This paper presents a general equilibrium currency crisis model of the ’third generation’, in which the possibility of currency crises is driven by the interplay between private Þrms’ credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four m...

What's Here Currency unions are all the rage in international policy circles these days. But suppose a country – say Argentina (the usual crisis de jour) – decides that it needs to adopt a foreign currency. Which one should it pick? Alesina, Barro and Tenreyro provide the methodology, or at least most of it, to answer this important and interesting question. Their methodology is reasonable in a...

HE USE OF CURRENCY in transactions is a regular part of our daily lives and a basic feature of our economic system. The importance of currency derives both from its obvious role in daily transactions and from the somewhat more subtle role of the currency system as the basis for our monetary and financial systems. The currency system is so fundamental to economic activity that we tend to give it...

This paper is concerned with the ability of speculation to generate a currency crisis. We consider a game-theoretic setting between a unit mass of speculators and a government that holds foreign currency reserves. We analyze conditions under which the speculators may be able to force the government to devaluate the currency. Among these conditions, we analyze the role of heterogeneous beliefs, ...

One of the most significant factors influencing the liquidity of the financial market is the amount of currency in circulation. Although the central bank is responsible for the distribution of the currency it cannot assess the demand for the currency, as that demand is influenced by the non-banking sector. Therefore, the amount of currency in circulation has to be forecasted. This paper introdu...

This paper discusses the currency management mechanisms used in Deno, a replicated-object storage system designed for use in mobile and weakly-connected environments. Deno primarily differs from previous work in implementing an asynchronous weighted-voting scheme via epidemic information flow, and in committing updates in an entirely decentralized fashion, without requiring any server to have c...

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option pricing methodology of Duan (1995) to a two-country setting. Specifically, we assume a bivariate nonlinear GARCH system for the exchange rate and the fo...

Abstract We present a novel tool for generating speculative and hedging foreign exchange (FX) trading policies. Our solution provides schedule that determines trades in each rebalancing period based on future currency prices, net account positions, incoming (outgoing) flows from business operations. To obtain such policies, we construct multistage stochastic programming (MSP) model solve it usi...

in this paper, based on error correction model by using panel data, an empirical analysis of demand for international reserves for 16 islamic countries is investigated. besides addressing conventional issues, the model explicitly incorporates the impact of expected export revenues and the impact of the exchange rate system on reserve demand. the results reveal that, short run money market diseq...