Dynamics of currency crises with asset market frictions

• 成果类型: Article
• 署名作者: Guimaraes, B
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.02.001
• 发表日期: 2006
• 页码: 141-158
• 关键词: currency crisis; DYNAMICS; speculative attack; asset market frictions

摘要

This paper presents a dynamic model of currency crises with frictions. By construction, a speculative attack is not an instantaneous event but takes a little time to deplete the country's reserves and, in the event of an attack, agents are uncertain about whether they will be able to act before the devaluation comes. The currency will be overvalued ('ripe for attack') for a long time before an attack takes place. A discrete and sizable devaluation will occur. Small changes in fundamentals may trigger an attack. The model brings insights about the dynamics of currency crises and the effects of some key policy variables. (c) 2005 Elsevier B.V. All rights reserved.