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

Tjeerd M. Boonman | Zendy; Jan Jacobs | Zendy; Gerard H. Kuper | Zendy

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

Author(s) -

Tjeerd M. Boonman,

Jan Jacobs,

Gerard H. Kuper

Publication year - 2017

Publication title -

econoquantum

Language(s) - English

Resource type - Journals

eISSN - 1870-6622

pISSN - 2007-9869

DOI - 10.18381/eq.v14i2.7100

Subject(s) - currency , multinomial logistic regression , currency crisis , latin americans , economics , financial crisis , warning system , early warning system , monetary economics , macroeconomics , political science , computer science , machine learning , law , telecommunications

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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