Dynamics of currency crises with asset market frictions

2006 ◽  
Vol 68 (1) ◽  
pp. 141-158 ◽  
Author(s):  
Bernardo Guimarães
Keyword(s):  
Currency Crises ◽  
Asset Market ◽  
Market Frictions

scholarly journals Self-Fulfilling Currency Crises: The Role of Interest Rates

2006 ◽  
Vol 96 (5) ◽  
pp. 1769-1787 ◽  
Author(s):  
Christian Hellwig ◽  
Arijit Mukherji ◽  
Aleh Tsyvinski
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Rational Expectations ◽  
Currency Crises ◽  
Multiple Equilibria ◽  
Asset Market ◽  
Equilibrium Uniqueness ◽  
Private Signals ◽  
Special Cases

We develop a model of currency crises, in which traders are heterogeneously informed, and interest rates are endogenously determined in a noisy rational expectations equilibrium. In our model, multiple equilibria result from distinct roles an interest rate plays in determining domestic asset market allocations and the devaluation outcome. Except for special cases, this finding is not affected by the introduction of noisy private signals. We conclude that the global games results on equilibrium uniqueness do not apply to market-based models of currency crises.

Trade Costs, Asset Market Frictions, and Risk Sharing

2012 ◽  
Vol 102 (6) ◽  
pp. 2700-2733 ◽  
Author(s):  
Doireann Fitzgerald
Keyword(s):  
Risk Sharing ◽  
Developed Countries ◽  
Trade Costs ◽  
Asset Markets ◽  
Asset Market ◽  
Market Frictions ◽  
Optimal Consumption ◽  
Consumption Risk ◽  
International Asset Markets ◽  
Optimal Risk Sharing

I use bilateral import data to test for and quantify the importance of trade costs and asset market frictions in explaining the failure of perfect international consumption risk sharing. I find that while frictions in international asset markets significantly impede optimal consumption risk sharing between developed and developing countries over the period 1970–2000, developed countries are close to optimal risk sharing with each other. Trade costs, in contrast, significantly impede risk sharing for all countries. (JEL E21, E44, F14, F41, G15)

A study on the influence of financial crisis on the domestic asset market

2013 ◽  
Vol 27 (3) ◽  
pp. 335-353
Author(s):  
Kang, Won-Chul ◽  
kim, won-hee
Keyword(s):  
Financial Crisis ◽  
Asset Market
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