Αιτιότητα μεταξύ συναλλαγματικών κρίσεων και κρίσεων χρέους
Causality between debt and currency crises
KeywordsEMP ; Συναλλαγματική κρίση ; Κρίση χρέους ; Χρονοσειρές ; Έλεγχος μοναδιαίας ρίζας ; Έλεγχος αιτιότητας κατά Granger ; Δημόσιο χρέος ; VAR models
The present thesis aims at examining whether there is or not a causal relationship between currency crisis and debt crisis. Initially, the bibliography definitions have been presented in order to make the reader understand what we mean by the terms currency crisis and debt crisis as well as how each of them is measured. The review of the literature ensues. We then presented the methodology on which we relied and that includes the econometric techniques we have used. The study was carried out employing the econometric program E-views as well as the use of time series. Their stationarity was examined, the necessary Var models were constructed and the Granger causality tests were performed. The data collected from Datastream and Bloomberg databases are four-month observations on foreign exchange rates, foreign exchange reserves and country-specific debt ratio. The countries examined are Argentina, Venezuela, Mexico, Russia, Thailand and Turkey. In conclusion, we analyze the results of the controls performed, with 67% of the cases being tested showing causality between the crises, in contrast to 33% of them with no causal relationship found.