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.
|Naam||SOM Research Reports|
|Uitgeverij||University of Groningen, SOM Research School|