Submitted by Thiago Lombardi Terra (thiagolombarditerra@gmail.com) on 2014-08-15T01:46:43Z No. of bitstreams: 1 DISSERTACAO_INDICADORES_DE_VULNERABILIDADE_APLICADOS_AO_BRASIL_UMA_ABORDAGEM_EMPIRICA.pdf: 1032629 bytes, checksum: b0fb2ce1f3e5486520e29b253189bc38 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Thiago, bom dia. Os agradecimentos deve estar no formato "justificado" no mesmo formato do seu resumo. Por gentileza fazer os ajustes listados acima. Aguardo Joana Martorini on 2014-08-15T12:16:47Z (GMT) / Submitted by Thiago Lombardi Terra (thiagolombarditerra@gmail.com) on 2014-08-15T13:35:18Z No. of bitstreams: 1 DISSERTACAO_INDICADORES_DE_VULNERABILIDADE_APLICADOS_AO_BRASIL_UMA_ABORDAGEM_EMPIRICA.pdf: 1032701 bytes, checksum: c8f544861f8509c50b19ab2bd37c61fa (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Aguardo os ajustes nos agradecimentos. on 2014-08-15T13:39:04Z (GMT) / Submitted by Thiago Lombardi Terra (thiagolombarditerra@gmail.com) on 2014-08-15T13:44:43Z No. of bitstreams: 1 DISSERTACAO_INDICADORES_DE_VULNERABILIDADE_APLICADOS_AO_BRASIL_UMA_ABORDAGEM_EMPIRICA.pdf: 1032816 bytes, checksum: 2eae63d37c58ea9666b2ad8013879033 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-08-15T13:46:25Z (GMT) No. of bitstreams: 1 DISSERTACAO_INDICADORES_DE_VULNERABILIDADE_APLICADOS_AO_BRASIL_UMA_ABORDAGEM_EMPIRICA.pdf: 1032816 bytes, checksum: 2eae63d37c58ea9666b2ad8013879033 (MD5) / Made available in DSpace on 2014-08-15T13:49:38Z (GMT). No. of bitstreams: 1 DISSERTACAO_INDICADORES_DE_VULNERABILIDADE_APLICADOS_AO_BRASIL_UMA_ABORDAGEM_EMPIRICA.pdf: 1032816 bytes, checksum: 2eae63d37c58ea9666b2ad8013879033 (MD5) Previous issue date: 2014-08-05 / Along the economic history, financial instabilities have instigated the interests of the researchers that aimed to comprehend the reasons that an economy became vulnerable in certain situations. Others researchers sought to unravel the reasons that have caused the financial instability and, moreover, they sought to relate the variables that had greater exploratory power in periods of instability. This dissertation focuses on early warning indicators’ research applied in the Brazilian economy, in order to estimate which are the most adherent indicators in explaining the movements of the economy. To achieve this, this work is divided as follows: The first chapter is an introduction of this work. In the second chapter, we will focus on theoretical frameworks of authors who studied the reasons for financial instabilities. This chapter also included a review of early warning indicators and exchange market pressure applied to the Brazilian economy. After, inside the third chapter, is presented the econometric analysis and it is highlighted the criteria used to choose the indicators. Besides this selection, impacts are estimated for models of early warning indicators inside the Brazilian economy. Still in this chapter, the exchange market pressure model was estimated for the Brazilian economy. Although the models of early warning indicators are not as adherent for the Brazilian reality, their statistical relevance is important for the monitoring the trends of the economy. / Ao longo da história econômica, as instabilidades financeiras sempre despertaram interesses dos pesquisadores, que visavam entender os motivos pelos quais uma economia se tornava vulnerável em determinadas situações. Outros estudiosos procuravam desvendar as razões que levavam às instabilidades e, além do mais, procuravam relacionar as variáveis que tinham maior poder de explicação nos períodos de instabilidade. O presente trabalho focará nas pesquisas dos early warning indicators aplicados à economia brasileira, com o intuito de estimar quais são os indicadores mais aderentes na explicação dos movimentos da economia. Para tal, o trabalho está dividido da seguinte maneira: No primeiro capítulo, será abordada uma introdução do trabalho. Já no segundo capítulo, serão abordados os referenciais teóricos de autores que estudaram os motivos das instabilidades financeiras. Também consta a revisão dos estudos dos early warning indicators e do exchange market pressure aplicado à economia brasileira. Posteriormente, no terceiro capítulo, é feita uma análise econométrica, com os critérios de seleção dos indicadores. Além da justificativa das escolhas dos indicadores, serão estimados modelos dos impactos dos early warning indicators na economia brasileira. Após isto, também foi calculado o exchange market pressure para a economia brasileira. Por fim, concluí-se que, apesar dos modelos de early warning indicators não serem tão aderentes à realidade brasileira, a sua determinação estatística é de grande importância para o acompanhamento das tendências na economia.

This thesis discusses the phenomenon of currency crises, in particular it is devoted to empirical identification of crisis periods. As a crisis indicator, we aim to utilize an exchange market pressure index which has been revealed as a very powerful tool for the exchange market pressure quantification. Since enumeration of the exchange market pressure index is crucial for further analysis, we pay special attention to different approaches of its construction. In the majority of existing literature on exchange market pressure models, a currency crisis is defined as a period of time when the exchange market pressure index exceeds a predetermined level. In contrast to this, we incorporate a probabilistic approach using the extreme value theory. Our goal is to prove that stochastic methods are more accurate, in other words they are more reliable instruments for crisis identification. We illustrate the application of the proposed method on a selected sample of four central European countries over the period 1993 - 2012, or 1993 - 2008 respectively, namely the Czech Republic, Hungary, Poland and Slovakia. The choice of the sample is motivated by the fact that these countries underwent transition reforms to market economies at the beginning of 1990s and therefore could have been exposed to speculative attacks on their newly arisen currencies. These countries are often assumed to be relatively homogeneous group of countries at similar stage of the integration process. Thus, a resembling development of exchange market pressure, particularly during the last third of the estimation period, would not be surprising.