Risk and wealth in a model of self-fulfilling currency attacks

• 成果类型: Article
• 署名作者: Guimaraes, Bernardo; Morris, Stephen
• 署名单位: Princeton University; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2007.07.005
• 发表日期: 2007
• 页码: 2205-2230
• 关键词: currency crises; global games; risk aversion; WEALTH; portfolio

摘要

Market participants' risk attitudes, wealth and portfolio composition influence their positions in a pegged foreign currency and, therefore, may have important effects on the sustainability of currency pegs. This paper analyzes such effects in a global game model of currency crises with continuous action choices, generating a rich set of theoretical comparative static predictions related to often discussed but rarely modelled accounts of currency attacks. The model can be solved in closed form and the methods could be used to study other economic issues in which coordination and risk aversion play important roles. (c) 2007 Elsevier B.V. All rights reserved.