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Defending against speculative attacks
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
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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/10010326005
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Defending against speculative attacks
Daniëls, Tijmen R.; 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/10010272306
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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
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Private and public information in self-fulfilling currency crises
Bannier, Christina E. - 2000
This paper analyzes the implications of currency crises in a model with unique equilibrium. Starting from a typical multiple equilibria model with self-fulfilling expectations we introduce noisy information, following Morris/Shin (1999). Under certain conditions for the noise parameter, all...
Persistent link: https://www.econbiz.de/10010504306
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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
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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/10001235415
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Games in a foreign exchange market and solutions
Habibi, Reza - In: Financial internet quarterly 19 (2023) 3, pp. 75-86
replication portfolio. However, in the current paper, arbitrage opportunities are studied using the game theory perspective. This … opportunities, simultaneously, (II) translating arbitrage detection as game theory concepts, (III) solving the problem using …. There are many approaches developed in the literature for studying risk management say arbitrage detection, say finding …
Persistent link: https://www.econbiz.de/10014496650
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A game-theoretic foundation for the Wilson equilibrium in competitive insurance markets with adverse selection
Mimra, Wanda; Wambach, Achim - 2011
We extend the seminal Rothschild and Stiglitz (1976) model on competitive insurance markets with asymmetric information in the spirit of Wilson (1977)'s 'anticipatory equilibrium' by introducing an additional stage in which initial contracts can be withdrawn after observation of competitors'...
Persistent link: https://www.econbiz.de/10009011830
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Private and public information in self-fulfilling currency crises
Metz, Christina E. - 2000
This paper analyzes the implications of currency crises in a model with unique equilibrium. Starting from a typical multiple equilibria model with self-fulfilling expectations we introduce noisy information, following Morris/Shin (1999). Under certain conditions for the noise parameter, all...
Persistent link: https://www.econbiz.de/10010301769