Fatores condicionantes das crises cambiais brasileiras no perÃodo de julho de 1994 a janeiro de 2006

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

This study focuses on Brazilian exchange rate crisis from 1990 to 2006. Although many studies have been undertaken on this topic, none of them investigates if the outcomes of the most common econometric method â the logit regression - are influenced by the way the dependent variable is defined. There is subjectiveness and arbitrariness involved in the construction of the exchange rate market pressure index. This index does not reflect the market expectations of currency devaluation. It reflects the mechanism used by the monetary authority to defend the exchange rate regime. Those mechanisms are the reaction of the Central Bank (Bacen) to the possibility of a speculative attack. As a consequence, the index depends on the: BacenÂs diagnosis of the market expectations as well as on Bacenâs reaction to such diagnosis. Finally, we use a drift adjustment method to estimate the probability of devaluation of the domestic currency. This method is an option to the logit regression. The regression based on those dependent variables showed better adjustment than the logit regression. Its results reinforce the fundamentalist approach. The study shows that structural factors, such as the growth of the public debt, play a key role in the determination of the exchange rate crisis in Brasil, in the 1990âs

ASSUNTO(S)

economia brasileira brazilian economy exchange rate cÃmbio economia crises cambiais exchange rate crisis

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