Estimando Probabilidades de Ocorrência de Crises Cambiais no Brasil

Inez Sílvia Batista Castro and José Carlos de Lacerda Leite
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Inez Sílvia Batista Castro: UFPE e UNIFOR
José Carlos de Lacerda Leite: PIMES e UFPB

Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: 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.

Keywords: Balance of Payments Crisis; Causes of Speculative Attacks; Brazilian Economy in the 90’s; Exchange Rate Devaluation; Drift adjustment method. (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2003
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