期刊名称：Economics Discussion Papers / Department of Economics, College of Management and Economics, University of Guelph
出版年度：2010
卷号：2010
期号：01
出版社：University of Guelph
摘要：Abreu and Brunnermeier (2003) study stock market bubbles and crashes in a dy-
namic model with a continuum of rational small traders. We introduce a large trader
into their model and apply it to currency attacks. In an attack against a fixed exchange
rate regime with a gradually overvaluing currency, traders lack common knowledge
about the time when the overvaluation starts. Meanwhile, they need to coordinate
to break a peg. In such a setup, both the inability of traders to synchronize their
attack and their incentive to time the collapse of the regime lead to the persistent
overvaluation of the currency. We find that the presence of a large trader with perfect
information will accelerate the collapse of the regime and alleviate currency overvalu-
ation. However, if a large trader has incomplete information, the presence of a large
trader may accelerate or delay the collapse of the regime ex post, depending on the
size of his wealth and the precision of his information. More specifically, we find that a
large trader with both a large amount of wealth and very noisy information can greatly
delay the collapse of the regime ex post. Moreover, we find that the presence of a large
trader with incomplete information can greatly increase the unpredictability about the
time when the regime collapses, implying the difficulty for traders to time the collapse.
关键词：Large Trader, Bubbles and Crashes, Currency Attack
Loading...
