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The Brazilian currency turmoil of 2002: a nonlinear analysis
Author(s) -
Goretti Manuela
Publication year - 2005
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.273
Subject(s) - economics , currency , political instability , currency crisis , financial crisis , monetary economics , markov chain , financial contagion , contagion effect , financial distress , politics , econometrics , keynesian economics , financial system , political science , statistics , mathematics , law
This paper investigates the main sources of instability in Brazil during the currency and financial distress episode of 2002. We test for financial contagion from the Argentine crisis and the impact of factors including IMF intervention and political uncertainty in raising the probability of crisis. The empirical investigation employs a Markov‐switching model with endogenous transition probabilities. Copyright © 2005 John Wiley & Sons, Ltd.