Determinative common factors of currency and financial crisis

Cristina Fátima Martins de Bessa (), Tito Belchior Silva Moreira (), Maurício de Paula Pinto Barata () and Fernando Antônio Ribeiro Soares ()

Brazilian Journal of Political Economy, 2010, vol. 30, issue 4, 604-624

Abstract: This paper identifies and evaluates determinative common factors of currency and financial crisis in relation to 86 crises episodes between 1970-2004, based on factor analysis, cluster and discriminant analysis. One evidenced that the rise of the ratios of domestic credit, fiscal deficit and residents bank deposits to the GDP is inherent to the different types of crises classified for economic literature. It was also identified as common factors to these episodes some indicators that capture the excessive monetary expansion of the economies and that reflect the fall in international reserves, represented by M2/Reserves and Imports/Reserves ratios and also the total volume of international reserves. JEL Classification: F31; F41.

Keywords: currency and financial crisis; factor analysis; discriminant analysis (search for similar items in EconPapers)
Date: 2010
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