Detail Speculative attacks, currency crises, and contagion: A theoretical investigation Bibliografi Author: Rogoff, Kenneth (Advisor); Disyatat, Piti Topik: ECONOMICS; GENERAL|BUSINESS ADMINISTRATION; BANKING Bahasa: (EN )    ISBN: 0-599-34404-0     Penerbit: PRINCETON UNIVERSITY     Tahun Terbit: 1999     Jenis: Theses - Dissertation Fulltext: 9933636.pdf (0.0B; 0 download) Abstract The dissertation focuses on theoretical issues concerning the modelling of speculative attacks, currency crises, and contagion. The first part of the study addresses the important question of how far a government is willing to run down reserves in a defense of a fixed exchange rate. An optimizing model of currency crisis is presented in which the decision of whether or not to borrow in a defense of a peg can be explicitly analyzed. The threshold level of reserves is then determined endogenously and shown to be a function of fundamental economic variables. The analysis also highlights the conditions under which multiple equilibria may or may not exist. In particular, the multiplicity of equilibria can be removed and the viability of the peg enhanced through an increase in the level of reserves, a credit-rating upgrade, or the imposition of capital controls. The second chapter presents a formal model to explain the mechanics of currency contagion. By focussing on how a currency crisis affects the information structure of speculators, the analysis is able to rationalize contagion as the result of market uncertainty concerning agents' beliefs. If a crisis in one country makes investors in other countries sceptical about the confidence level of other participants in that market, then they too will attack and bring about a currency crisis. The key factor in determining whether or not a country will fall victim to such a crisis is investors' perceptions. These perceptions, in turn, are influenced by how similar the country is to other economies that have recently come under attack. The final chapter highlights the fact that differences in the quality of banks can explain why developing countries tend to suffer more severe economic contractions in the aftermath of a currency crisis than developed countries. In particular, it shows that countries with a 'prudent' banking sector, in terms of having high net worth and low foreign currency exposure, are much less likely to suffer a contraction in the wake of an unexpected depreciation. The analysis is also extended to rationalize how small changes in fundamentals can bring about a market crash. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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