Currency crises, sunspots and Markov-switching regimes

• 成果类型: Article
• 署名作者: Jeanne, O; Masson, P
• 署名单位: International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(99)00007-0
• 发表日期: 2000
• 页码: 327-350
• 关键词: currency crises; self-fulfilling speculation; sunspots; Markov-switching regimes; European monetary system; French franc

摘要

This paper investigates the theoretical properties of a class of escape clause models of currency crises as well as their applicability to empirical work. We show that under some conditions these models give rise to an arbitrarily large number of equilibria, as well as cyclic or chaotic dynamics for the devaluation expectations. We then propose an econometric technique, based on the Markov-switching regimes framework, by which these models can be brought to the data. We illustrate this empirical approach by studying the experience of the French franc between 1987 and 1993, and find that the model performs significantly better when it allows the devaluation expectations to be influenced by sunspots. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: F3; F4.