An Early Warning System for currency crises in Argentina and Brazil 1990-2009

An Early Warning System for currency crises in Argentina and Brazil 1990-2009

Abstrac: The Global Financial Crisis (GFC) has affected many regions including Latin America. This paper focuses on currency crises in Argentina and Brazil, the two largest economies in South America, and with a wide experience with currency crises. We estimate an Early Warning System, consisting of a static factor model and a multinomial ordered logit model, with monthly data for 1990-2007. Ex ante forecasts for 2008-2009 produce an increased probability of currency crises in the fall of 2008. Our model outcomes confirm that elements from earlier crises are useful to predict the currency crises during the GFC.

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Main Authors: Boonman,Tjeerd M., Jacobs,Jan P. A. M., Kuper,Gerard H.
Format: Digital revista
Language:English
Published: Universidad de Guadalajara 2017
Online Access:http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S1870-66222017000200047
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spelling oai:scielo:S1870-662220170002000472018-07-23An Early Warning System for currency crises in Argentina and Brazil 1990-2009Boonman,Tjeerd M.Jacobs,Jan P. A. M.Kuper,Gerard H. Global financial crisis currency crises early warning systems Latin America static factor model ordered logit model C25 G01 N26 Abstrac: The Global Financial Crisis (GFC) has affected many regions including Latin America. This paper focuses on currency crises in Argentina and Brazil, the two largest economies in South America, and with a wide experience with currency crises. We estimate an Early Warning System, consisting of a static factor model and a multinomial ordered logit model, with monthly data for 1990-2007. Ex ante forecasts for 2008-2009 produce an increased probability of currency crises in the fall of 2008. Our model outcomes confirm that elements from earlier crises are useful to predict the currency crises during the GFC.info:eu-repo/semantics/openAccessUniversidad de GuadalajaraEconoQuantum v.14 n.2 20172017-12-01info:eu-repo/semantics/articletext/htmlhttp://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S1870-66222017000200047en10.18381/eq.v14i2.7100
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country México
countrycode MX
component Revista
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databasecode rev-scielo-mx
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region America del Norte
libraryname SciELO
language English
format Digital
author Boonman,Tjeerd M.
Jacobs,Jan P. A. M.
Kuper,Gerard H.
spellingShingle Boonman,Tjeerd M.
Jacobs,Jan P. A. M.
Kuper,Gerard H.
An Early Warning System for currency crises in Argentina and Brazil 1990-2009
author_facet Boonman,Tjeerd M.
Jacobs,Jan P. A. M.
Kuper,Gerard H.
author_sort Boonman,Tjeerd M.
title An Early Warning System for currency crises in Argentina and Brazil 1990-2009
title_short An Early Warning System for currency crises in Argentina and Brazil 1990-2009
title_full An Early Warning System for currency crises in Argentina and Brazil 1990-2009
title_fullStr An Early Warning System for currency crises in Argentina and Brazil 1990-2009
title_full_unstemmed An Early Warning System for currency crises in Argentina and Brazil 1990-2009
title_sort early warning system for currency crises in argentina and brazil 1990-2009
description Abstrac: The Global Financial Crisis (GFC) has affected many regions including Latin America. This paper focuses on currency crises in Argentina and Brazil, the two largest economies in South America, and with a wide experience with currency crises. We estimate an Early Warning System, consisting of a static factor model and a multinomial ordered logit model, with monthly data for 1990-2007. Ex ante forecasts for 2008-2009 produce an increased probability of currency crises in the fall of 2008. Our model outcomes confirm that elements from earlier crises are useful to predict the currency crises during the GFC.
publisher Universidad de Guadalajara
publishDate 2017
url http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S1870-66222017000200047
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