Un modèle de crises jumelles inspiré de la crise asiatique

Revue économique, 2005, vol. 56, issue 4, 903-937

Abstract: In this paper, we propose a twin crises synthetic model. We show that there may be multiple equilibria on the exchange market as well as on the international financial one and emphasize the possible connections between currency and financial crises. On the exchange market, the currency devaluation is the outcome of a trade-off by the government in presence of implicit safety nets of the banking sector. The crisis occurs whenever the anticipated devaluation rate by the market is equal to the ?optimal? devaluation rate of the governement. As far as the international financial market is concerned, the passage from one equilibrium to another is triggered by the evolution of the ratio Currency Reserves/Short Term Debt as a fundamental factor. Combining bank run dynamics and fundamental factors, we aim at reconciling the two major interpretations of currency and banking crises, namely the fragility of emerging financial systems and the ex-post worsening of domestic fundamentals originating in debtors or domestic government moral hazard. Classification JEL : E22, E53, F31, F33, F34, G15, G18

JEL-codes: E22 E53 F31 F33 F34 G15 G18 (search for similar items in EconPapers)
Date: 2005
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