based Analysis

et al. 2012

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“…Consistent with predictions of theoretical currency crises models, Prati and Sbracia (2010) find a nonmonotonic link between uncertainty about fundamentals and the likelihood of a speculative currency attack. An increase in uncertainty raises the likelihood of a currency crisis when expected fundamentals are 'good' and lowers the likelihood of a currency crisis when expected fundamentals are 'bad'.…”

Section: Introductionsupporting

confidence: 75%

Currency crises, uncertain fundamentals and private-sector forecasts

Rülke

Pierdzioch

2013

Applied Economics Letters

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The cross-sectional dispersion of private-sector forecasts has been used in recent research on currency crises as a measure of uncertainty over expected fundamentals. We argue that the cross-sectional dispersion of private-sector forecasts need not only reflect uncertainty over expected fundamentals but may also arise due to a deliberate scattering of forecasts. Using data on foreign exchange (FX) reserve forecasts for 11 South-American and Eastern-European countries, we report evidence of such a forecast scattering that seems more pronounced during the economic crisis of 2008/09.

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“…Thus, currency depreciates during these volatile periods. Further, higher volatility (uncertainty) increases the probability of a speculative attack on an existing exchange rate regime (see Prati and Sbracia, 2010) or agents demand foreign currency to hedge themselves against future policy shocks, thus depreciating This is currency. 11 From the viewpoint of classical economics, when Marshall-Lerner conditions are satisfied, the devaluation will lead to an improvement in the current account, hence an increase in aggregate demand.…”

Section: Resultsmentioning

confidence: 99%

Effects of growth volatility on economic performance – Empirical evidence from Turkey

Berument

Dinçer

Mustafaoglu

2012

European Journal of Operational Research

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a b s t r a c tThis paper examines the relationship between growth and growth volatility for a small open economy with high growth volatility: Turkey. Quarterly data for the period from 1987Q1 to 2007Q3 suggests that growth volatility reduces growth and that this result is robust under different specifications. This paper contributes to the literature by focusing on how growth volatility affects a set of variables that are crucial for growth. Empirical evidence from Turkey suggests that higher growth volatility reduces total factor productivity, investment, and the foreign currency value of local currency (depreciation). Moreover, it increases employment, though the evidence for this is not statistically significant.Crown

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Uncertainty and currency crises: Evidence from survey data

Cited by 220 publications

References 35 publications

Euro Area and Global Oil Shocks: An Empirical Model-Based Analysis

Euro Area and Global Oil Shocks: An Empirical Model-Based Analysis

Currency crises, uncertain fundamentals and private-sector forecasts

Effects of growth volatility on economic performance – Empirical evidence from Turkey

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