ARE CURRENCY CRISES SELF-FULFILLING - A TEST

Authors
JEANNE O
Citation
O. Jeanne, ARE CURRENCY CRISES SELF-FULFILLING - A TEST, Journal of international economics, 43(3-4), 1997, pp. 263-286
Citations number
41
Journal title
Journal of international economics → ACNP
ISSN journal
00221996
Volume
43
Issue
3-4
Year of publication
1997
Pages
263 - 286
Database
ISI
SICI code
0022-1996(1997)43:3-4<263:ACCS-A>2.0.ZU;2-0
Abstract
This paper studies the respective roles of the fundamentals and self-f ulfilling speculation in currency crises. We first present a model of a fixed exchange rate system in which self-fulfilling speculation can arise following a bifurcation in the fundamentals. We then estimate th e model in the case of the 1992-3 crisis of the French franc, and find some evidence that self-fulfilling speculation was at work.