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Crises Cambiais e Ataques Especulativos no Brasil

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  • Mauro Costa Miranda

Abstract

The main goal of this paper is to investigate the hypothesis that currency crisis models based on macroeconomic fundamentals explain, to some extent, the occurrence of speculative attacks and currency crisis in Brazil between January 1982 and January 1999. For this purpose, the external sector of the Brazilian economy was analyzed to identify speculative attacks and currency crises. An adaptation of one of the main first generation models of currency crisis was used as theoretical background, producing an equation of the probability of occurrence of speculative attacks as function of macroeconomic variables. As an empirical application for the case of Brazil, an econometric model was utilized to estimate the parameters of this equation. The results were compatible with the hypothesis of the model. The probability of occurrence of speculative attacks grows with the monetary suply, the real effective exchange rate, the international interest rate, and the liberalization of capital controls and diminishes with the international reserves, the real gross domestic product, the exchange rate fixed by the government, the square of the international interest rate, the external price level, and the international trade in goods. The estimated equations for the probability of occurrence of currency crises and speculative attacks showed its usefulness to predict the imminence of these events.

Suggested Citation

  • Mauro Costa Miranda, 2001. "Crises Cambiais e Ataques Especulativos no Brasil," Working Papers Series 32, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:32
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    File URL: http://www.bcb.gov.br/pec/wps/port/wps32.pdf
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    Cited by:

    1. Arminio Fraga & Ilan Goldfajn & André Minella, 2004. "Inflation Targeting in Emerging Market Economies," NBER Chapters,in: NBER Macroeconomics Annual 2003, Volume 18, pages 365-416 National Bureau of Economic Research, Inc.
    2. Tarsila Segalla Afanasieff & Priscilla Maria Villa Lhacer & Márcio I. Nakane, 2002. "The Determinants of Bank Interest Spread in Brazil," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 183-207, July-Dece.
    3. Tito Nícias Teixeira da Silva Filho, 2002. "Estimating Brazilian Potential Output: A Production Function Approach," Working Papers Series 17, Central Bank of Brazil, Research Department.
    4. Tito Nícias Teixeira da Silva Filho, 2002. "An Operational Definition of Price Stability," Working Papers Series 35, Central Bank of Brazil, Research Department.
    5. Charles Lima De Almeida & Marco AuréLIO Peres & Geraldo Da Silva E Souza & Benjamin Miranda Tabak, 2003. "Optimal monetary rules: the case of Brazil," Applied Economics Letters, Taylor & Francis Journals, vol. 10(5), pages 299-302, April.
    6. André Soares Loureiro & Fernando de Holanda Barbosa, 2004. "Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt, 1996-2002," Working Papers Series 85, Central Bank of Brazil, Research Department.
    7. Eui Jung Chang & Marcelo Kfoury Muinhos & Joanílio Rodolpho Teixeira, 2002. "Macroeconomic Coordination and Inflation Targeting in a Two-Country Model," Working Papers Series 50, Central Bank of Brazil, Research Department.
    8. Victorio Yi Tson Chu, 2002. "Credit Channel with Sovereign Credit Risk: an Empirical Test," Working Papers Series 51, Central Bank of Brazil, Research Department.
    9. Aloísio P. Araújo & José Valentim M. Vicente, 2006. "Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint," Working Papers Series 118, Central Bank of Brazil, Research Department.
    10. Minella, Andre & de Freitas, Paulo Springer & Goldfajn, Ilan & Muinhos, Marcelo Kfoury, 2003. "Inflation targeting in Brazil: constructing credibility under exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 1015-1040, December.
    11. Paulo Coutinho & Benjamin Miranda Tabak, 2002. "Delegated Portfolio Management," Working Papers Series 60, Central Bank of Brazil, Research Department.
    12. Benjamin Miranda Tabak, 2003. "Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates," Working Papers Series 70, Central Bank of Brazil, Research Department.
    13. Leonardo Soriano de Alencar & Márcio I. Nakane, 2004. "Bank Competition, Agency Costs and the Performance of the Monetary Policy," Working Papers Series 81, Central Bank of Brazil, Research Department.
    14. Araújo, Aloísio Pessoa de & Leon, Márcia Saraiva, 2003. "Speculative attacks on debts and optimum currency area: a welfare analysis," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 514, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    15. Márcio I. Nakane & Leonardo S. Alencar & Fabio Kanczuk, 2006. "Demand for Bank Services and Market Power in Brazilian Banking," Working Papers Series 107, Central Bank of Brazil, Research Department.
    16. Benjamin Miranda Tabak, 2003. "On the Information Content of Oil Future Prices," Working Papers Series 65, Central Bank of Brazil, Research Department.
    17. Leonardo Soriano de Alencar & Márcio I. Nakane, 2003. "Real Balances in the Utility Function: Evidence for Brazil," Working Papers Series 68, Central Bank of Brazil, Research Department.
    18. Alexandre A. Tombini & Sergio A. Lago Alves, 2006. "The Recent Brazilian Disinflation Process and Costs," Working Papers Series 109, Central Bank of Brazil, Research Department.
    19. Marcelo Kfoury Muinhos & Márcio I. Nakane, 2006. "Comparing equilibrium real interest rates: different approaches to measure Brazilian rates," Working Papers Series 101, Central Bank of Brazil, Research Department.
    20. Benjamin Miranda Tabak & Solange Maria Guerra, 2002. "Stock Returns and Volatility," Working Papers Series 54, Central Bank of Brazil, Research Department.

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