Title of article
Uncertaintyandcurrencycrises:Evidencefromsurveydata
Author/Authors
Alessandro Prati، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
14
From page
668
To page
681
Abstract
How doesuncertaintyaboutfundamentalsaffectspeculationintheforeignexchange
markets?Thispaperstudiesempiricallytheroleofuncertaintyincurrencycrises.
Uncertainty,whichismeasuredusingthedispersionofsurveyforecastsofkey
macroeconomicvariables,isfoundtohavea non-monotonic effectonexchangerate
pressures:itheightensspeculativepressureswhenexpectedfundamentalsaregood
and easesthemwhentheyarebad.Thispredictionisconsistentwithabroadclassof
currencycrisistheories,rangingfromfirst-generationtoglobal-gamemodels.The
proposedempiricalstrategyremainsvalidinthepresenceofforecasterswithstrategic
objectivesandaddressespotentialendogeneitybiasbybuildinganovelsetof
instrumentalvariables.
Keywords
First-generation modelsGlobal gamesInformationSpeculation
Journal title
Journal of Monetary Economics
Serial Year
2010
Journal title
Journal of Monetary Economics
Record number
846421
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