A currency crisis model with an optimising policymaker

• 成果类型: Article
• 署名作者: Ozkan, FG; Sutherland, A
• 署名单位: University of York - UK; Brunel University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(97)00025-1
• 发表日期: 1998
• 页码: 339-364
• 关键词: speculative attacks; balance of payments crises

摘要

A model is presented in which the abandonment of a fixed exchange rate regime is triggered by an optimising policymaker who wants to loosen monetary policy and boost aggregate demand. Agents in the foreign exchange market know the policymaker's objective function and build expectations of a regime switch into interest differentials. The resulting rise in interest rates affects the policymaker's decision to switch regime. It is shown that a rational expectations equilibrium exists where the fixed rate is abandoned in response to adverse demand shocks. In some circumstances multiple equilibria arise which may lead to self-fulfilling crises. (C) 1998 Elsevier Science B.V.