Sovereign Risk and Financial Crises

by Frenkel, Michael; Karmann, Alexander; Scholtens, Bert; SCHOLTENS, L. J. R.

• ISBN13: 9783540222484
• ISBN10: 3540222480
• Format: Hardcover
• Copyright: 2004-10-16
• Publisher: Springer Verlag

Summary

Sovereign risk and financial crises play a key role in current international economic developments, particularly in the case of economic downturns. As the Asian economic crisis in the late 1990s revealed once again, financial crises are the rule rather than the exception in capitalist economies. The event also revealed that international public debt agreements are contingent claims. In a world of increasing economic interdependencies, the issues of financial crises and country defaults are of critical importance. This volume goes to the heart of the academic discussion on sovereign risk and financial crises by centering on quantitative-empirical aspects, evaluating prominent approaches, and by proposing new methods. Part I of the volume identifies key factors and processes that are central in analyzing sovereign risk while Part II focuses on the determinants and effects of financial crises.

Table of Contents

Part I -- Sovereign Risk
Country Risk Analysis: Principles, Practices and Policies	3	(26)
Bert Scholtens
Country Default Risk and the Determinants of Sovereign Debt Discounts	29	(22)
Ephraim Clark
Amel Zenaidi
Assessment of Sovereign Risk for South America: A Structural Approach	51	(24)
Alexander Karmann
Dominik Maltritz
Sovereign Ratings and Financial Crises	75	(14)
Amadou N. R. Sy
The Impact of Sovereign Rating Changes during Emerging Market Crises	89	(24)
Roman Kraussl
Managing Sovereign Credit Risk with Derivatives	113	(14)
Udo Broll
Michael B. Gilroy
Part II -- Financial Crises
Crises and Contagion in Financial Markets	127	(16)
Michael Frenkel
Ralf Fendel
Contagion and the Behavior of International Equity Funds	143	(12)
R. Gaston Gelos
Identifying the Role of Contagion in Currency Crises with Markov-Switching Models	155	(22)
Marcel Fratzscher
Empirical Links between Twin Crises in the 1980s and the 1990s: Were there Differences?	177	(14)
Jurgen von Hagen
Tai-kuang Ho
The Real Impacts of Excessive Exchange Rate Volatility in Emerging Markets	191	(12)
Ansgar Belke
Ralph Setzer
Early Warning Systems: Lessons from New Approaches	203	(16)
Daniela Beckmann
Lukas Menkhoff
The Credibility of Private Sector Involvement in the Resolution of Financial Crises	219	(18)
Peter Tillmann
Currency Boards and Financial Stability: Experiences from Argentina and Bulgaria	237	(20)
Michael Berlemann
Nikolay Nenovsky
Notes on Contributors	257