Exchange Rate Fluctuations and International Capital Morements

汇率波动与国际资本动态

• 批准号: 04834004
• 负责人: FUKAO Kyoji
• 金额: $ 1.15万
• 依托单位: Hitotsubashi University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for General Scientific Research (C)
• 财政年份: 1992
• 资助国家: 日本
• 起止时间: 1992 至 1993
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-04834004/
• 关键词: Speculative Attack; Baysian Equilibrium; Global Game; Current Accounts; スペキュラティブ・アタック; 外貨準備; 介入政策; 複数均衡; 協調の失敗; 国際資本移動; 為替レート

In the first paper, we apply the theory of global games to the speculative attack problem. Recently Carisson and van Damme (1990, 91) presented a notion of a global game, which is an incomplete information game where the actual payoff structure is determined by a randon draw from a giben class of games and where each playr gets noisy private information of the selected game. For 2-person 2 x 2 games, they showed that equilibrium play in a global game with vanishing noise forces the playrs to conform to harsanyi and Selten's risk-dominance criterion. In this paper we extend their notion of global games to n-person symetric games, with two possible actions characterized by strategic complementarity. In such a class of games, the theory of global games selects a unique equilibrium that is different from the risk-dominant equilibrium. We show that if the number of the playrs is two, the global-game equilibrium coincides with the risk-dominant equilibrium. We show that the thres hold value of foreign reserve depends on transaction cost and the width of the expected devaluaton.In the second paper, we have described factors affecting Japan7s current accounts and capital Ccounts in the second half of the 1980s and up to 1991. The Japanese current accounts appear to have experienced a sharp reversal. However, this is partly due to transitory factors, such as popurarity of the gold investment accounts, and the Gulf War. Simulation shows that the increase in the current account surpluses in 1991 would have been much more modest, if transitory factors had been eliminated.

在第一篇论文中，我们将全局博弈理论应用于投机攻击问题。最近Carisson和van Damme（1990,91）提出了一个全局博弈的概念，这是一个不完全信息博弈，其中实际的收益结构是由从一个特定的博弈类中随机抽取的结果决定的，其中每个玩家都获得了所选博弈的嘈杂的私人信息。对于2人2 x 2博弈，他们表明，在噪声消失的全局博弈中，均衡博弈迫使参与者遵守harsanyi和Selten的风险优势准则。在本文中，我们将他们的全局博弈概念扩展到n人对称博弈，其中两种可能的行动具有战略互补的特征。在这类博弈中，全局博弈理论选择了一个不同于风险优势均衡的唯一均衡。我们证明了如果参与者的数量是2，全局博弈均衡与风险优势均衡是一致的。我们发现外汇储备的阈值取决于交易成本和预期贬值的幅度。在第二篇论文中，我们描述了在20世纪80年代后半期和直到1991年影响日本经常账户和资本账户的因素。日本的经常账户似乎出现了急剧逆转。然而，这部分是由于暂时性因素，如黄金投资账户的普及，以及海湾战争。模拟显示，如果消除暂时性因素，1991年经常帐户盈余的增加将会温和得多。

项目成果

"Speculative Attacks under Incomplete Information and multiple Baysian Equilibria" unpublished manuscript.

“不完整信息和多重贝叶斯均衡下的投机攻击”未发表的手稿。

Takatoshi Ito and Wen-Ling Lin: "Lunch break and intraday volatility of stock returns" Economics Letters. 39. 85-90 (1992)

Takatoshi Ito 和 Wen-Ling Lin：“午休时间和股票收益的盘中波动”经济学快报。

"On Recent Development of Current Accounts and Capital Movenents of Japan" unpublished manuscript.

“日本经常账户和资本流动的最新发展”未发表的手稿。

Kyoji Fukao and R.Benabou: "History versus Expectations :A Comment" Quaterly Journal of Economics. 107. (1993)

Kyoji Fukao 和 R.Benabou：“历史与预期：评论”经济学季刊。