Currency crises with the threat of an interest rate defence

• 成果类型: Article
• 署名作者: Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc
• 署名单位: European Central Bank; De Nederlandsche Bank NV; University of Amsterdam; Technical University of Berlin; Tinbergen Institute
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2011.05.008
• 发表日期: 2011
• 页码: 14-24
• 关键词: currency crisis; Interest rate defence; Global game; Strategic substitutes

摘要

While virtually all currency crisis models recognise that the decision to abandon a peg depends on how tenaciously policy makers defend it, this is seldom modelled explicitly. We add the threat of an interest rate defence to the global game model of Morris and Shin (American Economic Review 88, 1998). With an endogenous defence, actions of speculators may become strategic substitutes instead of the usual complements. Nevertheless, our generalised model remains tractable and has a unique threshold equilibrium. It provides additional insights. For instance, the threat of an interest rate defence makes speculation riskier and this may be sufficient to keep speculators out when fundamentals are still relatively strong. (C) 2011 Elsevier B.V. All rights reserved.