Desequilíbrios globais e crises financeiras: história, teorias e evidências

Detalhes bibliográficos
Autor(a) principal: Baptista, Livia Nalesso
Data de Publicação: 2018
Tipo de documento: Tese
Idioma: por
Título da fonte: Repositório Institucional da UFU
Texto Completo: https://repositorio.ufu.br/handle/123456789/24476
http://dx.doi.org/10.14393/ufu.te.2019.906
Resumo: The aim of this thesis is to assess the relationship between global imbalances and financial crises, from a historical, theoretical and empirical perspective. This thesis contributes to the literature by conducting a broad analysis of global imbalances and financial crises in these areas, by including a global liquidity imbalances index, which was not yet used to address this relationship, and by conducting an extensive econometric research regarding this relationship. An Early Warning System (EWS) model, based on a multinomial logit model, is estimated to test the relationship between global imbalances and financial crises for a sample of 156 developed and developing countries for the 1970-2011 period. The results indicate that, in fact, global imbalances are related to the occurrence of financial crises: i) with regard to the relationship between global imbalances and current crises, the results obtained in all samples, except the sample of emerging and developing countries, indicate that an increase in current account balances reduces the probability of a currency crisis; for the general sample, the emerging and developing countries sample and the emerging countries sample, we found evidence that an increase in global liquidity imbalances increases the likelihood of currency crises; (ii) regarding the relationship between global imbalances and banking crises, the results point that, for the general sample, increases in current account balances reduce the probability of banking crises, and for the advanced countries sample there is evidence that an increase in current account balances increases the probability of bank crises; for all samples, except for the sample of emerging countries, the results indicate that an increase in global liquidity imbalances increases the likelihood of banking crises; and (iii) regarding the relationship between global imbalances and sovereign debt crises, there is evidence for the general sample and the emerging and developing countries sample that increases in current account balances diminish the likelihood of sovereign debt crises; for the general sample, the emerging and developing countries sample, and the developed and emerging countries subsample, evidence has been found that increases in global liquidity imbalances increase the likelihood of sovereign debt crises. From a joint analysis of the empirical results and the historical and theoretical analysis, we conclude that global imbalances are indeed related to financial crises, and are important for their determination.
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spelling Desequilíbrios globais e crises financeiras: história, teorias e evidênciasGlobal imbalances and financial crises: history, theories and evidencesDesequilíbrios GlobaisTransações CorrentesDesequilíbrios Globais de LiquidezCrises FinanceirasEconomiaGeografia econômicaLiquidez (Economia)Global ImbalancesCurrent AccountGlobal Liquidity ImbalancesFinancial CrisesCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIAThe aim of this thesis is to assess the relationship between global imbalances and financial crises, from a historical, theoretical and empirical perspective. This thesis contributes to the literature by conducting a broad analysis of global imbalances and financial crises in these areas, by including a global liquidity imbalances index, which was not yet used to address this relationship, and by conducting an extensive econometric research regarding this relationship. An Early Warning System (EWS) model, based on a multinomial logit model, is estimated to test the relationship between global imbalances and financial crises for a sample of 156 developed and developing countries for the 1970-2011 period. The results indicate that, in fact, global imbalances are related to the occurrence of financial crises: i) with regard to the relationship between global imbalances and current crises, the results obtained in all samples, except the sample of emerging and developing countries, indicate that an increase in current account balances reduces the probability of a currency crisis; for the general sample, the emerging and developing countries sample and the emerging countries sample, we found evidence that an increase in global liquidity imbalances increases the likelihood of currency crises; (ii) regarding the relationship between global imbalances and banking crises, the results point that, for the general sample, increases in current account balances reduce the probability of banking crises, and for the advanced countries sample there is evidence that an increase in current account balances increases the probability of bank crises; for all samples, except for the sample of emerging countries, the results indicate that an increase in global liquidity imbalances increases the likelihood of banking crises; and (iii) regarding the relationship between global imbalances and sovereign debt crises, there is evidence for the general sample and the emerging and developing countries sample that increases in current account balances diminish the likelihood of sovereign debt crises; for the general sample, the emerging and developing countries sample, and the developed and emerging countries subsample, evidence has been found that increases in global liquidity imbalances increase the likelihood of sovereign debt crises. From a joint analysis of the empirical results and the historical and theoretical analysis, we conclude that global imbalances are indeed related to financial crises, and are important for their determination.CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível SuperiorTese (Doutorado)O objetivo da tese é analisar a relação entre desequilíbrios globais e crises financeiras, sob uma perspectiva histórica, teórica e empírica. O trabalho contribui para a literatura realizando uma ampla análise dos desequilíbrios globais e das crises financeiras nesses aspectos, incluindo um índice de desequilíbrios globais de liquidez, até então inédito para se tratar dessa relação. Estima-se um modelo de Early Warning System (EWS), baseado em um modelo logit multinomial, para se testar a relação entre desequilíbrios globais e crises financeiras para uma amostra de 156 países desenvolvidos e em desenvolvimento para o período de 1970 – 2011. Os resultados indicam que, de fato, os desequilíbrios globais estão relacionados à ocorrência de crises financeiras : i) no que se refere à relação entre desequilíbrios globais e crises cambiais, os resultados obtidos em todas as amostras, exceto a amostra de países emergentes e em desenvolvimento, indicam que um aumento nos saldos em transações correntes reduzem a probabilidade de crise cambial; para a amostra geral, amostra de países emergentes e em desenvolvimento e amostra de países emergentes, foram encontradas evidências de que um aumento nos desequilíbrios globais de liquidez aumentam a probabilidade de crises cambiais; ii) tratando-se da relação entre desequilíbrios globais e crises bancárias, os resultados obtidos indicam, para a amostra geral, que aumentos nos saldos em transações correntes diminuem a probabilidade de ocorrência de crises bancárias, e para a amostra de países avançados há evidências de que um aumento dos saldos em transações correntes aumenta a probabilidade de crises bancárias; para todas as amostras, exceto a amostra de países emergentes, foram encontradas evidências de que um aumento nos desequilíbrios globais de liquidez aumenta a probabilidade de crises bancárias; e iii) em se tratando da relação entre desequilíbrios globais e crises da dívida soberana, há, para a amostra geral e para a amostra de países emergentes e em desenvolvimento, evidências de que aumentos nos saldos em transações correntes diminuem a probabilidade de crises da dívida soberana; para a amostra geral, amostra de países emergentes e em desenvolvimento e a subamostra de países desenvolvidos e emergentes, foram encontradas evidências de que aumentos nos desequilíbrios globais de liquidez aumentam a probabilidade de ocorrência de crises da dívida soberana. A partir da análise conjunta dos resultados empíricos e da análise histórica e teórica, conclui-se que os desequilíbrios globais estão relacionados às crises financeiras, e são importantes para a sua determinação.Universidade Federal de UberlândiaBrasilPrograma de Pós-graduação em EconomiaDamasceno, Aderbal Oliveirahttp://lattes.cnpq.br/1821516618465695Munhoz, Vanessa da Costa Valhttp://lattes.cnpq.br/4617962567313257Veríssimo , Michele Pollinehttp://lattes.cnpq.br/9008143213768123Corrêa, André Luizhttp://lattes.cnpq.br/3065780459157910Oliveira , Giuliano Contento dehttp://lattes.cnpq.br/6980919103769877Baptista, Livia Nalesso2019-03-07T15:26:38Z2019-03-07T15:26:38Z2018-08-29info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisapplication/pdfBAPTISTA, Livia Nalesso. Desequilíbrios globais e crises financeiras: história, teorias e evidências. 2018. 153 f. Tese (Doutorado em Economia) - Universidade Federal de Uberlândia, Uberlândia, 2019.https://repositorio.ufu.br/handle/123456789/24476http://dx.doi.org/10.14393/ufu.te.2019.906porinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFUinstname:Universidade Federal de Uberlândia (UFU)instacron:UFU2019-03-07T15:58:38Zoai:repositorio.ufu.br:123456789/24476Repositório InstitucionalONGhttp://repositorio.ufu.br/oai/requestdiinf@dirbi.ufu.bropendoar:2019-03-07T15:58:38Repositório Institucional da UFU - Universidade Federal de Uberlândia (UFU)false
dc.title.none.fl_str_mv Desequilíbrios globais e crises financeiras: história, teorias e evidências
Global imbalances and financial crises: history, theories and evidences
title Desequilíbrios globais e crises financeiras: história, teorias e evidências
spellingShingle Desequilíbrios globais e crises financeiras: história, teorias e evidências
Baptista, Livia Nalesso
Desequilíbrios Globais
Transações Correntes
Desequilíbrios Globais de Liquidez
Crises Financeiras
Economia
Geografia econômica
Liquidez (Economia)
Global Imbalances
Current Account
Global Liquidity Imbalances
Financial Crises
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
title_short Desequilíbrios globais e crises financeiras: história, teorias e evidências
title_full Desequilíbrios globais e crises financeiras: história, teorias e evidências
title_fullStr Desequilíbrios globais e crises financeiras: história, teorias e evidências
title_full_unstemmed Desequilíbrios globais e crises financeiras: história, teorias e evidências
title_sort Desequilíbrios globais e crises financeiras: história, teorias e evidências
author Baptista, Livia Nalesso
author_facet Baptista, Livia Nalesso
author_role author
dc.contributor.none.fl_str_mv Damasceno, Aderbal Oliveira
http://lattes.cnpq.br/1821516618465695
Munhoz, Vanessa da Costa Val
http://lattes.cnpq.br/4617962567313257
Veríssimo , Michele Polline
http://lattes.cnpq.br/9008143213768123
Corrêa, André Luiz
http://lattes.cnpq.br/3065780459157910
Oliveira , Giuliano Contento de
http://lattes.cnpq.br/6980919103769877
dc.contributor.author.fl_str_mv Baptista, Livia Nalesso
dc.subject.por.fl_str_mv Desequilíbrios Globais
Transações Correntes
Desequilíbrios Globais de Liquidez
Crises Financeiras
Economia
Geografia econômica
Liquidez (Economia)
Global Imbalances
Current Account
Global Liquidity Imbalances
Financial Crises
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
topic Desequilíbrios Globais
Transações Correntes
Desequilíbrios Globais de Liquidez
Crises Financeiras
Economia
Geografia econômica
Liquidez (Economia)
Global Imbalances
Current Account
Global Liquidity Imbalances
Financial Crises
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
description The aim of this thesis is to assess the relationship between global imbalances and financial crises, from a historical, theoretical and empirical perspective. This thesis contributes to the literature by conducting a broad analysis of global imbalances and financial crises in these areas, by including a global liquidity imbalances index, which was not yet used to address this relationship, and by conducting an extensive econometric research regarding this relationship. An Early Warning System (EWS) model, based on a multinomial logit model, is estimated to test the relationship between global imbalances and financial crises for a sample of 156 developed and developing countries for the 1970-2011 period. The results indicate that, in fact, global imbalances are related to the occurrence of financial crises: i) with regard to the relationship between global imbalances and current crises, the results obtained in all samples, except the sample of emerging and developing countries, indicate that an increase in current account balances reduces the probability of a currency crisis; for the general sample, the emerging and developing countries sample and the emerging countries sample, we found evidence that an increase in global liquidity imbalances increases the likelihood of currency crises; (ii) regarding the relationship between global imbalances and banking crises, the results point that, for the general sample, increases in current account balances reduce the probability of banking crises, and for the advanced countries sample there is evidence that an increase in current account balances increases the probability of bank crises; for all samples, except for the sample of emerging countries, the results indicate that an increase in global liquidity imbalances increases the likelihood of banking crises; and (iii) regarding the relationship between global imbalances and sovereign debt crises, there is evidence for the general sample and the emerging and developing countries sample that increases in current account balances diminish the likelihood of sovereign debt crises; for the general sample, the emerging and developing countries sample, and the developed and emerging countries subsample, evidence has been found that increases in global liquidity imbalances increase the likelihood of sovereign debt crises. From a joint analysis of the empirical results and the historical and theoretical analysis, we conclude that global imbalances are indeed related to financial crises, and are important for their determination.
publishDate 2018
dc.date.none.fl_str_mv 2018-08-29
2019-03-07T15:26:38Z
2019-03-07T15:26:38Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/doctoralThesis
format doctoralThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv BAPTISTA, Livia Nalesso. Desequilíbrios globais e crises financeiras: história, teorias e evidências. 2018. 153 f. Tese (Doutorado em Economia) - Universidade Federal de Uberlândia, Uberlândia, 2019.
https://repositorio.ufu.br/handle/123456789/24476
http://dx.doi.org/10.14393/ufu.te.2019.906
identifier_str_mv BAPTISTA, Livia Nalesso. Desequilíbrios globais e crises financeiras: história, teorias e evidências. 2018. 153 f. Tese (Doutorado em Economia) - Universidade Federal de Uberlândia, Uberlândia, 2019.
url https://repositorio.ufu.br/handle/123456789/24476
http://dx.doi.org/10.14393/ufu.te.2019.906
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal de Uberlândia
Brasil
Programa de Pós-graduação em Economia
publisher.none.fl_str_mv Universidade Federal de Uberlândia
Brasil
Programa de Pós-graduação em Economia
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFU
instname:Universidade Federal de Uberlândia (UFU)
instacron:UFU
instname_str Universidade Federal de Uberlândia (UFU)
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institution UFU
reponame_str Repositório Institucional da UFU
collection Repositório Institucional da UFU
repository.name.fl_str_mv Repositório Institucional da UFU - Universidade Federal de Uberlândia (UFU)
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