Unique Equilibrium in a Currency Crisis Model with Heterogeneous Agents

This paper extends the currency crisis model of Morris and Shin to the case where players not only hold heterogenous beliefs but also differ in a characteristic feature such as individual transaction costs. It shows that there is a unique aggregate cut off point where the government abandons the peg which is supported by a continuum of individual switching points in the signals. The range of individual intervention levels is wide unless the noise vanishes.

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Year of publication:	2002-02
Authors:	Pech, Gerald
Institutions:	Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews
Subject:	global games \| currency crisis

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Extent:	application/pdf
Series:	CRIEFF Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 0214
Classification:	D82 - Asymmetric and Private Information ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005807939