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Relative Price Volatility Under Sudden Stops: The Relevance of Balance Sheet Effects / Guillermo A. Calvo, Alejandro Izquierdo, Rudy Loo-Kung.
- Format:
- Book
- Author/Creator:
- Calvo, Guillermo A.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w11492.
- NBER working paper series no. w11492
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Relative Price Volatility Under Sudden Stops
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- Summary:
- Sudden Stops are associated with increased volatility in relative prices. We introduce a model based on information acquisition to rationalize this increased volatility. An empirical analysis of the conditional variance of the wholesale price to consumer price ratio using panel ARCH techniques confirms the relevance of Sudden Stops and potential balance-sheet effects as key determinants of relative-price volatility, where balance-sheet effects are captured by the interaction of a proxy for potential changes in the real exchange rate (linked to the degree of external leverage of the absorption of tradable goods) and a measure of domestic liability dollarization.
- Notes:
- Print version record
- July 2005.
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