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Estimando Probabilidades de Ocorrência de Crises Cambiais no Brasil


  • Inez Sílvia Batista Castro


  • 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.

Suggested Citation

  • Inez Sílvia Batista Castro & José Carlos de Lacerda Leite, 2003. "Estimando Probabilidades de Ocorrência de Crises Cambiais no Brasil," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] c05, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  • Handle: RePEc:anp:en2003:c05

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    References listed on IDEAS

    1. Gian Maria Milesi Ferretti & Assaf Razin, 2000. "Current Account Reversals and Currency Crises: Empirical Regularities," NBER Chapters,in: Currency Crises, pages 285-323 National Bureau of Economic Research, Inc.
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    5. Pierre-Richard Agénor & Jagdeep S. Bhandari & Robert P. Flood, 1992. "Speculative Attacks and Models of Balance of Payments Crises," IMF Staff Papers, Palgrave Macmillan, vol. 39(2), pages 357-394, June.
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    11. Robert P Flood & Jagdeep S. Bhandari & Pierre-Richard Agénor, 1991. "Speculative Attacks and Models of Balance of Payments Crises," IMF Working Papers 91/99, International Monetary Fund.
    12. 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(1), pages 1-90.
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    More about this item


    Balance of Payments Crisis; Causes of Speculative Attacks; Brazilian Economy in the 90’s; Exchange Rate Devaluation; Drift adjustment method.;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange


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