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Expectations Formation and the 1990s ERM Crisis/Formación de expectativas y crisis del S.M.E en la década de los noventa



    () (Imperial College, London and NIESR. South Kensington Campus, London SW7 2AZ. Telf.: (44)(0)207 5949120.)

  • MARCET, A.


The ERM crisis of 1992 appears to be due to a series of negative output shocks followed by devaluation. This stylised fact does not seem to conform to the "second-generation" crisis model based on the REH. We show that by adopting bounded rational learning, the model yields a trade- off between the size and persistence of shocks leading to devaluation, a finding which, makes the model more clearly applicable to these crisis episodes. La crisis del Sistema Monetario Europeo aparentemente fue debida a una serie de «shocks» de oferta negativos seguidos de devaluaciones. Este hecho estilizado no parece congruente con los modelos de crisis de «segunda generación» basados en la hipótesis de expectativas racionales (Racional Expectations Hypothesis, REH). En este artículo, mostramos que adoptando un modelo de aprendizaje racional limitado, se obtiene un compromiso entre el tamaño y la persistencia de los «shocks» que conducen a la devaluación, un resultado que hace que el modelo sea más claramente aplicable a esos episodios de crisis.

Suggested Citation

  • Beeby M, Hall S. & Henry S.G.B & Marcet, A., 2004. "Expectations Formation and the 1990s ERM Crisis/Formación de expectativas y crisis del S.M.E en la década de los noventa," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 161-174, Agosto.
  • Handle: RePEc:lrk:eeaart:22_2_1

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    References listed on IDEAS

    1. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-325, August.
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    More about this item


    currency crises; learning; expectations.;

    JEL classification:

    • D45 - Microeconomics - - Market Structure, Pricing, and Design - - - Rationing; Licensing
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


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