|
Archive@NYU >
Stern School of Business >
Finance Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27073
|
| Title: | Mexico's Banking Crisis: Devaluation and Asset Concentration Effects |
| Authors: | Caprio, Gerard Jr.
Saunders, Anthony
Wilson, Berry |
| Issue Date: | Nov-1997 |
| Series/Report no.: | FIN-98-075 |
| Abstract: | The sharp 1994-1995 Mexican peso devaluation was followed by a
financial-sector crisis, forcing the Mexican government to retake
control of several banks and to grant substantial assistance to many
other banks. This paper uses daily stock price data to test several
hypotheses concerning the impact of devaluation. First, we use
event-study methodology to test whether some sectors of Mexican economy
were 'devaluation-gaining' while other sectors were
'devaluation-losing.' Second, we test the linkage between the
devaluation and the financial-sector crisis that ensued. Specifically,
we test whether devaluation shocks were transmitted through the
liability side versus the asset side of bank balance sheets. Our results
suggest that governments should consider putting minimum guidelines on
bank portfolios. |
| URI: | http://hdl.handle.net/2451/27073 |
| Appears in Collections: | Finance Working Papers
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
