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1 avril 2015
- handle: 10670/1.kf60wj
- hal: hal-03459933
- SCIENCESPO: 2441/6skkqt46r78qk9i6iliq48n6bm
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Mots-clés
Currency Carry Trades Inflation Targeting Financial Instability G - Financial Economics/G.G0 - General/G.G0.G01 - Financial Crises G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E58 - Central Banks and Their PoliciesSujets proches
Specie Monetary question Money, Primitive Currency Standard of valueCiter ce document
Guillaume Plantin et al., « Destabilizing carry trades », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.kf60wj
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Résumé
We offer a model of currency carry trades in which carry traders generate self-sustained excess returns if they coordinate on supplying excessive capital to a target economy. The interest-rate differential between their funding currency and the target currency is their coordination device. Such self-fulfilling pro table currency trades arise when the central bank of the target economy ignores the impact of carry-trade in flows on domestic asset prices, and responds only to their effect on inflation. We solve for a unique equilibrium that exhibits the classic pattern of the carry-trade recipient currency appreciating for extended periods, punctuated by sharp falls.