Crises cambiais e ataques especulativos no Brasil
Autor(a) principal: | |
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Data de Publicação: | 2006 |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Economia Aplicada |
Texto Completo: | https://www.revistas.usp.br/ecoa/article/view/908 |
Resumo: | The main goal of this paper is to investigate the hypothesis that currency crisis models based on macroeconomic fundamentals explain, to some extent, the occurrence of speculative attacks and currency crisis in Brazil. An adaptation of one of the main first generation models of currency crisis was used as theoretical background, producing an equation of the probability of occurrence of speculative attacks as function of macroeconomic variables. As an empirical application for the case of Brazil, an econometric model was utilized to estimate the parameters of this equation. The results were compatible with the hypothesis of the model. The most relevant variables identified were the monetary suply, the international interest rate, the exchange rate fixed by the government, and the liberalization of capital controls. The estimated equations for the probability of occurrence of currency crises and speculative attacks showed its usefulness to predict the imminence of these events. |
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Crises cambiais e ataques especulativos no Brasilpolítica monetáriafinanças internacionaiscrisemonetary policyinternational financecrisisThe main goal of this paper is to investigate the hypothesis that currency crisis models based on macroeconomic fundamentals explain, to some extent, the occurrence of speculative attacks and currency crisis in Brazil. An adaptation of one of the main first generation models of currency crisis was used as theoretical background, producing an equation of the probability of occurrence of speculative attacks as function of macroeconomic variables. As an empirical application for the case of Brazil, an econometric model was utilized to estimate the parameters of this equation. The results were compatible with the hypothesis of the model. The most relevant variables identified were the monetary suply, the international interest rate, the exchange rate fixed by the government, and the liberalization of capital controls. The estimated equations for the probability of occurrence of currency crises and speculative attacks showed its usefulness to predict the imminence of these events.O objetivo do estudo é investigar a hipótese de que fundamentos macroeconômicos explicam, em alguma medida, a ocorrência de crises cambiais e ataques especulativos no Brasil. Uma adaptação de um dos principais modelos de primeira geração de crise cambial foi utilizada como referencial teórico, produzindo uma equação de probabilidade de ocorrência de ataques especulativos em função de variáveis macroeconômicas. Instrumental econométrico foi utilizado para estimar os parâmetros dessa equação para o caso brasileiro. Os resultados obtidos são compatíveis com as hipóteses do modelo. As principais variáveis explicativas identificadas foram a oferta de moeda nacional, a taxa internacional de juros, taxa de câmbio de venda fixada pelo governo e a liberalização dos controles sobre o fluxo de capitais. As equações de probabilidade de ocorrência de crises cambiais e ataques especulativos estimadas demonstraram ser úteis para a previsão da iminência desses eventos.Universidade de São Paulo, FEA-RP/USP2006-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/90810.1590/S1413-80502006000200008Economia Aplicada; Vol. 10 No. 2 (2006); 287-301Economia Aplicada; Vol. 10 Núm. 2 (2006); 287-301Economia Aplicada; v. 10 n. 2 (2006); 287-3011980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/ecoa/article/view/908/920Copyright (c) 2015 Economia Aplicadainfo:eu-repo/semantics/openAccessMiranda, Mauro Costa2012-04-24T15:08:58Zoai:revistas.usp.br:article/908Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-09-13T12:16:48.772723Economia Aplicada - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Crises cambiais e ataques especulativos no Brasil |
title |
Crises cambiais e ataques especulativos no Brasil |
spellingShingle |
Crises cambiais e ataques especulativos no Brasil Miranda, Mauro Costa política monetária finanças internacionais crise monetary policy international finance crisis |
title_short |
Crises cambiais e ataques especulativos no Brasil |
title_full |
Crises cambiais e ataques especulativos no Brasil |
title_fullStr |
Crises cambiais e ataques especulativos no Brasil |
title_full_unstemmed |
Crises cambiais e ataques especulativos no Brasil |
title_sort |
Crises cambiais e ataques especulativos no Brasil |
author |
Miranda, Mauro Costa |
author_facet |
Miranda, Mauro Costa |
author_role |
author |
dc.contributor.author.fl_str_mv |
Miranda, Mauro Costa |
dc.subject.por.fl_str_mv |
política monetária finanças internacionais crise monetary policy international finance crisis |
topic |
política monetária finanças internacionais crise monetary policy international finance crisis |
description |
The main goal of this paper is to investigate the hypothesis that currency crisis models based on macroeconomic fundamentals explain, to some extent, the occurrence of speculative attacks and currency crisis in Brazil. An adaptation of one of the main first generation models of currency crisis was used as theoretical background, producing an equation of the probability of occurrence of speculative attacks as function of macroeconomic variables. As an empirical application for the case of Brazil, an econometric model was utilized to estimate the parameters of this equation. The results were compatible with the hypothesis of the model. The most relevant variables identified were the monetary suply, the international interest rate, the exchange rate fixed by the government, and the liberalization of capital controls. The estimated equations for the probability of occurrence of currency crises and speculative attacks showed its usefulness to predict the imminence of these events. |
publishDate |
2006 |
dc.date.none.fl_str_mv |
2006-06-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/908 10.1590/S1413-80502006000200008 |
url |
https://www.revistas.usp.br/ecoa/article/view/908 |
identifier_str_mv |
10.1590/S1413-80502006000200008 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/908/920 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2015 Economia Aplicada info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2015 Economia Aplicada |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo, FEA-RP/USP |
publisher.none.fl_str_mv |
Universidade de São Paulo, FEA-RP/USP |
dc.source.none.fl_str_mv |
Economia Aplicada; Vol. 10 No. 2 (2006); 287-301 Economia Aplicada; Vol. 10 Núm. 2 (2006); 287-301 Economia Aplicada; v. 10 n. 2 (2006); 287-301 1980-5330 1413-8050 reponame:Economia Aplicada instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Economia Aplicada |
collection |
Economia Aplicada |
repository.name.fl_str_mv |
Economia Aplicada - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
||revecap@usp.br |
_version_ |
1800221694012424192 |