Record number :
Title of article :
Risk and wealth in a model of self-fulfilling currency attacks
Author/Authors :
Bernardo Guimaraes، نويسنده , , Stephen Morris، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Pages :
From page :
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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.
Keywords :
Risk aversion , Portfolio , Currency crises , Global games , Wealth
Journal title :
Journal monetary economics
Serial Year :
Link To Document :