Sudden Stops and Liability Dollarization Evidence from Asias…来自亚洲的突然停止和责任美元化证据.pdfVIP

Sudden Stops and Liability Dollarization: Evidence from Asias Financial Intermediaries * Timothy K. Chue and David Cook February, 2004 * Timothy K. Chue is from the Department of Economics, School of Business Management, Hong Kong University of Science Technology, Clear Water Bay, Kowloon, Hong Kong. E-mail: timchue@ust.hk. Tel: (852)-2358-7601. Fax: (852)-2358-2084. David Cook is from the Department of Economics, School of Business Management, Hong Kong University of Science Technology, Clear Water Bay, Kowloon, Hong Kong. E-mail: davcook@ust.hk. Tel: (852)-2358-7614. Fax: (852)-2358-2084. We thank Bob McCauley for helpful comments, and the Research Grants Council of the Hong Kong Special Administrative Region, China, for research support. 1 Sudden Stops and Liability Dollarization: Evidence from Asias Financial Intermediaries Abstract: Before the currency crisis of 1997-1998, East Asian financial intermediaries borrowed heavily in international markets. During the crisis, the intermediaries’ stock market value declined sharply, and a sizable fraction of the institutions were closed or nationalized. We find that 1) the stocks of intermediaries with large international debt exposure performed poorly during the crisis; 2) more short-term international debt outstanding was associated with a higher probability of bankruptcy; 3) among those intermediaries that survived, more long-term international debt was associated with a lower equity return; and 4) higher international debt, especially short-term international debt, was associated with a more severe contraction in the assets and liabilities of t