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Unique Equilibrium in a Currency Crisis Model with Heterogeneous Agents

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  • Gerald Pech

Abstract

This paper extends the currency crisis model of Morris and Shin to the case where players not only hold heterogenous beliefs but also differ in a characteristic feature such as individual transaction costs. It shows that there is a unique aggregate cut off point where the government abandons the peg which is supported by a continuum of individual switching points in the signals. The range of individual intervention levels is wide unless the noise vanishes.

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Bibliographic Info

Paper provided by Centre for Research into Industry, Enterprise, Finance and the Firm in its series CRIEFF Discussion Papers with number 0214.

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Date of creation: Feb 2002
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Handle: RePEc:san:crieff:0214

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Keywords: global games; currency crisis;

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