Learning and Complementarities in Speculative Attacks

• 成果类型: Article
• 署名作者: Goldstein, Itay; Ozdenoren, Emre; Yuan, Kathy
• 署名单位: University of Pennsylvania; University of London; London Business School; University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdq017
• 发表日期: 2011
• 页码: 263-292
• 关键词: currency crises; social value; INFORMATION; MARKET; MODEL; multiplicity; COORDINATION; manipulation; EFFICIENCY; prices

摘要

We study a model where the aggregate trading of currency speculators reveals new information to the central bank and affects its policy decision. We show that the learning process gives rise to coordination motives among speculators leading to large currency attacks and introducing non-fundamental volatility into exchange rates and policy decisions. We show that the central bank can improve the ex ante effectiveness of its policy by committing to put a lower weight ex post on the information from the market, and that transparency may either increase or decrease the effectiveness of learning from the market, depending on how it is implemented.