Currency depreciations in emerging economies: A blessing or a curse for external debt management?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F21%3A10433612" target="_blank" >RIV/00216208:11230/21:10433612 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=8hzo4wl~BG" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=8hzo4wl~BG</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.inteco.2021.09.003" target="_blank" >10.1016/j.inteco.2021.09.003</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Currency depreciations in emerging economies: A blessing or a curse for external debt management?

Popis výsledku v původním jazyce

We investigate the long-term effect of domestic currency depreciation on external debt for a panel of 41 emerging economies over the years 1999-2019 based on quarterly data. Using heterogeneous panel cointegration methods, we find that domestic currency depreciation leads to an increase in the external debt to GDP ratio over the long-term and it might, therefore, reduce the sustainability of external debt. This is particularly the case for larger depreciations, while smaller depreciations might even reduce the external debt burden over the long-term for more developed emerging economies. Poorer emerging economies face a greater increase in external debt burden following domestic currency depreciation. We also find that higher exchange rate volatility and the use of floating exchange rates contribute to a greater increase in external debt burden over the long-term following currency depreciation. Furthermore, we find asymmetric effects of exchange rate depreciation on external debt: greater central bank independence limits the effect of currency depreciation on external debt, while higher financial development and illicit financial flows augment the effect of depreciation on external debt.

Název v anglickém jazyce

Currency depreciations in emerging economies: A blessing or a curse for external debt management?

Popis výsledku anglicky

We investigate the long-term effect of domestic currency depreciation on external debt for a panel of 41 emerging economies over the years 1999-2019 based on quarterly data. Using heterogeneous panel cointegration methods, we find that domestic currency depreciation leads to an increase in the external debt to GDP ratio over the long-term and it might, therefore, reduce the sustainability of external debt. This is particularly the case for larger depreciations, while smaller depreciations might even reduce the external debt burden over the long-term for more developed emerging economies. Poorer emerging economies face a greater increase in external debt burden following domestic currency depreciation. We also find that higher exchange rate volatility and the use of floating exchange rates contribute to a greater increase in external debt burden over the long-term following currency depreciation. Furthermore, we find asymmetric effects of exchange rate depreciation on external debt: greater central bank independence limits the effect of currency depreciation on external debt, while higher financial development and illicit financial flows augment the effect of depreciation on external debt.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

International Economics

ISSN

2110-7017

e-ISSN

—

Svazek periodika

168

Číslo periodika v rámci svazku

December

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

34

Strana od-do

132-165

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85118254871