EXPECTATIONS AND CONTAGION IN SELF-FULFILLING CURRENCY ATTACKS

• 成果类型: Article
• 署名作者: Keister, Todd
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2009.00556.x
• 发表日期: 2009
• 页码: 991-1012
• 关键词: Unique equilibrium; MODEL; crises; multiplicity; INFORMATION; WEALTH

摘要

Self-fulfilling expectations are commonly believed to play an important role in the transmission of currency crises across countries. Formal models of contagion based on multiple equilibria, however, have been criticized for failing to explain basic patterns observed in the data; these criticisms have been taken as evidence against the self-fulfilling view. This article argues that the importance of self-fulfilling beliefs is not so easily dismissed. A slightly richer model, based on the incomplete-information framework of Morris and Shin (American Economic Review 88 (1998), 587-97), can generate contagion due to self-fulfilling beliefs while placing restrictions on observable variables that are broadly consistent with the empirical evidence.