文章基本信息

标题：Vulnerability of Currency Pegs: Evidence from Brazil
本地全文：下载
作者：Bernardo Guimaraes
期刊名称：CEP Discussion Paper
出版年度：2008
卷号：2008
期号：may
出版社：Centre for Economic Performance
摘要：This paper analyses predictions of a simple model of currency crises in which the peg will be abandoned when the currency overvaluation hits a certain threshold, unknown to the agents. Due to learning about the threshold, some features usually observed in the data and identified with models with multiple equilibria arise in the model. But the model yields distinctive predictions about the behaviour of the probability and the expected magnitude of a currency devaluation. The paper identifies the probability and expected magnitude of a devaluation of Brazilian Real in the period leading up to the end of the Brazilian pegged exchange rate regime, using data on exchange rate options. The empirical results are consistent with model predictions.
关键词：Currency crises, exchange rate, options, probability of devaluation, devaluation size