Shadow rates and multiple equilibria in the theory of currency crises

• 成果类型: Article
• 署名作者: Cavallari, L; Corsetti, G
• 署名单位: Yale University; Sapienza University Rome
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(99)00030-6
• 发表日期: 2000
• 页码: 275-286
• 关键词: balance of payment crises; speculative attack; devaluation; Fixed exchange rate; multiple equilibria

摘要

This note generalizes to second generation models of currency crises the arbitrage-based approach first applied by Flood and Garber to first generation models. Deriving policy-switching rules based on the 'shadow exchange rate' facilitates the comparative analysis of the literature. Using the 'shadow rate', we provide and discuss an example of a common mechanism generating multiple equilibria in both first and second generation models. (C) 2000 Elsevier Science B.V. All rights reserved.