Are currency crises self-fulfilling? A test

• 成果类型: Article
• 署名作者: Jeanne, O
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(97)00002-0
• 发表日期: 1997
• 页码: 263-286
• 关键词: currency crisis; speculation; multiple equilibria; European monetary system

摘要

This paper studies the respective roles of the fundamentals and self-fulfilling speculation in currency crises. We first present a model of a fixed exchange rate system in which self-fulfilling speculation can arise following a bifurcation in the fundamentals. We then estimate the model in the case of the 1992-3 crisis of the French franc, and find some evidence that self-fulfilling speculation was at work.