Identifying the effects of an exchange rate depreciation on country risk: Evidence from a natural experiment

被引:18
作者
Bordo, Michael D. [3 ,4 ]
Meissner, Christopher M. [1 ,2 ]
Weidenmier, Marc D. [5 ,6 ]
机构
[1] Univ Calif Davis, Davis, CA 95616 USA
[2] NBER, Dept Econ, Davis, CA 95616 USA
[3] Rutgers State Univ, New Brunswick, NJ 08901 USA
[4] NBER, Dept Econ, New Brunswick, NJ 08901 USA
[5] Claremont Mckenna Coll, Claremont, CA 91711 USA
[6] NBER, Dept Econ, Claremont, CA 91711 USA
基金
英国经济与社会研究理事会;
关键词
Foreign currency debt; Bimetallism; Gold standard; Sovereign risk; GOLD STANDARD; ECONOMIC-DEVELOPMENT; RATE MOVEMENTS;
D O I
10.1016/j.jimonfin.2008.10.004
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
A natural experiment is used to study exchange rate depreciation and perceived sovereign risk. France suspended coinage of silver in 1876 provoking a significant exogenous depreciation of all silver standard countries versus gold standard currencies like the British pound - the currency in which their debt was payable. The evidence suggests an exchange rate depreciation can significantly increase sovereign risk if a Country is exposed to foreign currency debt. We implement a difference-in-differences estimator and find that the average silver country's spread on hard currency debt increased over ten percent relative to non-silver Countries. (C) 2008 Elsevier Ltd. All rights reserved.
引用
收藏
页码:1022 / 1044
页数:23
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