tailieunhanh - KHỦNG HOẢNG CHÍNH TRỊ - TÀI CHÍNH _ Financial Crisis (Bản tiếng Anh)

Tài liệu tham khảo về Khủng hoảng chính trị, tài chính (Tài liệu tiếng Anh) | Political Risk Financial Crisis and Market Volatility Jianping . Mei1 This Draft August 1999 Abstract This paper examines the impact of political uncertainty on the recent financial crises in emerging markets. By examining political election cycles we find that eight out of nine of the recent financial crises happened during periods of political election and transition. Using a combination of probit and switching regression analysis we find that there is a significant relationship between political election and financial crisis after controlling for differences in economic and financial conditions. We observe increased market volatility during political election and transition periods. Moreover we have some evidence that political risk is more important in explaining financial crisis than market contagion. Our results suggest that political uncertainty could be a major contributing factor to financial crisis. Thus politics does matter in emerging markets. Since the odds of financial crisis tend to be much larger during the political election periods institutonal investors should take that into account when making emerging market investment during those time periods. Keywords Political Elections Currency Devaluation and Market Contagion Associate Professor of Finance Department of International Business New York University 44 West 4th Street New York NY 10012-1126. Tel 212-998-0354 FAX 212-998-4221. Email jmei@. The paper was writeen during the author s 1998 sabbatical at Princeton Univeristy. I would like to thank Burton Malkiel for helpful discussions. I am grateful to Steven Radelet and Jeffrey Sachs for providing me with the data set. I am also grateful to Sreedhar Bharath for able research assistance. 1 What caused financial crises in Latin America in 1995 and in Asia in 1997 Why is market volatility so high in emerging markets Most attempts to explain currency and equity market volatility using economic and financial variables left much to be .