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Description:
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В статті проаналізовано взаємозв’язок між наявним бюджетним дефіцитом та ризиком розгортання валютної кризи у країнах
з розвиненою економікою на основі емпіричного тестування трьох основних теоретичних каналів такого зв'язку (прямий фінансовий
канал, канал банківської кризи та канал структури боргу). The article analyses the relationship between the budget deficit and the risk of deployment of a currency crisis in the countries with
developed economies on the basis of empirical testing of the three main theoretical channels such a connection (direct financial channel, the
channel of the banking crisis and the channel of the debt structure).
Proved that large fiscal deficits could lead to a drop in currencies, but not all channels are significant to the same degree. In particular,
there is weak evidence that the crisis depends on the size of the budget deficit itself, and far more compelling evidence of the importance, if these
deficits are associated with the banking crisis, or if public debt is largely foreign.
Also found significant nonlinear effects at high levels of government debt and budget deficits, and significant negative risk premia for
major reserve currencies, which are characterized less likely to sudden depreciation against other currencies ceteris paribus. Indeed, the following
prizes are small in size relative to the conditional probability of a sudden devaluation, if there is a banking crisis, or if public debt is largely foreign.
This suggests that international currency status is not necessarily sufficient to protect it from collapse.
It is expected that a high proportion of foreign debt will increase the likelihood of sudden devaluation, since the pressure on foreign
investors islikely to result in an outflow of capital and, therefore, instability of the exchange rate. |