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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
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/10010326005
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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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Strategic complementarity, fragility, and regulation
Vives, Xavier - In: The review of financial studies 27 (2014) 12, pp. 3547-3592
Persistent link: https://www.econbiz.de/10010530804
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Strategic complementarity, fragility, and regulation
Vives, Xavier - 2011 - Rev. May 2011
liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …
Persistent link: https://www.econbiz.de/10009230899
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Strategic complementary, fragility, and regulation
Vives, Xavier - 2011
Persistent link: https://www.econbiz.de/10009243019
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Illiquidity and derivative valuation
Horst, Ulrich; Naujokat, Felix - 2010
In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...
Persistent link: https://www.econbiz.de/10003952859
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Strategic complementarity, fragility, and regulation
Vives, Xavier - 2011
Persistent link: https://www.econbiz.de/10009238485
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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