The Role of Large Players in Currency Crises
In: Preventing Currency Crises in Emerging Markets
During recent episodes of financial turmoil some policy makers voiced concerns about aggressive, and possibly manipulative, practices by highly leveraged institutions in emerging markets. This paper addresses these concerns by reconsidering in detail, at both theoretical and empirical levels, the role of large players in currency crises. The first part of the study discusses analytical results from different models of speculative attack, suggesting that the presence of agents with market power can increase a country's vulnerability to a crisis and make other investors more aggressive in their position-taking. Both size and reputation for quality of information matter in determining large players' impact on the market. The second part of the study presents evidence on the correlation between exchange rate movements and major market participants' net currency positions, and delves into a comparative analysis of several recent crisis episodes in Thailand, Hong Kong, Malaysia, Australia, and South Africa in light of the previous theoretical results.
(This abstract was borrowed from another version of this item.)
|This chapter was published in: ||This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number
10637.||Handle:|| RePEc:nbr:nberch:10637||Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
References listed on IDEAS
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.:
- Corsetti, G. & Pesenti, P. & Roubini, N., 1998.
"What Caused the Asian Currency and Financial Crisis?,"
343, Banca Italia - Servizio di Studi.
- Corsetti, Giancarlo & Pesenti, Paolo & Roubini, Nouriel, 1999. "What caused the Asian currency and financial crisis?," Japan and the World Economy, Elsevier, vol. 11(3), pages 305-373, October.
- Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 1998. "What Caused the Asian Currency and Financial Crisis?," Temi di discussione (Economic working papers) 343, Bank of Italy, Economic Research and International Relations Area.
- Hans Carlsson & Eric van Damme, 1993.
"Global Games and Equilibrium Selection,"
Levine's Working Paper Archive
122247000000001088, David K. Levine.
- Carlsson, H. & van Damme, E.E.C., 1990. "Global games and equilibrium selection," Discussion Paper 1990-52, Tilburg University, Center for Economic Research.
- Carlsson, H. & Van Damme, E., 1990. "Global Games And Equilibrium Selection," Papers 9052, Tilburg - Center for Economic Research.
- Carlsson, H. & van Damme, E.E.C., 1993. "Global games and equilibrium selection," Other publications TiSEM 49a54f00-dcec-4fc1-9488-4, Tilburg University, School of Economics and Management.
- Lee, Yi-Tsung & Lin, Ji-Chai & Liu, Yu-Jane, 1999. "Trading patterns of big versus small players in an emerging market: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 701-725, May.
- Jarrow, Robert A., 1992. "Market Manipulation, Bubbles, Corners, and Short Squeezes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 311-336, September.
- Stephen Morris & Hyun Song Shin, 2000.
"Global Games: Theory and Applications,"
Cowles Foundation Discussion Papers
1275R, Cowles Foundation for Research in Economics, Yale University, revised Aug 2001.
- Stephen Morris & Hyun S Shin, 2001. "Global Games: Theory and Applications," Levine's Working Paper Archive 122247000000001080, David K. Levine.
- Stephen Morris & Hyun Song Shin, 2000. "Global Games: Theory and Applications," Cowles Foundation Discussion Papers 1275, Cowles Foundation for Research in Economics, Yale University.
- Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
- Roland Benabou & Guy Laroque, 1992.
"Using Privileged Information to Manipulate Markets: Insiders, Gurus, and Credibility,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 107(3), pages 921-958.
- Benabou, R. & Laroque, G., 1989. "Using Privileged Information To Manipulate Markets: Insiders, Gurus, And Credibility," Working papers 513, Massachusetts Institute of Technology (MIT), Department of Economics.
- Benabou, R. & Laroque, G., 1988. "Using Privileged Information To Manipulate Markets: Insiders, Gurus And Credibility," Papers 19, Princeton, Woodrow Wilson School - Discussion Paper.
- Robert Brandon Kahn & Adam Bennett & MarÃa Vicenta Carkovic S. & Susan Schadler, 1993. "Recent Experiences with Surges in Capital Inflows," IMF Occasional Papers 108, International Monetary Fund.
- Morris, Stephen & Shin, Hyun Song, 1998.
"Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks,"
American Economic Review,
American Economic Association, vol. 88(3), pages 587-97, June.
- Morris, S & Song Shin, H, 1996. "Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks," Economics Papers 126, Economics Group, Nuffield College, University of Oxford.
- Morris, Stephen & Shin, Hyun Song, 1997. "Unique Equilibrium in a Model of Self-fulfilling Currency Attacks," CEPR Discussion Papers 1687, C.E.P.R. Discussion Papers.
- Agénor,Pierre-Richard & Miller,Marcus & Vines,David & Weber,Axel (ed.), 1999. "The Asian Financial Crisis," Cambridge Books, Cambridge University Press, number 9780521770804, 1.
- Kumar, P. & Seppi, D.J., 1990. "Future Manipulation With "Cash Settlement"," GSIA Working Papers 90-32, Carnegie Mellon University, Tepper School of Business.
- Vila, Jean-Luc, 1989. "Simple games of market manipulation," Economics Letters, Elsevier, vol. 29(1), pages 21-26.
- Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
- Barry Eichengreen, 2000.
"The EMS Crisis in Retrospect,"
NBER Working Papers
8035, National Bureau of Economic Research, Inc.
- Barry J. Eichengreen & Donald J. Mathieson, 1999. "Hedge Funds: What Do We Really Know?," IMF Economic Issues 19, International Monetary Fund.
- Buiter, Willem H. & Corsetti, Giancarlo & Pesenti, Paolo, 1996.
"Interpreting the ERM Crisis: Country-Specific and Systemic Issues,"
CEPR Discussion Papers
1466, C.E.P.R. Discussion Papers.
- Buiter, W.H. & Corsetti, G.M. & Pesenti, P.A., 1998. "Interpreting the ERM Crisis: Country-Specific and Systemic Issues," Princeton Studies in International Economics 84, International Economics Section, Departement of Economics Princeton University,.
- Willem H. Buiter & Giancarlo M. Corsetti & Paolo A. Pesenti, 1997. "Interpreting the ERM crisis: country-specific and systemic issues," LSE Research Online Documents on Economics 20361, London School of Economics and Political Science, LSE Library.
- W.H. Buiter & G Corsetti & P Pesenti, 1997. "Interpreting the ERM Crisis: Country-Specific and Systemic Issues," CEP Discussion Papers dp0321, Centre for Economic Performance, LSE.
- Bagnoli, M. & Lipman, B., 1989.
"Stock Price Manipulation Through Takeover Bids,"
90-09, Michigan - Center for Research on Economic & Social Theory.
- Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
- Fung, William & Hsieh, David A., 1999. "A primer on hedge funds," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 309-331, September.
- Wei, S.J. & Kim, J., 1999.
"The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?,"
5, Chicago - Graduate School of Business.
- Shang-Jin Wei & Jungshik Kim, 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," CID Working Papers 5, Center for International Development at Harvard University.
- Shang-Jin Wei & Jungshik Kim, 1997. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," NBER Working Papers 6256, National Bureau of Economic Research, Inc.
- Sujit Chakravorti & Subir Lall, 2000. "The double play: simultaneous speculative attacks on currency and equity markets," Working Paper Series WP-00-17, Federal Reserve Bank of Chicago.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Allen, Franklin & Gorton, Gary, 1992.
"Stock price manipulation, market microstructure and asymmetric information,"
European Economic Review,
Elsevier, vol. 36(2-3), pages 624-630, April.
- Franklin Allen & Gary Gorton, 1991. "Stock Price Manipulation, Market Microstructure and Asymmetric Information," NBER Working Papers 3862, National Bureau of Economic Research, Inc.
- Allen, F. & Gorton, G., 1991. "Stock Price Manipulation, Market Microstructure and Asymetric Information," Weiss Center Working Papers 21-91, Wharton School - Weiss Center for International Financial Research.
- Barry Eichengreen & Charles Wyplosz, 1993. "The Unstable EMS," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 51-144.
- Allen, Franklin & Gale, Douglas, 1992. "Stock-Price Manipulation," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 503-29.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberch:10637. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.