Early warning systems : uma análise empírica de canais de contágio de crises dos Estados Unidos para o Brasil (2000-2010)

Abstract

The International financial crises of recent years have caused terrible damage not only to the countries in which the crisis arose, but also for other world economies. Proved to be important to development of tools that, considering internal and external factors, could predict with some anticipation the apex of a crisis in the local economy, as well as its contagion crises originated in other countries. In this sense, the models were developed Early warning systems (EWS). The objective of this study was to find variables that, through its monitoring, would enable the prediction of the arrival of a crisis with some anticipation in the Brazilian economy. More specifically, it sought to verify the channels of contagion of the subprime crisis in the United States (2008/2009) in the Brazilian economy. For such purposes, were used two econometric EWS models: an estimation model for signal and a probit model, applied in sample period January 2000 to December 2010. The results showed that the Brazilian economy tends to be more strongly affected by instabilities in the American economy via financial channel for contagion (capital and financial account of balance of payments). Ten variables were tested in crisis forecasting models, and three variables were significant: country risk, reserves/import and terms of trade.