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Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias

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  • Ruiz-Porras, Antonio

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.

Suggested Citation

  • Ruiz-Porras, Antonio, 2006. "Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias," MPRA Paper 1441, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:1441
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    File URL: https://mpra.ub.uni-muenchen.de/1441/1/MPRA_paper_1441.pdf
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    References listed on IDEAS

    as
    1. 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 587-597, June.
    2. Sbracia, Massimo & Zaghini, Andrea, 2001. "Expectations and information in second generation currency crises models," Economic Modelling, Elsevier, vol. 18(2), pages 203-222, April.
    3. Camille Cornand & Frank Heinemann, 2008. "Optimal Degree of Public Information Dissemination," Economic Journal, Royal Economic Society, vol. 118(528), pages 718-742, April.
    4. Frankel, Jeffrey A & Schmukler, Sergio L, 2000. "Country Funds and Asymmetric Information," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(3), pages 177-195, July.
    5. Jeffrey A. Frankel & Sergio L. Schmukler, 1996. "Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors?," NBER Working Papers 5714, National Bureau of Economic Research, Inc.
    6. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    privileged information. risk management; expected utilities; currency crises; divergent expectations;

    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

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