TY  - JOUR
AU  - Calvo,Guillermo A.
AU  - Izquierdo,Alejandro
AU  - Loo-Kung,Rudy
TI  - Relative Price Volatility Under Sudden Stops: The Relevance of Balance Sheet Effects
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11492
PY  - 2005
Y2  - July 2005
UR  - http://www.nber.org/papers/w11492
L1  - http://www.nber.org/papers/w11492.pdf
N1  - Author contact info:
Guillermo A. Calvo
Columbia University
School of International and Public Affairs
420 West 118th St, Room 1303B
MC3332
New York, NY 10027
Tel: 212/854-4264
E-Mail: gc2286@columbia.edu

Alejandro Izquierdo
Inter-American Development Bank
1300 New York Ave, N. W.
Washington, D. C., 20577
E-Mail: alejandroi@iadb.org

Rudy Loo-Kung
Columbia University
420 West 118th Street
New York NY 10027
E-Mail: rjl2119@columbia.edu
AB  - Sudden Stops are associated with increased volatility in relative prices. We introduce a model based on information acquisition to rationalize this increased volatility. An empirical analysis of the conditional variance of the wholesale price to consumer price ratio using panel ARCH techniques confirms the relevance of Sudden Stops and potential balance-sheet effects as key determinants of relative-price volatility, where balance-sheet effects are captured by the interaction of a proxy for potential changes in the real exchange rate (linked to the degree of external leverage of the absorption of tradable goods) and a measure of domestic liability dollarization.
ER  -