Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders
Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders
复制标题
索罗斯一个人能带来改变吗？
DOI：
--
复制
发表时间：
2001
期刊：
影响因子：
--
通讯作者：
H. Shin
中科院分区：
文献类型：
--
作者：
G. Corsetti;A. Dasgupta;S. Morris;H. Shin
大型投资者是否增加了一个国家在外汇市场遭受投机性攻击的脆弱性？为了解决这个问题，我们建立了一个货币危机模型，在这个模型中，一个大型投资者和一系列小型投资者根据他们关于基本面的私人信息独立决定是否攻击一种货币。即使从信号中抽象出来，大投资者的存在确实会使所有其他交易者在卖出时更加积极。相对于没有大投资者的情况，小投资者在基本面较强时会附加货币。然而，这种差异可能很小，也可能为零，这取决于小型和大型投资者私人信息的相对准确性。添加信号会使大型交易者对小型交易者行为的影响更大。
Do large investors increase the vulnerability of a country to speculative attacks in the foreign exchange markets? To address this issue, we build a model of currency crises where a single large investor and a continuum of small investors independently decide whether to attack a currency based on their private information about fundamentals. Even abstracting from signaling, the presence of the large investor does make all other traders more aggressive in their selling. Relative to the case in which there is no large investors, small investors attach the currency when fundamentals are stronger. Yet, the difference can be small, or null, depending on the relative precision of private information of the small and large investors. Adding signaling makes the influence of the large trader on small traders behaviour much stronger.