KDI 한국개발연구원 - 경제정책정보 - 발간처별 목록 - 국외 경제사회연구원 - NIESR - When the penny doesn’t drop-Macroeconomic tail risk and currency crises

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When the penny doesn’t drop-Macroeconomic tail risk and currency crises

NIESR 2020.11.19
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We extend the canonical global game model of currency crises to allow for macroeconomic tail risk. The exchange rate peg is attacked if fundamentals reach a critical threshold, or if there is a sufficiently large public shock. Large shocks generate doubt amongst investors about both the state of the world and about what others know, giving rise to multiple equilibria. We find a non-monotonic relationship between tail risk and the probability of (a fundamentals-based) crisis and show how this effect depends on the magnitude and direction of public shocks. Our analysis sheds new light on the way in which international financial contagion played a part in the sterling crisis of 1931.

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