The Global Financial Crisis and currency crises in Latin America

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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.
Originele taal-2English
Plaats van productieGroningen
UitgeverUniversity of Groningen, SOM research school
Aantal pagina's50
Volume12005-EEF
StatusPublished - 2012

Publicatie series

NaamSOM Research Reports
UitgeverijUniversity of Groningen, SOM Research School
Volume12005-EEF

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