Self-fulfilling risk predictions: an application to speculative attacks

• 成果类型: Article
• 署名作者: Flood, RP; Marion, NP
• 署名单位: Dartmouth College; International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(98)00039-7
• 发表日期: 2000
• 页码: 245-268
• 关键词: currency crisis; devaluation; Risk premium; Mexico

摘要

We show that changing market beliefs about currency risk can generate a self-fulfilling speculative attack on a fixed exchange rate. The attack does not require a later change in policies to make it profitable. We illustrate this point by introducing an endogenous risk premium into a first-generation model of a speculative attack. The model is further modified to take account of sterilization, debt-financed fiscal deficits and anticipatory price-setting behavior. We use the model to interpret the 1994 Mexican peso crisis. (C) 2000 Elsevier Science B.V. All rights reserved.