Discrete devaluations and multiple equilibria in a first generation model of currency crises

• 成果类型: Article
• 署名作者: Broner, Fernando A.
• 署名单位: Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.03.001
• 发表日期: 2008
• 页码: 592-605
• 关键词: currency crises; first generation models; private information; discrete devaluations; multiple equilibria

摘要

The first generation models of currency crises have often been criticized because they predict that, in the absence of very large triggering shocks, currency attacks should be predictable and lead to small devaluations. This paper shows that these features of first generation models are not robust to the inclusion of private information. In particular, this paper analyzes a generalization of the Krugman-Flood-Garber (KFG) model, which relaxes the assumption that all consumers are perfectly informed about the level of fundamentals. In this environment, the KFG equilibrium of zero devaluation is only one of many possible equilibria. In all the other equilibria, the lack of perfect information delays the attack on the currency past the point at which the shadow exchange rate equals the peg, giving rise to unpredictable and discrete devaluations. (C) 2008 Elsevier B.V. All rights reserved.