Modeling International Capital Flows and Exchange Rates Movements

1990年代见证了流入发展中经济体的资本流动的急剧扩张--新兴市场的繁荣--以及1994-1995年墨西哥金融危机之后这种流动的同样急剧收缩。这项研究的目的是构建跨期一般均衡模型，既可以分析发展中经济体金融开放后的资本流动，也可以分析像墨西哥那样的金融危机。尽管许多拟议的研究都集中在墨西哥的案例上，但它的适用性要广泛得多。这个项目将扩展作者之前在金融危机建模方面的工作。它将推广这项关于自我实现的债务危机的工作，以允许具有厌恶风险偏好的消费者以及那些愿意在国际上借款和放贷的消费者。初步结果表明，这一延期将涵盖发生债务危机的可能性增加时发生的资本外逃。这项研究还将开发一种自我实现的货币危机的替代但相关的模型。债务危机和货币危机的模型最终将通过政府持有的外汇储备在每个模型中扮演的关键角色联系在一起。与文献中发现的简化模型相比，所提出的危机模型的一个中心特征是它们将是完全特定的动态、随机的一般均衡模型。此外，还将对一个动态、随机的一般均衡模型进行收缩和分析，在该模型中，银行危机可能在均衡中发生。

The 1990s have witnessed both a dramatic expansion of capital flows into developing economies-the emerging markets boom-and an equally dramatic contraction of such flows following the 1994-1995 financial crisis in Mexico. The purpose of this research is to construct intertemporal general equilibrium models both for analyzing the capital flows that would follow financial opening in developing economies and for analyzing financial crises like that in Mexico. Although much of the proposed research focuses on the case of Mexico, it is applicable far more widely. This project will extend previous work by the author on modeling financial crises. It will generalize this work on self-fulfilling debt crises to allow for consumers who have risk-averse preferences and who would borrow and lend internationally. Preliminary results indicate that this extension will capture the capital flight that occurs when the probability of a debt crisis increased. The research will also develop an alternative, but related, model of self-fulfilling currency crises. The models of debt crises and those of currency crises will ultimately be linked through the crucial role that foreign reserves held by the government play in each model. A central feature of the proposed crises models is that they will be fully specified dynamic, stochastic general equilibrium models, as contrasted with the reduced form models found in the literature. In addition, a dynamic, stochastic general equilibrium model in which banking crises can occur in equilibrium will also be contracted and analyzed.