| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP1315
|
| DP1315 Models of Currency Crises with Self-fulfilling Features |
| Maurice Obstfeld
|
| 发表日期 | 1996-01-31
|
| 出版年 | 1996
|
| 语种 | 英语
|
| 摘要 | After the introduction of a preannounced crawling peg exchange rate regime in Hungary in March 1995, forward and futures rates of more than six months maturity exceeded the upper edge of the projected target zone of the Forint. This paper examines whether this fact reflects an additional devaluation expectation or whether it might be attributed to other factors, e.g. risk aversion or market inefficiency. Though in recent years the average premium on Forint assets was close to zero, past performance of the interest rate differential, as an indication of exchange rate movements, was poor; there is no real cointegrating relationship to be found. By calculating implicit probabilities of additional devaluations for the present situation, the conditions of risk neutrality and rational expectations can be rejected because the implied probabilities seem to be 'too large'. The main conclusion of the paper is that uncovered interest parity does not hold for the present Hungarian foreign exchange market; forward rates falling outside the projected band do not necessarily reflect lack of credibility in exchange rate policy. |
| 关键词 | Credibility
Emerging markets
Peso problem
Risk premia
Target zone
Uncovered interest parity
|
| URL | https://cepr.org/publications/dp1315
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530456
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推荐引用方式
GB/T 7714 |
Maurice Obstfeld. DP1315 Models of Currency Crises with Self-fulfilling Features. 1996.
|
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