CRISES CAMBIAIS E BANCÁRIAS NA DÉCADA DE 1990: UMA ANÁLISE DE PAINEL APLICADA A MERCADOS EMERGENTES

Ana Paula Menezes Pereira and Fernando Seabra

Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: A large number of exchange-rate crises have occurred during the last two decades in emerging market economies. The objective of this paper is, based on the literature review on the relationship between exchange-rate and banking crises, to propose and estimate the determinants of exchange rate crises with emphasis to the role of the central bank and its performance regarding policies to affect private banking liquidity. We suggest, empirically, a mechanism where domestic credit creation and the weakness of the private banking sector affect exchange rate pressure. Our sample is constituted of 13 emerging market economies and data covers the period from January, 1995 to December, 2000. The results corroborate the theoretical propositions. Increases in the exchange rate pressure have been significantly linked to domestic credit expansion, deterioration of short run liabilities of the central bank, higher political risk and increasing exchange rate pressure to the other countries in the sample. At last, the model estimated successfully the periods of high vulnerability owing to increasing exchange rate volatility.

JEL-codes: E44 (search for similar items in EconPapers)
Date: 2004
View citations in EconPapers

Downloads: (external link)
http://www.anpec.org.br/encontro2004/artigos/A04A033.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:anp:en2004:033

Ordering information: This working paper can be ordered from
Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil

Access Statistics for this paper

More papers in Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]
Address: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
Contact information at EDIRC.
Series data maintained by Hugo E. A. da Gama Cerqueira (). This e-mail address is bad, please contact .