A corporate balance-sheet approach to currency crises

• 成果类型: Article; Proceedings Paper
• 署名作者: Aghion, P; Bacchetta, P; Banerjee, A
• 署名单位: Study Center Gerzensee; Harvard University; University of Lausanne; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2003.06.004
• 发表日期: 2004
• 页码: 6-30
• 关键词: Monetary policy; foreign currency debt; Currency crisis

摘要

This paper presents a general equilibrium currency crisis model of the 'third generation', in which the possibility of currency crises is driven by the interplay between private firms' credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four main features (i) ex post deviations from purchasing power parity; (ii) credit constraints a la Bernanke-Gertler; (iii) foreign currency borrowing by domestic firms; (iv) a competitive banking sector lending to firms and holding reserves and a monetary policy conducted either through open market operations or short-term lending facilities. We derive sufficient conditions for the existence of a sunspot equilibrium with currency crises. We show that an interest rate increase intended to support the currency in a crisis may not be effective, but that a relaxation of short-term lending facilities can make this policy effective by attenuating the rise in interest rates relevant to firms. (C) 2003 Elsevier Inc. All rights reserved.