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Brazilian Real Crisis Revisited: A Linear Probability Model to Identify Leading Indicators

M. Feridun

International Journal of Applied Econometrics and Quantitative Studies, 2004, vol. 1, issue 1, 81-96

Abstract: This article aims at identifying the indicators of the Brazilian real crisis through building a probit model incorporating 20 monthly macroeconomic, political, and financial sector indicators from 1980:1 – 1999:1. Results indicate that the significant variables are inflation (1-month lag), real exchange rate (1-month lag), import growth (1-month lag), US interest rates (2-month lag), public debt/GDP (2-month lag), and current account/GDP (3-month lag). Evidence further indicates that the signs of the variables are in line with our expectations, with the exception of US interest rates.

Keywords: Mexican peso crisis; financial crises; probit model; Brazil (search for similar items in EconPapers)
JEL-codes: C51 O54 (search for similar items in EconPapers)
Date: 2004
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