Guimaraes, Bernardo and Morris, Stephen (2007) Risk and wealth in a model of self-fulfilling currency attacks. Journal of Monetary Economics, 54 (8). pp. 2205-2230. ISSN 0304-3932
Full text not available from this repository.Abstract
Market participants’ risk attitudes, wealth and portfolio composition influence their positions in a pegged foreign currency and, therefore, may have important effects on the sustainability of currency pegs. This paper analyzes such effects in a global game model of currency crises with continuous action choices, generating a rich set of theoretical comparative static predictions related to often discussed but rarely modelled accounts of currency attacks. The model can be solved in closed form and the methods could be used to study other economic issues in which coordination and risk aversion play important roles.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.sciencedirect.com/science/journal/03043... |
| Additional Information: | © 2007 Elsevier B.V. |
| Divisions: | Centre for Economic Performance Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E30 - General |
| Date Deposited: | 08 May 2008 16:08 |
| Last Modified: | 13 Sep 2024 22:21 |
| URI: | http://eprints.lse.ac.uk/id/eprint/4756 |
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