CRISES CAMBIAIS E BANCÁRIAS NA DÉCADA DE 1990: UMA ANÁLISE DE PAINEL APLICADA A MERCADOS EMERGENTES

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.