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Currency Bubbles Which Affect Fundamentals: A Qualitative Treatment

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Author Info
Miller, Marcus H
Weller, Paul

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Abstract

The authors analyze the effect of rational bubbles in the foreign exchange market, taking account of the interdependence between bubble paths and economic fundamentals. The risk of the bubble ending, modeled as a Poisson process, adds an insurance premium to the interest differential governing currency arbitrage. Qualitative solutions are obtained for the exchange rate when fundamentals evolve deterministically and also when "white noise" errors are introduced. Copyright 1990 by Royal Economic Society.

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Publisher Info
Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 100 (1990)
Issue (Month): 400 (Supplement,)
Pages: 170-79
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Handle: RePEc:ecj:econjl:v:100:y:1990:i:400:p:170-79

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  1. Marcus Miller & Paul Weller & Lei Zhang, 2000. "Moral Hazard and the US Stock Market: Has Mr. Greenspan Created a Bubble?," Econometric Society World Congress 2000 Contributed Papers 1902, Econometric Society. [Downloadable!]
  2. Bernd Kempa & Michael Nelles, 1999. "Sticky Prices And Alternative Monetary Feedback Rules: How Robust Is The Overshooting Phenomenon?," International Economic Journal, Korean International Economic Association, vol. 13(3), pages 1-18, October. [Downloadable!] (restricted)
  3. Alessandra Pelloni, 1993. "Long-run consequences of finite exchange rate bubbles," Open Economies Review, Springer, vol. 4(1), pages 5-26, March. [Downloadable!] (restricted)
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