Giovanni Piersanti
- Published in print:
- 2012
- Published Online:
- September 2012
- ISBN:
- 9780199653126
- eISBN:
- 9780191741210
- Item type:
- book
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199653126.001.0001
- Subject:
- Economics and Finance, Macro- and Monetary Economics
This book deals with the genesis and dynamics of exchange rate crises in fixed or managed exchange rate systems. It provides a comprehensive treatment of the existing theories of exchange rate crises ...
More
This book deals with the genesis and dynamics of exchange rate crises in fixed or managed exchange rate systems. It provides a comprehensive treatment of the existing theories of exchange rate crises and of financial market runs. The book aims to provide a survey of both the theoretical literature on international financial crises and a systematic treatment of the analytical models. It analyzes a series of macroeconomic models and demonstrates their properties and conclusions, including comparative statics and dynamic behavior. The models cover the range of phenomena exhibited in modern crises experienced in countries with fixed or managed exchange rate systems. Among the topics covered, beyond currency sustainability, are bank runs, the interaction between bank solvency and currency stability, capital flows and borrowing constraints, uncertainty about government policies, asymmetric information and herding behavior, contagion across markets and countries, financial markets runs and asset price bubbles, strategic interaction among agents and equilibrium selection, the dynamics of speculative attacks and of financial crashes in international capital markets.Less
This book deals with the genesis and dynamics of exchange rate crises in fixed or managed exchange rate systems. It provides a comprehensive treatment of the existing theories of exchange rate crises and of financial market runs. The book aims to provide a survey of both the theoretical literature on international financial crises and a systematic treatment of the analytical models. It analyzes a series of macroeconomic models and demonstrates their properties and conclusions, including comparative statics and dynamic behavior. The models cover the range of phenomena exhibited in modern crises experienced in countries with fixed or managed exchange rate systems. Among the topics covered, beyond currency sustainability, are bank runs, the interaction between bank solvency and currency stability, capital flows and borrowing constraints, uncertainty about government policies, asymmetric information and herding behavior, contagion across markets and countries, financial markets runs and asset price bubbles, strategic interaction among agents and equilibrium selection, the dynamics of speculative attacks and of financial crashes in international capital markets.
Hal S. Scott
- Published in print:
- 2016
- Published Online:
- January 2017
- ISBN:
- 9780262034371
- eISBN:
- 9780262332156
- Item type:
- chapter
- Publisher:
- The MIT Press
- DOI:
- 10.7551/mitpress/9780262034371.003.0002
- Subject:
- Economics and Finance, Economic History
This chapter discusses the second of the three components of systemic risk: contagion. Contagion involves run behavior, whereby fears of widespread financial collapse lead to the withdrawal of ...
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This chapter discusses the second of the three components of systemic risk: contagion. Contagion involves run behavior, whereby fears of widespread financial collapse lead to the withdrawal of funding from banks and other financial institutions. Financial institutions are vulnerable to contagion due to their dependence on short-term borrowing to fund long-term investment activity. When short-term debt investors suddenly refuse to extend funding, institutions relying on such funding engage in fire sales of assets and ultimately fail. The chapter covers the history of contagion in the US financial system; run behavior by short-term creditors which leads to financial panic; information economics as an explanation for the run on repo and collateralized lending; and the three leading measures of systemic risk: conditional value at risk, systemic expected shortfall, and measure of interconnectedness.Less
This chapter discusses the second of the three components of systemic risk: contagion. Contagion involves run behavior, whereby fears of widespread financial collapse lead to the withdrawal of funding from banks and other financial institutions. Financial institutions are vulnerable to contagion due to their dependence on short-term borrowing to fund long-term investment activity. When short-term debt investors suddenly refuse to extend funding, institutions relying on such funding engage in fire sales of assets and ultimately fail. The chapter covers the history of contagion in the US financial system; run behavior by short-term creditors which leads to financial panic; information economics as an explanation for the run on repo and collateralized lending; and the three leading measures of systemic risk: conditional value at risk, systemic expected shortfall, and measure of interconnectedness.
