首页    期刊浏览 2024年12月05日 星期四
登录注册

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
国家哲学社会科学文献中心版权所有