| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6465 |
| DP6465 Aid and Trade | |
| Thierry Verdier; Akiko Suwa-Eisenmann | |
| 发表日期 | 2007-09-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | If currency crises are triggered when the currency overvaluation hits a threshold, the expected magnitude of a devaluation, conditional on its occurrence, is substantially different from the unconditional expected currency overvaluation. That is not true if currency crises are triggered by sunspots. Therefore, implications for the behaviour of the probability and the expected magnitude of a devaluation depend on what triggers currency crises. Those two variables are not observable but can be estimated using data on exchange rate options. This 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 and contrasts the estimates to the predictions from a simple model of currency crises under different assumptions about the trigger. The empirical findings favour thresholds and learning over sunspots. |
| 主题 | International Macroeconomics |
| 关键词 | Currency crises exchange rate Options Sunspots |
| URL | https://cepr.org/publications/dp6465 |
| 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/535324 |
| 推荐引用方式 GB/T 7714 | Thierry Verdier,Akiko Suwa-Eisenmann. DP6465 Aid and Trade. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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