Financial Fragility and Mexico's 1994 Peso Crisis: An Event-Window Analysis of Market-Valuation Effects
利用事件研究框架和每日股票市场数据，分析墨西哥1994-95年比索贬值、债务和金融危机期间的市场反应，发现贬值本身被视为相对温和，投资者未预期到贬值，但对政府救助行动有积极反应。
Persistent cycles of devaluation, debt repudiation, and financial crisis have been recurrent themes in Latin America and elsewhere. This study focuses on one such event, namely, the Mexican peso devaluation, debt, and financial-sector crisis of 1994-95. This paper utilizes an event-study framework, with daily stock market data, to document financial market responses to the unfolding crisis. In particular, we find that the devaluation itself was viewed as relatively benign by market participants. The results also show little evidence that investors anticipated the peso devaluation, the declining reserve levels of Mexico's central bank, and the increasing sovereign default risk of Mexico. However, the results suggest that the equity markets did respond positively to remedial actions taken by governmental authorities, such as the Clinton bailout plan.