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A Model of Contagious Currency Crises with Application to Argentina
Limited preview - 1999
analytical solution Appendix Argentine and Mexican Argentine bonds Argentine economy Argentine exchange rate assets assumed aversion of investors behavior of investors Calvo and Mendoza co-movement collapse equilibrium continuous uniform distribution crisis in Mexico currency board currency board system currency crises debt to GDP deficit degree of risk degree of uncertainty devaluation domestic economy domestic fundamentals domestic shocks economy settles emerging markets exchange rate system financial turmoil fiscal fixed exchange rate floating exchange rate Flood and Marion foreign exchange reserves GDP ratio greater hence herding behavior holdings of Argentine increase indicates solutions interest rate lead Mexican crisis Mexican economies Mexican exchange rate Mexican rate money demand money market multiple equilibria no-collapse parameter values peg in Mexico percent premium on domestic premium required public debt real economic shocks risk aversion risk premium shocks in Argentina solutions that correspond solve speculative attack stochastic process Table trade channels variance and covariance weak credibility