Coordination of speculation

• 成果类型: Article
• 署名作者: Botman, DPJ; Jager, H
• 署名单位: University of Amsterdam; Tinbergen Institute
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(01)00166-0
• 发表日期: 2002
• 页码: 159-175
• 关键词: Speculation; COORDINATION; devaluation; noisy communication; contagion

摘要

We extend the models of Krugman [Journal of Money, Credit and Banking, 11 (1979) 311] and Flood and Garber [Journal of International Economics, 17 (1984) 1] on balance of payments crises to a multi-country setting such that coordination among speculators is important for a focal point to emerge, The moment of successful coordination when the currency is devalued is shown to depend on initial beliefs, the degree of imperfect communication, the rate of domestic credit creation, and the number of countries that have overvalued currencies. Contagion arises naturally in our framework, Subsequent speculative attacks occur faster and faster and communication among speculators results in fluctuating stocks of reserves prior to the attack. (C) 2002 Elsevier Science BY All rights reserved.