A real options perspective on the future of the Euro

• 成果类型: Article
• 署名作者: Alvarez, Fernando; Dixit, Avinash
• 署名单位: University of Chicago; Princeton University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.11.007
• 发表日期: 2014
• 页码: 78-109
• 关键词: Option value; euro; currency union; Break-up

摘要

A break-up of the Eurozone is no longer regarded as implausible. This will be a costly and irreversible decision in conditions of continuing uncertainty; therefore it is amenable to analysis in the real options framework. We do so by solving as an n-dimensional optimal stopping problem with country-specific shocks and convergence of member economies. We compare a complete break-up with individual country departures. In calibrated solutions for a symmetric case we find a non-negligible but small option value. Furthermore, we find a new theoretical result on the non-monotonicity of abandonment threshold with respect to volatility. (C) 2013 Elsevier B.V. All rights reserved.