| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2006 |
| DP2006 Changes in Consumption Behaviour: Italy in the Early 1990s | |
| Guglielmo Weber; Charles Grant; Raffaele Miniaci | |
| 发表日期 | 1998-10-31 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | This paper investigates the theoretical properties of a class of 'second generation' models of currency crises as well as their applicability to empirical work. We show that under some conditions these models give rise to an arbitrarily large number of equilibria, as well as cyclic or chaotic dynamics for the devaluation expectations. We then propose an econometric technique, based on the Markov-switching regimes framework, by which these models can be brought to the data. We illustrate this empirical approach by studying the experience of the French franc between 1987 and 1993, and find that the model performs significantly better when it allows the devaluation expectations to be influenced by sunspots. |
| 主题 | International Macroeconomics |
| 关键词 | Currency crises European monetary system French franc Markov-switching regimes Self-fulfilling speculation Sunspots |
| URL | https://cepr.org/publications/dp2006 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531134 |
| 推荐引用方式 GB/T 7714 | Guglielmo Weber,Charles Grant,Raffaele Miniaci. DP2006 Changes in Consumption Behaviour: Italy in the Early 1990s. 1998. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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