Title of article :
Risk and wealth in a model of self-fulfilling
Bernardo Guimaraes، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
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.
r 2007 Elsevier B.V. All rights reserved.
Portfolio , Risk aversion , Wealth , Global games , Currency crises
Journal title :
Journal of Monetary Economics