Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias
AbstractIn 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1441.
Date of creation: 31 Dec 2006
Date of revision:
Publication status: Forthcoming in Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) 1.1(2007): pp. 56-63
privileged information. risk management; expected utilities; currency crises; divergent expectations;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-23 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Optimal Degree of Public Information Dissemination,"
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- 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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