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Danie͏̈ls, Tijmen; Jager, Henk; Klaassen, Franc - 2009

While virtually all currency crisismodels recognise that the fate of a currency peg depends on how tenaciously policy makers defend it, they seldom model how this is done. We incorporate themechanics of speculation and the interest rate defence against it in the model ofMorris and Shin (American...

Persistent link: https://www.econbiz.de/10003814475

Defending against Speculative Attacks

Daniëls, Tijmen R.; Jager, Henk; Klaassen, Franc - 2008

While virtually all modern currency crisis models recognise that the decision to abandon an exchange rate peg depends on how tenaciously policy makers are willing to defend it, they seldom model how this is done. We incorporate both the mechanics of speculation and of a defence policy against...

Persistent link: https://www.econbiz.de/10014214355

Defending against speculative attacks

Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc - 2008

While virtually all modern models of exchange rate crises recognise that the decision to abandon an exchange rate peg depends on how harshly policy makers are willing to defend the regime, they virtually never model how the exchange rate is defended. In this paper we incorporate both the...

Persistent link: https://www.econbiz.de/10011377093

Exchange rates and monetary spillovers

Plantin, Guillaume; Shin, Hyun Song - In: Theoretical economics : TE ; an open access journal in … 13 (2018) 2, pp. 637-666

When do flexible exchange rates prevent monetary and financial conditions from spilling over across currencies? We examine a model in which international investors strategically supply capital to a small inflation-targeting economy with flexible exchange rates. For some combination of...

Persistent link: https://www.econbiz.de/10011856706

Games in a foreign exchange market and solutions

Habibi, Reza - In: Financial internet quarterly 19 (2023) 3, pp. 75-86

. There are many approaches developed in the literature for studying risk management say arbitrage detection, say finding … replication portfolio. However, in the current paper, arbitrage opportunities are studied using the game theory perspective. This … rates. Proposed games are exchange rate games in two cases of no arbitrage and existence of arbitrage, optimal stopping game …

Persistent link: https://www.econbiz.de/10014496650

A strategic market game of carry trades and equilibrium profits

Papadopoulos, Konstantinos G.; Koutsougeras, Leonidas C. - In: The Manchester School 79 (2011) 3, pp. 528-541

Persistent link: https://www.econbiz.de/10009266796

Coherence and credibility of convertibility announcements

Arce M., Daniel G. - In: Journal of international money and finance 16 (1997) 5, pp. 719-735

Persistent link: https://www.econbiz.de/10015156340

Pricing and hedging game options in currency models with proportional transaction costs

Roux, Alet - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-25

Persistent link: https://www.econbiz.de/10011568851

Solution Uniqueness in a Class of Currency Crisis Games

Bauer, Christian - 2007

A common feature of many speculative attack models on currencies is the existence of multiple equilibrium solutions. When choosing the equilibrium strategy a trader faces Knightian uncertainty about the rational choice of the other traders. We show that the concept of Choquet expected utility...

Persistent link: https://www.econbiz.de/10012776422

The LoP game : BigMac versus Fortnite

Pierdzioch, Christian; Schöber, Timo; Stadtmann, Georg - 2020

We analyze the law of one price (LoP) based on BigMac and Fortnite prices. We find a positive but less than a perfect correlation between the over-/undervaluations of the two indices. While LoP holds for the Fortnite data, it does not hold for the BigMac data.

Persistent link: https://www.econbiz.de/10012154061

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