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