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An Early Warning System for currency crises in Argentina and Brazil 1990-2009

Author

Listed:
  • Tjeerd M. Boonman

    (Banco de Mexico)

  • Jan P. A. M. Jacobs

    (University of Tasmania)

  • Gerard H. Kuper

    (University of Groningen)

Abstract

The Global Financial Crisis (GFC) has affected many regions including Latin America. This paper focuses on currency crises in Argentina and Brazil, the two largest economies in South America, and with a wide experience with currency crises. We estimate an Early Warning System, consisting of a static factor model and a multinomial ordered logit model, with monthly data for 1990-2007. Ex ante forecasts for 2008-2009 produce an increased probability of currency crises in the fall of 2008. Our model outcomes confirm that elements from earlier crises are useful to predict the currency crises during the GFC.

Suggested Citation

  • Tjeerd M. Boonman & Jan P. A. M. Jacobs & Gerard H. Kuper, 2017. "An Early Warning System for currency crises in Argentina and Brazil 1990-2009," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 14(2), pages 47-68, Julio-Dic.
    • Handle: RePEc:qua:journl:v:14:y:2017:i:2:p:47-68
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Global financial crisis; currency crises; early warning systems; Latin America; static factor model; ordered logit model.;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • G01 - Financial Economics - - General - - - Financial Crises
    • N26 - Economic History - - Financial Markets and Institutions - - - Latin America; Caribbean

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