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Crises Cambiais E Bancárias Na Década De 1990: Uma Análise De Painel Aplicada A Mercados Emergentes

Author

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  • Ana Paula Menezes Pereira
  • Fernando Seabra

Abstract

A large number of exchange-rate crises have occurred during the last two decades in emerging market economies. The objective of this paper is, based on the literature review on the relationship between exchange-rate and banking crises, to propose and estimate the determinants of exchange rate crises with emphasis to the role of the central bank and its performance regarding policies to affect private banking liquidity. We suggest, empirically, a mechanism where domestic credit creation and the weakness of the private banking sector affect exchange rate pressure. Our sample is constituted of 13 emerging market economies and data covers the period from January, 1995 to December, 2000. The results corroborate the theoretical propositions. Increases in the exchange rate pressure have been significantly linked to domestic credit expansion, deterioration of short run liabilities of the central bank, higher political risk and increasing exchange rate pressure to the other countries in the sample. At last, the model estimated successfully the periods of high vulnerability owing to increasing exchange rate volatility.

Suggested Citation

  • Ana Paula Menezes Pereira & Fernando Seabra, 2004. "Crises Cambiais E Bancárias Na Década De 1990: Uma Análise De Painel Aplicada A Mercados Emergentes," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 033, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Handle: RePEc:anp:en2004:033
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    File URL: http://www.anpec.org.br/encontro2004/artigos/A04A033.pdf
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    Cited by:

    1. Luiz Carlos Bresser-Pereira & Lauro Gonzalez & Cláudio Lucinda, 2008. "Crises financeiras nos anos 1990 e poupança externa [Financial crises of the 1990s and current account deficits]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 18(3), pages 327-357, September.
    2. Lucinda, Cláudio Ribeiro de & Farias, Lauro Emilio Gonzalez, 2007. "Crises financeiras recentes e poupança externa," Textos para discussão 166, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).

    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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