Appendixes

Crisis times are difficult to pin down because of the lack of an uncontroversial operational definition of crises. The literature has applied different methodologies using various ad-hoc criteria to identify crises. For our purpose, it is essential to determine accurately the beginning and the end of the crisis. To do so, we follow the approach adopted by Broner et al. (2004) and use the exchange market pressure (EMP), computed as the weighted average of the daily changes in the interest rate and the log difference of the exchange rate, as a measure of financial pressure. This approach allows us to distinguish country-specific crisis periods without resorting to the use of ex-post data.⁴⁵

The crisis periods in the respective countries are determined as follows. First, we construct a series of EMP volatility, measured as the 15-day rolling standard deviations of the EMP. A crisis initiates when the EMP volatility exceeds a threshold level and remains above that level for at least four weeks, where the threshold is defined as the mean of the EMP volatility plus one standard deviation, computed for each country over the period covered by the sample. A crisis ends if the EMP volatility declines below the threshold and remains there for three months (in which case, the end date coincides with the date of the initial decline). The exchange and interest rate series come from Bloomberg and Datastream. The interest rates used vary according to data availability (in all cases, we verify that all available marketdetermined interest rates behave similarly over the sample period).⁴⁶ The working paper version of this paper, Levy Yeyati et al. (2006), reports the crisis periods identified by our methodology.

Appendix Table 1 - Firms in Sample [ PDF 45.1KB | 1 page ]

Appendix Table 2 - AR and TAR Estimations - All Stocks [ PDF 67.9KB | 2 page ]

Appendix Table 3 - Summary of Capital Control Measures [ PDF 74.8KB | 1 page ]

Download this Discussion Paper [ PDF 755.8KB| 39 pages ].

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