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Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias

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  • Ruiz-Porras, Antonio

Abstract

In this paper we study the hypothesis of “divergent expectations” with a signaling game. Such hypothesis points out that, in emerging economies, local investors tend to be front-runners in a currency crisis. Our analysis shows that changes in the informational structure available to the investors change their risk management practices. Particularly, if local investors have privileged information, about the likelihood of problems in the economy, they will monopolize the available asset returns and expected utilities. Furthermore the sum of expected utilities of local and foreign investors will be lower than the one achieved without information asymmetries.

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File URL: http://mpra.ub.uni-muenchen.de/1441/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1441.

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Date of creation: 31 Dec 2006
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Publication status: Forthcoming in Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) 1.1(2007): pp. 56-63
Handle: RePEc:pra:mprapa:1441

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Keywords: privileged information. risk management; expected utilities; currency crises; divergent expectations;

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  1. Morris, S & Song Shin, H, 1996. "Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks," Economics Papers 126, Economics Group, Nuffield College, University of Oxford.
  2. Massimo Sbracia & Andrea Zaghini, 2000. "Expectations and information in second generation currency crises models," Temi di discussione (Economic working papers) 391, Bank of Italy, Economic Research and International Relations Area.
  3. Camille Cornand & Frank Heinemann, 2008. "Optimal Degree of Public Information Dissemination," Economic Journal, Royal Economic Society, vol. 118(528), pages 718-742, 04.
  4. Frankel, Jeffrey A. & Schmukler, Sergio L., 1997. "Country Funds and Asymmetric Information," Center for International and Development Economics Research, Working Paper Series qt2791c3wm, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  5. Jeffrey A. Frankel & Sergio L. Schmukler, 1996. "Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors?," NBER Working Papers 5714, National Bureau of Economic Research, Inc.
  6. Chan, Kenneth S. & Chiu, Y. Stephen, 2002. "The role of (non-)transparency in a currency crisis model," European Economic Review, Elsevier, vol. 46(2), pages 397-416, February.
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