This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Estimando Probabilidades de Ocorrência de Crises Cambiais no Brasil Author info | Abstract | Publisher info | Download info | Related research | Statistics Inez Sílvia Batista Castro (UFPE e UNIFOR)
José Carlos de Lacerda Leite (PIMES e UFPB)
The main objective of this paper is to find an alternative way of estimation of the probabilities of devalutation instead of the traditional method Logit. The methodology is based on Olivier Jeanne (1997) and several articles of Svensson and Rose. Logit models have certain degree of subjectivity on the determination of the periods of crisis and periods of non-crisis. Jeanne’s method tries to tackle out this problem and it seems appropriate to Brazilian economy. After estimating the probabilities of devaluation in Brazilian economy in the period july/94-january/99, there is an investigation of the variables that may influence that probability. Some variables that are described in the first and in the second generation models of balance of payments crisis are considered statistically significants to determine the probability of devaluation.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] with number
c05.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: 2003Date of revision:
Handle: RePEc:anp:en2003:c05Contact details of provider: Postal: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil Phone: 55 21 2621 1802 Fax: 55-11-3091-6073 Email: Web page: http://www.anpec.org.br More information through EDIRC
Order Information: Postal: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
For technical questions regarding this item, or to correct its listing, contact: (Hugo E. A. da Gama Cerqueira) The email address of this maintainer does not seem to be valid anymore. Please ask Hugo E. A. da Gama Cerqueira to update the entry or send us the correct address ..
Keywords: Balance of Payments Crisis ; Causes of Speculative Attacks ; Brazilian Economy in the 90’s ; Exchange Rate Devaluation ; Drift adjustment method. ; Find related papers by JEL classification: F31 - International Economics - - International Finance - - - Foreign Exchange
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
Rose, Andrew K. & Svensson, Lars E. O., 1994.
"European exchange rate credibility before the fall ,"
European Economic Review ,
Elsevier, vol. 38(6), pages 1185-1216, June.
[Downloadable!] (restricted)
Other versions:
Rose, A.K. & Svensson, L.E.O., 1993.
"European Exchange Rate Credibility Before the Fall ,"
Papers
542, Stockholm - International Economic Studies.
Rose, Andrew K & Svensson, Lars E O, 1993.
"European Exchange Rate Credibility Before the Fall ,"
CEPR Discussion Papers
852, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Andrew K. Rose & Lars E.O. Svensson, 1993.
"European Exchange Rate Credibility Before the Fall ,"
NBER Working Papers
4495, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997.
"Leading indicators of currency crises ,"
Policy Research Working Paper Series
1852, The World Bank.
[Downloadable!]
Other versions:
Graciela Laura Kaminsky, 1997.
"Leading Indicators of Currency Crises ,"
IMF Working Papers
97/79, International Monetary Fund.
Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998.
"Leading Indicators of Currency Crises ,"
MPRA Paper
6981, University Library of Munich, Germany.
[Downloadable!] Graciela Kaminsky & Saul Lizondo & Carmen Reinhart, 1998.
"Leading Indicators of Currency Crisis ,"
IMF Staff Papers ,
Palgrave Macmillan Journals, vol. 45(1), pages 1.
[Downloadable!] (restricted) Flood, Robert P. & Garber, Peter M., 1984.
"Collapsing exchange-rate regimes : Some linear examples ,"
Journal of International Economics ,
Elsevier, vol. 17(1-2), pages 1-13, August.
[Downloadable!] (restricted)
Frankel, Jeffrey A. & Rose, Andrew K., 1996.
"Currency crashes in emerging markets: An empirical treatment ,"
Journal of International Economics ,
Elsevier, vol. 41(3-4), pages 351-366, November.
[Downloadable!] (restricted)
Other versions: Blanco, Herminio & Garber, Peter M, 1986.
"Recurrent Devaluation and Speculative Attacks on the Mexican Peso ,"
Journal of Political Economy ,
University of Chicago Press, vol. 94(1), pages 148-66, February.
[Downloadable!] (restricted)
Gian Maria Milesi-Ferrett & Assaf Razin, 1998.
"Current Account Reversals and Currency Crises: Empirical Regularities ,"
NBER Working Papers
6620, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Milesi-Ferretti, Gian Maria & Razin, Assaf, 1998.
"Current Account Reversals and Currency Crises: Empirical Regularities ,"
CEPR Discussion Papers
1921, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Gian Maria Milesi-Ferretti & Assaf Razin, 1998.
"Current Account Reversals and Currency Crisis-Empirical Regularities ,"
IMF Working Papers
98/89, International Monetary Fund.
Gian Maria Milesi Ferretti & Assaf Razin, 2000.
"Current Account Reversals and Currency Crises, Empirical Regularities ,"
NBER Chapters ,
in: Currency Crises, pages 285-326
National Bureau of Economic Research, Inc.
[Downloadable!] Robert Flood & Nancy Marion, 1998.
"Perspectives on the Recent Currency Crisis Literature ,"
NBER Working Papers
6380, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Robert P. Flood & Nancy Peregrim Marion, 1998.
"Perspectives on the Recent Currency Crisis Literature ,"
IMF Working Papers
98/130, International Monetary Fund.
Flood, Robert & Marion, Nancy, 1999.
"Perspectives on the Recent Currency Crisis Literature ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 4(1), pages 1-26, January.
[Downloadable!] (restricted) Andrew K. Rose & Lars E.O. Svensson, 1991.
"Expected and predicted realignments: the FF/DM exchange rate during the EMS ,"
International Finance Discussion Papers
395, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Andrew K. Rose & Lars E.O. Svensson, 1995.
"Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS ,"
NBER Working Papers
3685, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Rose, Andrew K & Svensson, Lars E O, 1991.
"Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS ,"
CEPR Discussion Papers
552, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Rose, A.K. & Svensson, L.E., 1991.
"Expected and Predicted Realignments: the FF/DM Exchange Rate during the EMS ,"
Papers
485, Stockholm - International Economic Studies.
Steven Radelet & Jeffrey D. Sachs, 1998.
"The East Asian Financial Crisis: Diagnosis, Remedies, Prospects ,"
Brookings Papers on Economic Activity ,
Economic Studies Program, The Brookings Institution, vol. 29(1998-1), pages 1-90.
[Downloadable!]
Krugman, Paul, 1979.
"A Model of Balance-of-Payments Crises ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 11(3), pages 311-25, August.
[Downloadable!] (restricted)
Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1994.
"Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System ,"
NBER Working Papers
4898, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1995.
"Speculative attacks on pegged exchange rates: an empirical exploration with special reference to the European Monetary System ,"
Working Papers in Applied Economic Theory
95-04, Federal Reserve Bank of San Francisco.
Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1994.
"Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System ,"
CEPR Discussion Papers
1060, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Barry Eichengreen, Andrew K. Rose, and Charles Wyplosz., 1995.
"Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System ,"
Center for International and Development Economics Research (CIDER) Working Papers
C95-046, University of California at Berkeley.
Barry Eichengreen & Charles Wyplosz, 1993.
"The Unstable EMS ,"
Brookings Papers on Economic Activity ,
Economic Studies Program, The Brookings Institution, vol. 24(1993-1), pages 51-144.
[Downloadable!]
Robert P. Flood & Pierre-Richard Agénor & Jagdeep S. Bhandari, 1991.
"Speculative Attacks and Models of Balance of Payments Crises ,"
IMF Working Papers
91/99, International Monetary Fund.
Other versions:
Full
references
Access and
download statistics Did you know? The RePEc project started in 1997. Its precursor, NetEc, dates back to 1993.
This page was last updated on 2009-12-13.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .