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! ]

Multiple Equilibria and the Credibility of the Brazilian 'Crawling-Peg', 1995-1998

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Hans Dewachter () (K.U.Leuven and Erasmus University of Rotterdam)
Marco Lyrio () (K.U.Leuven, C.E.S., International Economics)

Additional information is available for the following registered author(s):

Abstract

This paper studies the relationship between the probability of devaluation of the Brazilian real and the fundamentals of the economy for the period 1995-1998. We use a model of a fixed exchange rate system that allows for multiple equilibria and, therefore, makes possible the identification of self-fulfilling speculation. The devaluation probability is computed using the "drift adjustment method". The model performs satisfactorily in tracking monthly devaluation expectations and presents some important advantages over a simple linear regression of macroeconomic variables on the devaluation probability. We do not find evidence that self-fulfilling speculation was at work in the period preceding the Brazilian currency crisis of January 1999. This suggests that the breakdown of the Brazilian managed exchange rate system was due to the deterioration of the fundamentals of the economy.

Download Info
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.

File URL: http://www.econ.kuleuven.ac.be/ew/admin/Publications/DPS99/dps9919.PDF
Our checks indicate that this address may not be valid because: 403 Forbidden. If this is indeed the case, please notify (Jan Van Hove)
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics in its series International Economics Working Papers Series with number ces9919.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 28 pages
Date of creation: Nov 1999
Date of revision:
Handle: RePEc:kul:kulwps:ces9919

Contact details of provider:
Postal: Naamsestraat 69, 3000 Leuven
Phone: +32-(0)16-32 67 25
Fax: +32-(0)16-32 67 96
Email:
Web page: http://www.econ.kuleuven.ac.be/ew/academic/intecon
More information through EDIRC

Order Information:
Email:

For technical questions regarding this item, or to correct its listing, contact: (Jan Van Hove).

Related research
Keywords: currency crisis; self-fulfilling speculation; multiple equilibria; Brazilian exchange rate system;

Other versions of this item:

Find related papers by JEL classification:
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

Statistics
Access and download statistics

Did you know? All full texts are decentralized with the publishers, none reside on this server, thus making it possible to offer this service for free to all parties.

This page was last updated on 2009-11-27.

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.