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Risk and wealth in a model of self-fulfilling currency attacks

Guimaraes, Bernardo and Morris, Stephen (2004) Risk and wealth in a model of self-fulfilling currency attacks. ysm424. School of Management, Yale University, New Haven, USA. (Unpublished)

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Identification Number: ysm424

Abstract

Market participants' risk attitudes, wealth and portfolio composition in°uence their positions in a pegged foreign currency and, therefore, may have important e®ects on the sustainability of currency pegs. We analyze such e®ects 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 the onset and timing of currency crises. 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: Monograph (Working Paper)
Additional Information: © 2004 Bernado Guimaraes and Stephen Morris
Subjects: H Social Sciences > HB Economic Theory
JEL classification: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty
F - International Economics > F3 - International Finance
Sets: Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
Departments > Economics
Date Deposited: 06 Feb 2009 11:08
Last Modified: 01 Oct 2010 08:53
URI: http://eprints.lse.ac.uk/id/eprint/4796

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