The Brazilian Currency Turmoil of 2002: A Nonlinear Analysis

Manuela Goretti ()

International Finance from EconWPA

Abstract: This paper investigates the main sources of instability in Brazil during the currency and financial distress episode of 2002. We test for financial contagion from the Argentine crisis and the impact of factors including IMF intervention and political uncertainty in raising the probability of crisis. The empirical investigation employs a Markov switching model with endogenous transition probabilities.

Keywords: Brazil; contagion; financial crises; IMF intervention; Markov switching model; political uncertainty. (search for similar items in EconPapers)
JEL-codes: C11 C22 F32 F34 F42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: 2005-06-04
Note: Type of Document - pdf; pages: 30
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Related works:
Journal Article: The Brazilian currency turmoil of 2002: a nonlinear analysis (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:0506001

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