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Ataques especulativos e crises cambiais na Argentina e no Brasil : uma análise comparativa

Silva, Kellen Fraga da; Ferrari Filho, Fernando
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Artigo de Revista Científica Formato: application/pdf
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O presente artigo busca, tendo como referência os modelos convencionais e a análise pós-keynesiana sobre ataques especulativos e crises cambiais, evidenciar uma interpretação para as crises cambiais da Argentina e do Brasil, visando, com isso, estabelecer uma comparação entre as referidas crises.; In the light of conventional models and Post Keynesian theory about speculative attacks and currency crises, this article aims to analyze the cunency crises in Argentina and Brazil.

Currency Crises and Monetary Policy in an Economy with Credit Constraints

Banerjee, Abhijit; Bacchetta, Philippe; Aghion, Philippe
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
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56.95%
This paper presents a simple model of currency crises which is driven by the interplay between the credit constraints of private domestic firms and the existence of nominal price rigidities. The possibility of multiple equilibria, including a ‘currency crisis’ equilibrium with low output and a depreciated domestic currency, results from the following mechanism: If nominal prices are ‘sticky’, a currency depreciation leads to an increase in the foreign currency debt repayment obligations of firms, and thus to a fall in their profits; this reduces firms’ borrowing capacity and therefore investment and output in a credit-constrained economy, which in turn reduces the demand for the domestic currency and leads to a depreciation. We examine the impact of various shocks, including productivity, fiscal, or expectational shocks. We then analyze the optimal monetary policy to prevent or solve currency crises. We also argue that currency crises can occur both under fixed and flexible exchange rate regimes as the primary source of crises is the deteriorating balance sheet of private firms.; Economics

Gross Capital Flows : Dynamics and Crises

Broner, Fernando; Didier, Tatiana; Erce, Aitor; Schmukler, Sergio L.
Fonte: Banco Mundial Publicador: Banco Mundial
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This paper analyzes the joint behavior of international capital flows by foreign and domestic agents -- gross capital flows -- over the business cycle and during financial crises. The authors show that gross capital flows are very large and volatile, especially relative to net capital flows. When foreigners invest in a country, domestic agents tend to invest abroad, and vice versa. Gross capital flows are also pro-cyclical, with foreigners investing more in the country and domestic agents investing more abroad during expansions. During crises, especially during severe ones, there is retrenchment, that is, a reduction in both capital inflows by foreigners and capital outflows by domestic agents. This evidence sheds light on the nature of shocks driving capital flows and helps discriminate among existing theories. The findings seem consistent with shocks that affect foreign and domestic agents asymmetrically, such as sovereign risk and asymmetric information.

Choosing the Currency Structure for Sovereign Debt : A Review of Current Approaches

Melecky, Martin
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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46.87%
This paper acknowledges the fact that some countries have to borrow in foreign currencies due to the various constraints they face. Starting from this point, the author reviews approaches for trying to determine the currency structure for sovereign debt, and discusses some issues inherent in these approaches. The analysis mainly focuses on the correlations of domestic fundamentals with the actual versus equilibrium exchange rate in light of the long-term perspective of a debt manager and changing exchange rate regimes. In addition, the author makes some observations on the characterization of exchange rate volatilities in the existing approaches.

Quantitative Analysis of Crisis : Crisis Identification and Causality

Ishihara, Yoichiro
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied. Also, most studies focus on only a few types of crises. This narrow focus on crises may not capture the multidimensionality of crises. Seven crisis types are analyzed, namely (1) liquidity type banking crises, (2) solvency type banking crises, (3) balance of payments crises, (4) currency crises, (5) debt crises, (6) growth rate crises, and (7) financial crises. Crisis data were collected from 15 emerging economies in 1980-2002 on a quarterly basis. The crisis identification exercise finds that multidimensionality in which different crisis types occur in short periods is one of the most important characteristics of recent crises. Further, the Granger causality tests in five Asian economies (Indonesia, the Republic of Korea, Malaysia, the Philippines, and Thailand) find that currency crises tend to trigger other types of crises, and therefore exchange rate management is essential.

Pricing Currency Risk: Facts and Puzzles from Currency Boards

Schmukler, Sergio L.; Servén, Luis
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
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The authors investigate the patterns and determinants of the currency risk premium in two currency boards-Argentina and Hong Kong. Despite the presumed rigidity of currency boards, currency premium is almost always positive and at times very large. Its term structure is usually upward sloping, but flattens out or even becomes inverted at times of turbulence. Currency premia differ across markets. The forward discount typically exceeds the currency premium derived from interbank rates, particularly during times of crisis. The large magnitude of these cross-market differences can be the consequence of unexploited arbitrage opportunities, market segmentation, or other risks embedded in typical measures of currency risk. The premium and its term structure depend on domestic and global factors related to devaluation expectations and risk perceptions.

The Transmission of Banking Crises to Households : Lessons from the 2008-2011 Crises in the ECA Region

Brown, Martin
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
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This paper examines the impact of the recent banking crises in Europe and Central Asia with an emphasis on household income and consumption patterns. The analysis is based on the 2010 wave of the Life in Transition Survey, which covers 12,704 households in eleven countries that experienced a banking crisis between 2008 and 2011. It finds that households in middle-income crisis countries are more than twice as likely to be hit by an income shock as households in high-income crisis countries. The labor market channel is the predominant source of income shocks, with wage reductions more widespread than job-losses. In reaction to income shocks, households reallocate spending from non-essential goods to staple foods. Reductions in staple-food consumption are, however, prevalent among low-income households. The paper examines potential crisis mitigators and finds that at the macro level a flexible monetary regime is associated with fewer cutbacks in household consumption. At the meso level, it finds no evidence that foreign bank ownership amplified the transmission of banking crises to households in Europe. With respect to micro-level mitigators, the analysis finds that diversified income sources as well as stocks of non-financial and financial assets help households to cushion income shocks. Access to informal and formal credit also mitigates the impact of income shocks on household consumption...

Distributional Effects of Crises : The Role of Financial Transfers

Halac, Marina; Schmukler, Sergio L.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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Financial crises affect income distribution by way of different channels. The authors argue that financial transfers are an important channel which has been overlooked by the literature. They study the role of financial transfers by analyzing some of the most severe Latin American crises during the past decades (Chile 1981-83, Mexico 1994-95, Ecuador 1998-2000, Argentina 2001-02, and Uruguay 2002). First, the authors investigate transfers to the financial sector-those from nonparticipants to participants of the financial sector. Second, they explore who receives these financial transfers by identifying the winners and losers within the financial sector. Their analysis suggests that financial transfers during crises are large and expected to increase income inequality.

Banking Crises and Exchange Rate Regimes : Is There a Link?

Domac, Ilker; Martinez Peria, Maria Soledad
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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46.94%
The authors investigate the links between banking crises, and exchange rate regimes, using a comprehensive data set that includes developed, and developing countries over the last two decades. In particular, they examine whether the choice of exchange rate regime affects the likelihood, cost, and duration of banking crises. Empirical results indicate that adopting a fixed exchange rate, diminishes the likelihood of a banking crisis in developing countries. But once a banking crisis occurs, its real costs - in terms of forgone output growth - are higher for countries with more stringent exchange rate requirements. The duration of crises seems not to be affected by exchange rate policy. Instead, it is influenced mainly by the size of the credit boom before the crisis.

Learning from Financial Crises

Lim, Jamus Jerome; Minne, Geoffrey
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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This paper considers the question of whether international banks learn from their previous crisis experiences and reduce their lending to developing countries in the event of a financial crisis. The analysis combines a bank-level dataset of bank activity and ownership with country-level data on the stock of historical crisis events between 1800 and 2005. To circumvent selection and endogeneity concerns, the paper exploits temporal variations in the relative recency of crises as instruments for crisis experience. The results indicate that foreign banks with greater crisis experience reduced their lending significantly more relative to other foreign banks, which can be interpreted as evidence in favor of a learning effect. The findings survive robustness checks that include alternative measures of crisis experience, additional controls, and decompositions into different types of crises. The question of learning is also examined from the perspective of other measures of bank performance.

The cost of crises and learning to live with exchange rate volatility: evidence from survey measures of consumer and business expectations; 9

de Brouwer, Gordon
Fonte: Routledge, London Publicador: Routledge, London
Tipo: Parte de Livro Formato: 596671 bytes; 353 bytes; application/pdf; application/octet-stream
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Conclusion: This paper has assessed the empirical relationship between exchange rate volatility and survey measures of household and business confidence in Australia, Japan, Korea, Malaysia, and Singapore. Caution needs to be used in interpreting this relationship, because the number of countries and observations is relatively small and because volatility may be a proxy for the effects of other factors and shocks on sentiment. But some tentative conclusions can be drawn. Business sentiment is more sensitive than consumer sentiment to exchange rate volatility. Exchange rate volatility matters much more when there is a currency crisis than in ‘normal’ times: it seems that currency crises are much more damaging to confidence than is exchange rate volatility itself. Finally, there is some evidence that consumers and firms learn to live with exchange rate uncertainty in flexible rate regimes.; yes

East Asian currency and financial crises: lessons from vulnerability, crisis and collapse

Corbett, Jenny; Vines, David
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 99029 bytes; application/pdf
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This paper presents an analytical framework for understanding the East Asian crises. We argue that vulnerability was created by the boom and bust incurred under pegged exchange rates, and by liberalisation in the presence of a bank-based financial regime with implicit promises of bail-out. These vulnerabilities were interconnected. Negative shocks precipitated both currency devaluation and financial crisis, and the latter created obligations for the government to bail out the financial sector. The critical feature which led to collapse was, we argue, the fact that currency depreciation led to a worsening of the financial crisis, due to massive unhedged borrowing in foreign currency, to which the fixed exchange rate regime had led. Financial collapse resulted when the currency devaluation was sufficiently large that those who had lent to the financial system came to believe that government guarantees could not be honoured. This in turn triggered fears of sovereign insolvency, which turned currency depreciation into currency collapse.

The internationalisation of financial crises: banking and currency crises 1883–2008

Dungey, Mardi; Jacobs, Jan P.A.M.; Lestano, null
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: 19 pages
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Financial crises are high cost events which can transmit across international borders. Using data from 1883 to 2008, this article develops a means of mapping changes in the degree of international synchronisation of banking and currency crises through a formal concordance index. This index specifically accounts for the typically low incidence and potential serial correlation of crisis data. The results show that banking crises were highly internationalised at the beginning of the 20th century, and became far less so in the strong regulatory environment prevailing after the Depression until the 1980s. A strong increase in the synchronicity of international banking crises is revealed during the late 20th and early 21st century. Currency crises began the century as more idiosyncratic, but have tended to become more synchronised over the 115 year sample.; Dungey acknowledges funding from ARC Grant DP0343418, Jacobs acknowledges support from the Research School SOM, University of Groningen. Lestano acknowledges support of the Atma Jaya Catholic University and thanks the University of Groningen.

The East Asian currency crises: lessons for an early warning system

Jotzo, Frank
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 303887 bytes; 172543 bytes; application/pdf; application/pdf
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Is it possible to devise a functioning early warning system for currency crises, and is there a role for the analysis of indicators beyond economic fundamentals? In light of the East Asian crisis, the issue is examined both theoretically and empirically. An analytical framework to detect macroeconomic and structural vulnerability as well as changes in the perception of fundamentals is developed, and a range of leading indicators explored. An exemplary early warning system which includes investors' sentiments is applied retrospectively in case studies of the crises in Indonesia and Thailand in 1997, Mexico 1994 and three other Latin American episodes.

The paper argues that the monitoring of market sentiments has a place along with the analysis of economic fundamentals, structural and political factors. Particularly in the recent East Asian experience, a sudden and dramatic change in the perception of economic fundamentals and expectations regarding future developments was the driving force behind the crisis. A range of promising indicators are identified, some using readily available quantitative data. The challenge lies in the exploration of relevant information outside the traditional realm of economics and the construction of quantifiable indices. The importance of sudden changes in expectations...

Default, Currency Crises, and Sovereign Credit Ratings

Reinhart, Carmen M.
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Journal Article; Publications & Research :: Journal Article; Publications & Research
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Sovereign credit ratings play an important part in determining countries' access to international capital markets and the terms of that access. In principle, there is no reason to expect that sovereign credit ratings should systematically predict currency crises. In practice, in emerging market economies there is a strong link between currency crises and default. Hence if credit ratings are forward-looking and currency crises in emerging market economies are linked to defaults, it follows that downgrades in credit ratings should systematically precede currency crises. This article presents results suggesting that sovereign credit ratings systematically fail to predict currency crises but do considerably better in predicting defaults. Downgrades in credit ratings usually follow currency crises, possibly suggesting that currency instability increases the risk of default.

Corruption, Composition of Capital Flows, and Currency Crises

Wei, Shang-Jin
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
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56.79%
Crony capitalism and international creditors' self-fulfilling expectations are often suggested as rival explanations for currency crises. A possible link between the two has not been explored. The author shows one channel through which crony capitalism can increase the chance of a currency/financial crisis by altering the composition of capital inflows. Using data on bilateral foreign direct investment and bilateral bank loans, the author finds clear evidence that in corrupt countries the composition of capital inflows is relatively light in foreign direct investment. Earlier studies indicated that a country with a capital inflow structure is more likely to run into a currency crisis down the road (partly through international creditors' self-fulfilling expectations). Therefore, crony capitalism, through its effect on the composition of a country's capital inflows, makes the country more vulnerable to currency crises brought about by self-fulfilling expectations. Corruption may also weaken domestic financial supervision...

Currency Crises and Government Finances

Burnside, Craig
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
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Fiscal policy plays a big role in currency crises - before, and after they occur. Thus policymakers should not underestimate the importance of fiscal policy: a) the realization of large contingent liabilities can quickly, and dramatically alter government finances, leading to a currency crisis; b) the effects of a currency crisis on government finances depend on the structure of government revenue, spending, and debt; c) the fiscal policies adopted in response to a crisis, influence economic outcomes, especially inflation, and depreciation. The note reviews the traditional models of currency crises, explained as a consequence of unsustainable fiscal policy, and how debt is accumulated, how currency crisis then develops, and why does fiscal policy matter. Focusing on bank bailouts, it is argued that traditional models of currency crises are applicable to emerging markets, suggesting that deficits after the East Asia financial crises could have been anticipated given the region's deteriorating banking systems...

Distinguishing between Observationally Equivalent Theories of Crises

Shankar, Rashmi
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
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The objective of this paper is to empirically test across alternative, apparently observationally equivalent theories of currency crises. Theories of crises are often difficult to distinguish from each other based on the behavior of commonly used predictors. Using a comprehensive data set on gross external assets and liabilities for 167 countries created by the World Bank's Latin America and the Caribbean Region and the Development Research Group, this study is able to make a significant move toward redressing this shortcoming. It focuses on identifying potential crisis predictors, as well as testing the validity of the distinct transmission mechanisms implied by various theories of currency crisis. Evidence is presented in support of insurance-based models, suggesting that proxies for contingent liability accumulation are effective crisis predictors.

Credibilidade e crises cambiais: uma aplicação do modelo de Velasco

Menezes, Adriano Campos; Moreira, Tito Belchior Silva; Souza, Geraldo da Silva e
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/09/2005 Português
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Este artigo analisa as crises cambiais dos principais países da América do Sul, no período de 1992 a 1998, com base no modelo de Velasco (1996). Este é um modelo que sintetiza dois enfoques: ataques especulativos resultantes de desequilíbrios nos fundamentos macroeconômicos e resultantes de profecias auto-rea-lizáveis, mesmo quando as economias apresentam bons fundamentos. Nove países latino-americanos são classificados por meio da construção de um índice derivado de uma função perda. Desse modo é possível agrupar os países pelo grau de vulnerabilidade às crises, estabelecendo-se zonas de credibilidade. Os resultados indicam que a economia brasileira, por apresentar problemas nos fundamentos macroeconômicos, foi classificada em uma zona de credibilidade nula. A Argentina moveu-se de uma zona de alta credibilidade para uma faixa intermediária. Isto indica que a Argentina tornou-se suscetível às crises auto-realizáveis. As demais economias situaram-se numa região de alta credibilidade.; This paper analyzes the currency crises of the South American countries during the period from 1992 to 1998, based on the Velasco (1996) model. This is a model that synthesizes two approaches: speculative attacks resulting from unbalanced macroeconomics fundamentals and resulting from self-fulfilling prophecies...

Explaining and forecasting currency crises in developed and emerging markets' economies.

Tudela, Maria Mercedes
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //2002 Português
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The series of banking and currency crises occurring in the 1990s have stimulated the study of financial crises. The research for this thesis has been conducted in the midst of this cluster of events: the Asian flu in 1997-98 and the disturbances in the Russian and Brazilian markets in 1998 and 1999, respectively. The aim of this work is to provide some empirical evidence on the general and systematic factors driving currency crises. After a summary of the literature on currency crises conducted in Chapter 1, the second chapter analyses the determinants of currency crises for 20 OECD countries for the period from 1970 to 1997. We use duration models in order to investigate the causes behind the duration of non-crises periods. Fundamentals are revealed as important determinants in assessing the likelihood of currency crises. Variables concerning the state of the external sector (exports, imports, degree of openness), the REER, foreign portfolio investment and net claims on central government help explain the onset of currency crises. Following historical events, the subsequent chapters in this thesis study currency crises in developing and emerging markets' economies. Chapter 3 develops an indicator called the Emerging Markets Risk Indicator...