Desequilíbrios globais e crises financeiras: história, teorias e evidências

Abstract

The aim of this thesis is to assess the relationship between global imbalances and financial crises, from a historical, theoretical and empirical perspective. This thesis contributes to the literature by conducting a broad analysis of global imbalances and financial crises in these areas, by including a global liquidity imbalances index, which was not yet used to address this relationship, and by conducting an extensive econometric research regarding this relationship. An Early Warning System (EWS) model, based on a multinomial logit model, is estimated to test the relationship between global imbalances and financial crises for a sample of 156 developed and developing countries for the 1970-2011 period. The results indicate that, in fact, global imbalances are related to the occurrence of financial crises: i) with regard to the relationship between global imbalances and current crises, the results obtained in all samples, except the sample of emerging and developing countries, indicate that an increase in current account balances reduces the probability of a currency crisis; for the general sample, the emerging and developing countries sample and the emerging countries sample, we found evidence that an increase in global liquidity imbalances increases the likelihood of currency crises; (ii) regarding the relationship between global imbalances and banking crises, the results point that, for the general sample, increases in current account balances reduce the probability of banking crises, and for the advanced countries sample there is evidence that an increase in current account balances increases the probability of bank crises; for all samples, except for the sample of emerging countries, the results indicate that an increase in global liquidity imbalances increases the likelihood of banking crises; and (iii) regarding the relationship between global imbalances and sovereign debt crises, there is evidence for the general sample and the emerging and developing countries sample that increases in current account balances diminish the likelihood of sovereign debt crises; for the general sample, the emerging and developing countries sample, and the developed and emerging countries subsample, evidence has been found that increases in global liquidity imbalances increase the likelihood of sovereign debt crises. From a joint analysis of the empirical results and the historical and theoretical analysis, we conclude that global imbalances are indeed related to financial crises, and are important for their determination.