Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias
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.Download Info
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1441.Length:
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
Handle: RePEc:pra:mprapa:1441
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Related research
Keywords: 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)
References
References listed on IDEASPlease 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.:
- Massimo Sbracia & Andrea Zaghini, 2000.
"Expectations and Information in Second Generation Currency Crises Models,"
Econometric Society World Congress 2000 Contributed Papers
0462, Econometric Society.
- Sbracia, Massimo & Zaghini, Andrea, 2001. "Expectations and information in second generation currency crises models," Economic Modelling, Elsevier, vol. 18(2), pages 203-222, April.
- 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.
- Sbracia, M. & Zaghini, A., 2000. "Expectations and Information in Second Generation Currency Crises Models," Papers 391, Banca Italia - Servizio di Studi.
- Cornand, Camille & Heinemann, Frank, 2006.
"Optimal Degree of Public Information Dissemination,"
Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems
158, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Camille Cornand & Frank Heinemann, 2008. "Optimal Degree of Public Information Dissemination," Economic Journal, Royal Economic Society, vol. 118(528), pages 718-742, 04.
- Camille Cornand & Frank Heinemann, 2004. "Optimal Degree of Public Information Dissemination," CESifo Working Paper Series 1353, CESifo Group Munich.
- 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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