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The Global Financial Crisis and currency crises in Latin America

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  • Kuper, Gerard H.
  • Jacobs, Jan P.A.M.
  • Boonman, Tjeerd M.

    (Groningen University)

Abstract

The Global Financial Crisis (GFC) has a ected many regions including Latin America. This paper focuses on currency crises in Argentina, Brazil and Mexico. We estimate an Early Warning System, consisting of a dynamic factor model and an ordered logit model, with monthly data for 1990-2007. Ex ante forecasts for 2008-2009 do not produce currency crises in the fall of 2008, in sharp contrast with reality. Our model only predicts an increased probability of a currency crisis for Argentina in 2009.

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Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 12005-EEF.

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Date of creation: 2012
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Handle: RePEc:dgr:rugsom:12005-eef

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