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The Brazilian currency turmoil of 2002: A nonlinear analysis

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Abstract

This paper investigates the main sources of instability in Brazil during the Currency and financial distress episode of 2002. We test for financial contagion from the Argentine crisis and the impact of factors including IMF intervention and political uncertainty in raising the probability of crisis. The empirical investigation employs a Markov-switching model with endogenous transition probabilities. Copyright (c) 2005 John Wiley & Soils, Ltd

Topics: HG
Publisher: JOHN WILEY & SONS LTD
OAI identifier: oai:wrap.warwick.ac.uk:34409
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