Macroeconomic Regime Switches and Speculative Attacks
Опубликовано на портале: 16-12-2007
Journal of Economic Dynamics and Control.
2007.
Vol. 31.
No. 10.
P. 3321-3347.
Тематические разделы:
This paper explains a currency crisis as an outcome of a switch in how monetary policy
and fiscal policy are coordinated. The paper develops a model of an open economy
in which monetary policy starts active, fiscal policy starts passive and, in a particular
state of nature, monetary policy switches to passive and fiscal policy switches to
active. The probability of the regime switch is endogenous and changes over time
together with the state of the economy. The regime switch is preceded by a sharp
increase in interest rates and causes a jump in the exchange rate. The model predicts
that currency composition of public debt affects dynamics of macroeconomic variables.
Furthermore, the model is consistent with evidence from recent currency crises, in
particular small seigniorage revenues.
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Ключевые слова
currency crisis fiscal theory of the price level monetary and fiscal policy policy regime switch speculative attack
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NBER Working Papers.
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