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Was the French Franc Crisis a Sunspot Equilibrium?

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Author Info
Olivier Jeanne and Paul Masson.

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Abstract

This paper examines the extent to which speculation against the French franc in 1992-93 was motivated by the fundamentals or resulted from a sunspot phenomenon. We develop a model of currency crises which encompasses both hypotheses about the origin of speculation. The estimation shows that the model with sunspots not only better tracks the episodes of speculation, but also gives a better account of the relationship between the fundamentals and the devaluation expectations.

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Publisher Info
Paper provided by University of California at Berkeley in its series Center for International and Development Economics Research (CIDER) Working Papers with number C97-095.

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Date of creation: 01 Oct 1997
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Handle: RePEc:ucb:calbcd:c97-095

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  1. Jesper Rangvid, 1997. "Deviations from long-run equilibria and probabilities of devaluations: An empirical analysis of Danish realignments," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(3), pages 497-522, September. [Downloadable!] (restricted)
  2. Axel A. Weber, 1998. "Sources of currency crises: an empirical analysis," Working Papers 25, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  3. Roger Craine, 2001. "Dollarization: An Irreversible Decision," Department of Economics, Working Paper Series 1014, Department of Economics, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
  4. Roger Craine, 2001. "Dollarization: An Irreversible Decision," International Finance 0103003, EconWPA. [Downloadable!]
  5. Weber, Axel A., 1997. "Sources of Currency Crisis: An Empirical Analysis," Discussion Paper Serie B 418, University of Bonn, Germany. [Downloadable!]
  6. Roger Craine, 1999. "Exchange Rate Regime Credibility, the Agency Cost of Capital and Devaluation," International Finance 9902002, EconWPA. [Downloadable!]
  7. Barry Eichengreen & Olivier Jeanne, 1998. "Currency Crisis and Unemployment: Sterling in 1931," NBER Working Papers 6563, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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