The Brazilian Currency Turmoil of 2002: A Nonlinear Analysis
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0506001.
Length: 30 pages
Date of creation: 04 Jun 2005
Date of revision:
Note: Type of Document - pdf; pages: 30
Contact details of provider:
Web page: http://126.96.36.199
Brazil; contagion; financial crises; IMF intervention; Markov switching model; political uncertainty.;
Other versions of this item:
- Manuela Goretti, 2005. "The Brazilian currency turmoil of 2002: a nonlinear analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 289-306.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
This paper has been announced in the following NEP Reports:
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.:
- Ben Bernanke & Mark Gertler & Simon Gilchrist, 1998.
"The Financial Accelerator in a Quantitative Business Cycle Framework,"
NBER Working Papers
6455, National Bureau of Economic Research, Inc.
- Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999. "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393 Elsevier.
- Bernanke, B. & Gertler, M. & Gilchrist, S., 1998. "The Financial Accelerator in a Quantitative Business Cycle Framework," Working Papers 98-03, C.V. Starr Center for Applied Economics, New York University.
- Filardo, Andrew J. & Gordon, Stephen F., 1998.
"Business cycle durations,"
Journal of Econometrics,
Elsevier, vol. 85(1), pages 99-123, July.
- Miller, Marcus & Thampanishvong, Kannika & Zhang, Lei, 2003.
"Learning to Forget? Contagion and Political Risk in Brazil,"
CEPR Discussion Papers
3785, C.E.P.R. Discussion Papers.
- Zhang, Lei & Marcus Miller & Kannika Thampanishvong, 2003. "Learning to Forget? Contagion and Political Risk in Brazil," Royal Economic Society Annual Conference 2003 227, Royal Economic Society.
- Fratzscher, Marcel, 2002.
"On currency crises and contagion,"
Working Paper Series
0139, European Central Bank.
- Giancarlo Corsetti & Bernardo Guimaraes & Nouriel Roubini, 2003.
"International Lending of Last Resort and Moral Hazard: A Model of IMF's Catalytic Finance,"
NBER Working Papers
10125, National Bureau of Economic Research, Inc.
- Corsetti, Giancarlo & Guimaraes, Bernardo & Roubini, Nouriel, 2006. "International lending of last resort and moral hazard: A model of IMF's catalytic finance," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 441-471, April.
- Christian B. Mulder & Matthieu BussiÃ¨re, 1999.
"Political Instability and Economic Vulnerability,"
IMF Working Papers
99/46, International Monetary Fund.
- Morris Goldstein, 2003. "Debt Sustainability, Brazil, and the IMF," Working Paper Series WP03-1, Peterson Institute for International Economics.
- Marcello Pericoli & Massimo Sbracia, 2001.
"A Primer on Financial Contagion,"
Temi di discussione (Economic working papers)
407, Bank of Italy, Economic Research and International Relations Area.
- Gertler, Mark & Lown, Cara S, 1999.
"The Information in the High-Yield Bond Spread for the Business Cycle: Evidence and Some Implications,"
Oxford Review of Economic Policy,
Oxford University Press, vol. 15(3), pages 132-50, Autumn.
- Mark Gertler & Cara S. Lown, 2000. "The Information in the High Yield Bond Spread for the Business Cycle: Evidence and Some Implications," NBER Working Papers 7549, National Bureau of Economic Research, Inc.
- Jeanne, Olivier & Masson, Paul, 2000.
"Currency crises, sunspots and Markov-switching regimes,"
Journal of International Economics,
Elsevier, vol. 50(2), pages 327-350, April.
- Jeanne, Olivier & Masson, Paul R, 1998. "Currency Crises, Sunspots and Markov-Switching Regimes," CEPR Discussion Papers 1990, C.E.P.R. Discussion Papers.
- M. Sbracia & Alessandro Prati, 2002.
"Currency Crises and Uncertainty About Fundamentals,"
IMF Working Papers
02/3, International Monetary Fund.
- Alessandro Prati & Massimo Sbracia, 2002. "Currency crises and uncertainty about fundamentals," Temi di discussione (Economic working papers) 446, Bank of Italy, Economic Research and International Relations Area.
- Garcia, R. & Perron, P., 1991.
"An analysis of Real Interest Rate Under Regime Shifts,"
Cahiers de recherche
9125, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Garcia, R. & Perron, P., 1991. "An analysis of Real Interest Rate Under Regime Shifts," Cahiers de recherche 9125, Universite de Montreal, Departement de sciences economiques.
- Morris, Stephen & Shin, Hyun Song, 1998.
"Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks,"
American Economic Review,
American Economic Association, vol. 88(3), pages 587-97, June.
- Morris, Stephen & Shin, Hyun Song, 1997. "Unique Equilibrium in a Model of Self-fulfilling Currency Attacks," CEPR Discussion Papers 1687, C.E.P.R. Discussion Papers.
- Morris, S & Song Shin, H, 1996. "Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks," Economics Papers 126, Economics Group, Nuffield College, University of Oxford.
- Heinemann, Frank & Illing, Gerhard, 2002. "Speculative attacks: unique equilibrium and transparency," Journal of International Economics, Elsevier, vol. 58(2), pages 429-450, December.
- Filardo, Andrew J, 1994.
"Business-Cycle Phases and Their Transitional Dynamics,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(3), pages 299-308, July.
- Tom Doan, . "RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching," Statistical Software Components RTZ00059, Boston College Department of Economics.
- Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
- Calvo, Guillermo A, 1996.
"Capital Flows and Macroeconomic Management: Tequila Lessons,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 1(3), pages 207-23, July.
- Guillermo A. Calvo, 1996. "Capital flows and macroeconomic management: tequila lessons," Working Papers in Applied Economic Theory 96-02, Federal Reserve Bank of San Francisco.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Carlo Ambrogio Favero & Francesco Giavazzi, . "Why are Brazil´s Interest Rates so High?," Working Papers 224, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Hellwig, Christian, 2002. "Public Information, Private Information, and the Multiplicity of Equilibria in Coordination Games," Journal of Economic Theory, Elsevier, vol. 107(2), pages 191-222, December.
- Stephen Morris & Hyun Song Shin, 2003.
"Catalytic Finance: When Does It Work?,"
Cowles Foundation Discussion Papers
1400, Cowles Foundation for Research in Economics, Yale University.
- Roberto Chang, 2006. "Electoral Uncertainty and the Volatility of International Capital Flows," NBER Working Papers 12448, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Juan Carlos Hatchondo & Leonardo Martinez & Horacio Sapriza, 2008. "Heterogeneous borrowers in quantitative models of sovereign default," Working Paper 07-01, Federal Reserve Bank of Richmond.
- Juan Carlos Hatchondo & Leonardo Martinez, 2010. "The politics of sovereign defaults," Economic Quarterly, Federal Reserve Bank of Richmond, issue 3Q, pages 291-317.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).
If references are entirely missing, you can add them using this form.