ABSTRACT

Debts have risen rapidly since the global financial crisis. While the literature acknowledges that rapid debt buildups can harm the economy and exacerbate recessions, their impact on currency vulnerability is still empirically under-investigated. This study examines how public and private debt buildups are related to currency depreciation pressure by analyzing the evidence from 59 advanced and emerging markets. Our results suggest that both private and public debt exacerbates currency vulnerability, but the effect of private debt is more robust and consistently significant. We also find that excessive private debt buildup is more harmful in emerging markets, and greater dependence on external financing exacerbates the impact of debt buildup on currency stress. Overall, the evidence highlights the importance of a comprehensive debt surveillance framework that monitors both public and private debt buildup, especially in emerging markets.

摘要

自全球金融危机以来，债务迅速增加。虽然文献承认快速的债务积累会损害经济并加剧衰退，但它们对货币脆弱性的影响仍然没有得到充分的实证研究。本研究通过分析来自 59 个发达和新兴市场的证据，研究公共和私人债务积累与货币贬值压力之间的关系。我们的研究结果表明，私人债务和公共债务都会加剧货币脆弱性，但私人债务的影响更为强劲且持续显着。我们还发现，过度的私人债务积累对新兴市场的危害更大，对外部融资的更大依赖加剧了债务积累对货币压力的影响。总体，