The Global Financial Crisis and currency crises in Latin America

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Abstract

The Global Financial Crisis (GFC) has aected many regions including Latin America. This paper focuses on currency crises in Argentina, Brazil and Mexico. We estimate an Early Warning System, consisting of a dynamic factor model and an ordered logit model, with monthly data for 1990-2007. Ex ante forecasts for 2008-2009 do not produce currency crises in the fall of 2008, in sharp contrast with reality. Our model only predicts an increased probability of a currency crisis for Argentina in 2009.
Original languageEnglish
Place of PublicationGroningen
PublisherUniversity of Groningen, SOM research school
Number of pages50
Volume12005-EEF
Publication statusPublished - 2012

Publication series

NameSOM Research Reports
PublisherUniversity of Groningen, SOM Research School
Volume12005-EEF

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