Self-Fulfilling Risk Predictions : An Application to Speculative Attacks /

The paper shows that changing market beliefs about currency risk can generate a self-fulfilling speculative attack on a fixed exchange rate. The attack does not require a later change in policies to make it profitable. This is illustrated by introducing an endogenous risk premium into a 'first-...

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Détails bibliographiques
Auteur principal: Flood, Robert
Autres auteurs: Marion, Nancy
Format: Revue
Langue:English
Publié: Washington, D.C. : International Monetary Fund, 1998.
Collection:IMF Working Papers; Working Paper ; No. 1998/124
Accès en ligne:Full text available on IMF
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245 1 0 |a Self-Fulfilling Risk Predictions :   |b An Application to Speculative Attacks /  |c Robert Flood, Nancy Marion. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 1998. 
300 |a 1 online resource (34 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a The paper shows that changing market beliefs about currency risk can generate a self-fulfilling speculative attack on a fixed exchange rate. The attack does not require a later change in policies to make it profitable. This is illustrated by introducing an endogenous risk premium into a 'first-generation model' of a speculative attack. The model is further modified to take account of sterilization, debt-financed fiscal deficits, and anticipatory price-setting behavior. The model is used to interpret the 1994 Mexican peso crisis. 
538 |a Mode of access: Internet 
700 1 |a Marion, Nancy. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 1998/124 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/1998/124/001.1998.issue-124-en.xml  |z IMF e-Library