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Ataques Especulativos: Un Enfoque de Incertidumbre e Información

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  • Leonidas E. de la Rosa

Abstract

Durante la década pasada hemos presenciado una proliferación de crisis cambiarias, tanto en Asia como en Europa y Latinoamérica, acompañada de abundante literatura acerca del tema. Es aceptado que, cuando las políticas monetaria y fiscal no son congruentes entre sí, habrá una crisis de balanza de pagos. La literatura reciente ha avanzado en varias direcciones para explicar los mecanismos de propagación de una crisis, que aplican aún cuando la política del gobierno es sostenible. No obstante, este tipo de modelos explica escasamente la iniciación de un ataque. El objetivo de este artículo es dar una explicación tentativa a esa iniciación. Se presenta un modelo donde la obtención de información es crucial para el inversionista y ésta se deteriora con el tiempo; en este marco, el ataque especulativo es un comportamiento óptimo para un inversionista que tenga la capacidad de llevarlo a cabo. Del modelo puede concluirse, entre otras cosas, que existe una relación inversa entre la frecuencia y la profundidad de los ataques. Además, el tamaño del agente relativo a la economía y la fuerza del efecto manada afectan de manera importante los costos del ataque y, de esta forma, afectan también la vulnerabilidad de cada economía a sufrir ataques especulativos.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 130.

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Handle: RePEc:bdr:borrec:130

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  1. Robert P. Flood & Peter M. Garber & Charles Kramer, 1995. "Collapsing Exchange Rate Regimes: Another Linear Example," NBER Working Papers 5318, National Bureau of Economic Research, Inc.
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  8. Robert P. Flood & Nancy P. Marion, 1998. "Self-Fulfilling Risk Predictions," IMF Working Papers 98/124, International Monetary Fund.
  9. Bensaid, Bernard & Jeanne, Olivier, 1997. "The instability of fixed exchange rate systems when raising the nominal interest rate is costly," European Economic Review, Elsevier, vol. 41(8), pages 1461-1478, August.
  10. Obstfeld, Maurice, 1996. "Models of Currency Crises with Self-fulfilling Features," CEPR Discussion Papers 1315, C.E.P.R. Discussion Papers.
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  12. Maurice Obstfeld, 1994. "The Logic of Currency Crises," NBER Working Papers 4640, National Bureau of Economic Research, Inc.
  13. Flood, Robert P. & Marion, Nancy P., 2000. "Self-fulfilling risk predictions:: an application to speculative attacks," Journal of International Economics, Elsevier, vol. 50(1), pages 245-268, February.
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