Credibilidade e crises cambiais: uma aplicação do modelo de Velasco

Abstract

This paper analyzes the currency crises of the South American countries during the period from 1992 to 1998, based on the Velasco (1996) model. This is a model that synthesizes two approaches: speculative attacks resulting from unbalanced macroeconomics fundamentals and resulting from self-fulfilling prophecies, even when the economies show good fundamentals. Nine Latin American countries are classified by means of a loss function index. Thus, it is possible to classify the countries by the degree of vulnerability to the crises, establishing zones of credibility. The results indicate that the Brazilian economy, since it shows problems in its macroeconomic fundamentals, was classified in the zone of null credibility. Argentina moves from a zone of high credibility to an intermediate or partial zone. This is an indication that Argentina became susceptible to self-fulfilling crises. All other countries were classified in the zone of high credibility.