Experimental analysis on the role of a large speculator in currency crises

Kenshi Taketa*, Kumi Suzuki-Löffelholz, Yasuhiro Arikawa

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

Corsetti et al. (2004) demonstrate that the presence of a large speculator in the foreign exchange market makes the remaining traders more aggressive in their speculative attacks. We conduct an experiment designed to test their theoretical predictions and also use the experiment to analyze an additional aspect that has not been previously covered in the literature: namely, whether the entry of a large speculator and the exit of the same speculator have the same effect in magnitude on the probability of a successful speculative attack. We obtain two main findings. First, the results support the main conclusion of Corsetti et al. (2004) that the presence of a large speculator makes other small speculators more aggressive. Second, the results suggest that the effect of the entry of a large speculator on the probability of successful speculative attacks is larger than that of the exit of the same speculator.

本文言語English
ページ(範囲)602-617
ページ数16
ジャーナルJournal of Economic Behavior and Organization
72
1
DOI
出版ステータスPublished - 2009 10

ASJC Scopus subject areas

  • 経済学、計量経済学
  • 組織的行動および人的資源管理

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