Fatores comuns determinantes de crises cambiais e financeiras

Abstract

Determinative common factors of currency and financial crisis. This paper identifies and evaluates determinative common factors of currency and financial crisis in relation to 86 crises episodes between 1970-2004, based on factor analysis, cluster and discriminant analysis. one evidenced that the rise of the ratios of domestic credit, fiscal deficit and residents bank deposits to the GDP is inherent to the different types of crises classified for economic literature. It was also identified as common factors to these episodes some indicators that capture the excessive monetary expansion of the economies and that reflect the fall in international reserves, represented by M2/Reserves and Imports/Reserves ratios and also the total volume of international reserves.Keywords: currency and financial crisis; factor analysis; discriminant analysis. JEL Classification: F31; F41.INTRoDução observando-se a economia mundial nos últimos 40 anos, verifica-se a alta e crescente incidência de crises cambiais e financeiras, atingindo tanto economias maduras quanto países em desenvolvimento. os estudos empíricos têm sido eficientes na verificação da vulnerabilidade dos países aos colapsos cambiais, apesar da dificuldade na previsão das ocorrências desses episódios. Considerando-se que uma