Crises cambiais e ataques especulativos no Brasil
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. An adaptation of one of the main first generation models of currency crisis was u...
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| Format: | article |
| Status: | Published version |
| Publication Date: | 2006 |
| Country: | Brasil |
| Institution: | Universidade de São Paulo (USP) |
| Repository: | Economia Aplicada |
| Language: | Portuguese |
| OAI Identifier: | oai:revistas.usp.br:article/908 |
| Online Access: | https://www.revistas.usp.br/ecoa/article/view/908 |
| Access Level: | Open access |
| Keyword: | política monetária finanças internacionais crise monetary policy international finance crisis |
| Summary: | 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. 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 most relevant variables identified were the monetary suply, the international interest rate, the exchange rate fixed by the government, and the liberalization of capital controls. The estimated equations for the probability of occurrence of currency crises and speculative attacks showed its usefulness to predict the imminence of these events. |
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