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The Brazilian currency turmoil of 2002: a nonlinear analysis

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  • Manuela Goretti

    (University of Warwick, UK)

Abstract

This paper investigates the main sources of instability in Brazil during the currency and financial distress episode of 2002. We test for financial contagion from the Argentine crisis and the impact of factors including IMF intervention and political uncertainty in raising the probability of crisis. The empirical investigation employs a Markov-switching model with endogenous transition probabilities. Copyright © 2005 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.273
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 10 (2005)
Issue (Month): 4 ()
Pages: 289-306

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Handle: RePEc:ijf:ijfiec:v:10:y:2005:i:4:p:289-306

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Cited by:
  1. Tabak, Benjamin M. & Lima, Eduardo J.A., 2009. "Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules," European Journal of Operational Research, Elsevier, vol. 194(3), pages 814-820, May.
  2. Juan Carlos Hatchondo & Leonardo Martinez, 2010. "The politics of sovereign defaults," Economic Quarterly, Federal Reserve Bank of Richmond, issue 3Q, pages 291-317.
  3. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers 1413, Koc University-TUSIAD Economic Research Forum.
  4. Juan Carlos Hatchondo & Leonardo Martinez & Horacio Sapriza, 2009. "Heterogeneous Borrowers In Quantitative Models Of Sovereign Default," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1129-1151, November.

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