Crises Cambiais e Ataques Especulativos no Brasil

The main goal of this paper is to investigate the hypothesis that currency crisis models based on macroeconomic fundamentals explain, to some extent, the occurrence of speculative attacks and currency crisis in Brazil between January 1982 and January 1999. For this purpose, the external sector of the Brazilian economy was analyzed to identify speculative attacks and currency crises. An adaptation of one of the main first generation models of currency crisis was used as theoretical background, producing an equation of the probability of occurrence of speculative attacks as function of macroeconomic variables. As an empirical application for the case of Brazil, an econometric model was utilized to estimate the parameters of this equation. The results were compatible with the hypothesis of the model. The probability of occurrence of speculative attacks grows with the monetary suply, the real effective exchange rate, the international interest rate, and the liberalization of capital controls and diminishes with the international reserves, the real gross domestic product, the exchange rate fixed by the government, the square of the international interest rate, the external price level, and the international trade in goods. The estimated equations for the probability of occurrence of currency crises and speculative attacks showed its usefulness to predict the imminence of these events.