Devaluation without common knowledge

• 成果类型: Article
• 署名作者: Rochon, Celine
• 署名单位: University of Oxford; University of Oxford; CY Cergy Paris Universite
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.12.004
• 发表日期: 2006
• 页码: 470-489
• 关键词: currency crises; Fixed exchange rate regime; speculation; endogenous devaluation; imperfect information

摘要

in an economy with a fixed exchange rate regime that suffers a random adverse shock, we study the strategies of imperfectly and sequentially informed speculators that may trigger an endogenous devaluation before it occurs exogenously. The game played by the speculators has a unique symmetric Nash equilibrium which is a strongly rational expectation equilibrium in the set of all strategies with delay. Uncertainty about the extent to which the Central Bank is ready to defend the peg extends the ex ante mean delay between the exogenous shock and the devaluation. We determine endogenously the rate of devaluation. (c) 2006 Elsevier B.V. All rights reserved.