Cover IMF Working Papers
Buy Book in Print
Crises and Liquidity: Evidence and Interpretation
Author:
Ms. Enrica Detragiache
Search for other papers by Ms. Enrica Detragiache in
Current site
Google Scholar Close
and
Mr. Antonio Spilimbergo
Search for other papers by Mr. Antonio Spilimbergo in
Current site
Google Scholar Close
Series:
IMF Working Papers
Volume/Issue:
Volume 2001: Issue 002
Language:
English
Publication Date:
01 Jan 2001
DOI:
https://doi.org/10.5089/9781451841763.001
ISBN:
9781451841763
ISSN:
1018-5941
Pages:
30
Keywords:
WP; interest rate; Debt crises; default; creditor runs; liquidity variable; debt crisis; debt service due; crisis probability; share of short-term debt; crisis determinant; crisis definition; crisis observation; debt crisis variable; Debt default; Liquidity; Debt service; East Asia; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (747.2 KB) Download Epub
In a large panel of countries, we find that less liquid countries are more likely to default on their external debt. Specifically, for given total external debt, the probability of a crisis increases with the proportion of short-term debt and debt service coming due and decreases with foreign exchange reserves. This correlation, however, is consistent with a standard model of optimal default and need not be ascribed to self-fulfilling creditor runs. Also, the correlation with short-term debt appears to be driven by joint endogeneity. The policy implications are discussed.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund