The Brazilian Currency Turmoil of 2002: A Nonlinear Analysis

Manuela Goretti

International Finance from University Library of Munich, Germany

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)
Pages: 30 pages
Date: 2005-06-04
New Economics Papers: this item is included in nep-fmk
Note: Type of Document - pdf; pages: 30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0506/0506001.pdf (application/pdf)

Related works:
Journal Article: The Brazilian currency turmoil of 2002: a nonlinear analysis (2005)
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: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0506001

Access Statistics for this paper

More papers in International Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).