Are currency crises low-state equilibria? An empirical, three-interest-rate model

被引：0

作者：

Cornell, Christopher M.

Solomon, Raphael H.

机构：

[1] Vassar Coll, Dept Econ, Poughkeepsie, NY 12604 USA

[2] Bank Canada, Res Dept, Ottawa, ON, Canada

来源：

JOURNAL OF POLICY MODELING | 2007年 / 29卷 / 03期

关键词：

recession; currency crisis; multiple equilibria;

D O I：

10.1016/j.jpolmod.2007.01.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Suppose that the dynamics of the macroeconomy were given by (partly) random fluctuations between two equilibria: "good" and "bad." One would interpret currency crises (or recessions) as a shift from the good equilibrium to the bad. In this paper, the authors specify a dynamic investment-savings-aggregate-supply (IS-AS) model, determine its closed-form solution, and examine numerically its comparative statics. The authors estimate the model via maximum likelihood, using data for Argentina, Canada, and Turkey. Since the data show no support for the multiple-equilibrium explanation of fluctuations, the authors cast doubt on the third-generation models of currency crisis. (C) 2007 Society for Policy Modeling. Published by Elsevier Inc. All rights reserved.

引用

页码：489 / 504

页数：16

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