Accounting for the East Asian crisis: A quantitative model of capital outflows in small open economies

被引:16
作者
Cook, David [1 ]
Devereux, Michael B.
机构
[1] Hong Kong Univ Sci & Technol, Dept Econ, Hong Kong, Hong Kong, Peoples R China
关键词
East Asian crisis; sticky prices; small open economy;
D O I
10.1353/mcb.2006.0040
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
To what degree can the qualitative and quantitative aspects of the East Asian crisis be accounted for within a dynamic general equilibrium model? This paper investigates that question using a framework in which the crisis itself is modeled as an exogenous shock to the country risk premium, This exercise has empirical discipline because the scale of the shock can be measured by the movement in the reported risk premium. We calibrate a quantitative sticky-price dynamic general equilibrium model of a small open economy to match the features of three East Asian economics: Thailand, Korea. and Malaysia. We identify a shock to the country risk premium Using published data from international bond markets. and identify short-run monetary policy using observed domestic interest rates. We find that the modeled response to the observed increase in external interest rates substantially matches macroeconomic data on prices and quantities at the aggregate and sectoral level. However, the model has more difficulty explaining the large exchange rate devaluations that occurred in those economies.
引用
收藏
页码:721 / 749
页数:29
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