Speculative attacks and the information role of the interest rate

• 成果类型: Article
• 署名作者: Tarashev, Nikola A.
• 署名单位: Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1162/JEEA.2007.5.1.1
• 发表日期: 2007
• 页码: 1-36
• 关键词: public information; currency crises; COORDINATION; complementarities; equilibrium; games

摘要

This paper models currency attacks as carried out by speculators who condition their actions on private signals about the state and on the market-clearing interest rate. Besides affecting speculators' payoffs, this intrest rate also provides an endogenous public signal. For a plausible type of investment strategies, the dual role of the interest rate allows the model to explain abrupt and intense speculative attacks solely via economic fundamentals, without resorting to sunspot variables. This result underlies a novel policy implication: An official intervention in the foreign exchange market may reinforce a currency peg by influencing the precision of public information.