理性政府下的货币危机及其传染分析报告.doc
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理性政府下的货币危机及其传染分析报告,本文共10页 7500字左右[摘要] 本文在理性政府的假设下，讨论了货币危机均衡的多重性与唯一性以及货币危机的传染。在货币投机攻击成本和收益固定的模型中，经济基本面处于危机区时，基本面的不确定性，并不能消除多重均衡。当货币投机攻击的成本和收益都与经济基本面相关时，不管是静态模型还是动...
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理性政府下的货币危机及其传染分析报告
本文共10页 7500字左右
[摘 要] 本文在理性政府的假设下，讨论了货币危机均衡的多重性与唯一性以及货币危机的传染。在货币投机攻击成本和收益固定的模型中，经济基本面处于危机区时，基本面的不确定性，并不能消除多重均衡。当货币投机攻击的成本和收益都与经济基本面相关时，不管是静态模型还是动态模型，货币危机的均衡都是唯一的。当其他国家的货币贬值时，本国维持固定汇率的收益和放弃固定汇率时的信誉损失下降，使本国政府倾向于放弃固定汇率。
[关键词] 货币危机、投机攻击、经济基本面、最优停止、传染
[Abstract] Under the assumption of rational government, the paper discusses the multiplicity and uniqueness of currency crises equilibrium and the contagion of currency crises. In the model with fixed cost and payoff of speculative attack, when the fundamental is in crisis zone, the uncertainty of fundamental cannot eliminate multiple equilibria. However, when the cost and payoff of speculative attack are relevant to the fundamental, the static model together with the dynamic model shows that the equilibrium of currency crises is unique. As the devaluation of other currency makes both domestic benefit of fixed exchange rate and reputation loss of devaluation decline, domestic government is inclined to abandon the fixed regime.
[Keywords] Currency crises, Speculative Attack, Economic Fundamental, Optimal Stopping, Contagion
目录
一、 引言
二、固定投机攻击成本模型
三、可变投机攻击成本下的静态模型
四、可变投机攻击成本下的动态模型
五、危机的传染
六、结束语
参考文献
[1] Bertsekas, Dimitri P. (1987), Dynamic Programming: Deterministic and Stochastic Models, Prentice-Hall, NewJersey
[2] Cooper, Russell and Andrew John (1988), “Coordinating Coordination Failures in Keynesian Models”, Quarterly Journal of Economics, Vol. 103, pp. 441-63
[3] Drazen, Alan (1999), “Political Contagion in Currency Crises”, NBER Working Paper, No. W7211
[4] ---- and Paul R. Masson (1994), “Credibility of Policies versus Credibility of Policymakers,” Quarterly Journal of Economics, Vol. 109, pp. 735-54.
[5] Eichengreen, Barry and Charles Whplosz (1993), “The Unstable EMS,” Brooking Papers on Economic Activity 1, pp. 51-143
本文共10页 7500字左右
[摘 要] 本文在理性政府的假设下，讨论了货币危机均衡的多重性与唯一性以及货币危机的传染。在货币投机攻击成本和收益固定的模型中，经济基本面处于危机区时，基本面的不确定性，并不能消除多重均衡。当货币投机攻击的成本和收益都与经济基本面相关时，不管是静态模型还是动态模型，货币危机的均衡都是唯一的。当其他国家的货币贬值时，本国维持固定汇率的收益和放弃固定汇率时的信誉损失下降，使本国政府倾向于放弃固定汇率。
[关键词] 货币危机、投机攻击、经济基本面、最优停止、传染
[Abstract] Under the assumption of rational government, the paper discusses the multiplicity and uniqueness of currency crises equilibrium and the contagion of currency crises. In the model with fixed cost and payoff of speculative attack, when the fundamental is in crisis zone, the uncertainty of fundamental cannot eliminate multiple equilibria. However, when the cost and payoff of speculative attack are relevant to the fundamental, the static model together with the dynamic model shows that the equilibrium of currency crises is unique. As the devaluation of other currency makes both domestic benefit of fixed exchange rate and reputation loss of devaluation decline, domestic government is inclined to abandon the fixed regime.
[Keywords] Currency crises, Speculative Attack, Economic Fundamental, Optimal Stopping, Contagion
目录
一、 引言
二、固定投机攻击成本模型
三、可变投机攻击成本下的静态模型
四、可变投机攻击成本下的动态模型
五、危机的传染
六、结束语
参考文献
[1] Bertsekas, Dimitri P. (1987), Dynamic Programming: Deterministic and Stochastic Models, Prentice-Hall, NewJersey
[2] Cooper, Russell and Andrew John (1988), “Coordinating Coordination Failures in Keynesian Models”, Quarterly Journal of Economics, Vol. 103, pp. 441-63
[3] Drazen, Alan (1999), “Political Contagion in Currency Crises”, NBER Working Paper, No. W7211
[4] ---- and Paul R. Masson (1994), “Credibility of Policies versus Credibility of Policymakers,” Quarterly Journal of Economics, Vol. 109, pp. 735-54.
[5] Eichengreen, Barry and Charles Whplosz (1993), “The Unstable EMS,” Brooking Papers on Economic Activity 1, pp. 51-143
