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Sudden stops, output drops, and credit collapses

Author: Jihad Dagher; International Monetary Fund,; IMF Institute,
Publisher: [Washington, D.C.] : International Monetary Fund, ©2010.
Series: IMF working paper, WP/10/176.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper proposes a tractable Sudden Stop model to explain the main patterns in firm level data in a sample of Southeast Asian firms during the Asian crisis. The model, which features trend shocks and financial frictions, is able to generate the main patterns observed in the sample during and following the Asian crisis, including the ensuing credit-less recovery, which are also patterns broadly shared by most  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Dagher, Jihad.
Sudden Stops, Output Drops, and Credit Collapses.
Washington : International Monetary Fund, ©2010
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jihad Dagher; International Monetary Fund,; IMF Institute,
ISBN: 9781455272754 1455272752 1282846485 9781282846487
OCLC Number: 694142332
Description: 1 online resource (34 pages) : color illustrations.
Contents: Cover Page; Title Page; Copyright Page; Contents; I Introduction; II From Sudden Stops to output recoveries; A Macro Evidence; B Micro Evidence; III The Model; A The Case With No Idiosyncratic Shocks; B Heterogeneous Firms and The Size Effect; IV Concluding Remarks; V Appendix; A Solution; B Figures and Tables; 1 The ratio of credit to GDP; 2 MSCI market indices; 3 Real GDP and its growth rate; 4 Indices of firms' average sales, debt, investment and market value; 5 Comparing the performance of large and small firms; 6 The impact of the crisis on low leverage firms. 7 The benchmark parametrization8 The leverage effect; 9 The size effect; 10 Size and Tobin's Q; 11 Changing the degree of financial frictions; 1 Determinants of firms' performance during the crisis; 2 Average growth rates before and after the crisis; 3 Benchmark Calibration; 4 Calibration for the small and the large firms; 5 The "growth effect'; References; Footnotes.
Series Title: IMF working paper, WP/10/176.
Responsibility: prepared by Jihad C. Dagher.

Abstract:

This paper proposes a tractable Sudden Stop model to explain the main patterns in firm level data in a sample of Southeast Asian firms during the Asian crisis. The model, which features trend shocks and financial frictions, is able to generate the main patterns observed in the sample during and following the Asian crisis, including the ensuing credit-less recovery, which are also patterns broadly shared by most Sudden Stop episodes as documented in Calvo et al. (2006). The model also proposes a novel explanation as to why small firms experience steeper declines than their larger peers as documented in this paper. This size effect is generated under the assumption that small firms are growth firms, to which there is support in the data. Trend shocks when combined with financial frictions in this model also generate strong leverage effects in line with what is observed in the sample, and with other observations from the literature.

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