The use of the exchange rate for stabilization: a real interest arbitrage model applied to Argentina
构建了一个考虑投资者风险厌恶的利率与资产组合决定模型，分析实际货币贬值风险下的套利行为，并应用于1979-1980年阿根廷的预先宣布汇率实验，发现央行准备金与M2之比与美阿之间的套利差额密切相关。
We model interest rate and portfolio determination under the risk of real currency devaluation taking into account risk aversion on the part of investors. A simple extension of the Friedman-Savage analysis of consumer behavior under uncertainty to a two period, two country setting allows us to explicitly solve for the interest rate premium paid in the risky asset. The model is applied to the 1979–1980 Argentinean experiment with the pre-announced exchange rate. Empirical results suggest that a safety factor, central bank reserves as a fraction of M2, is closely related to the net ex ante and ex post arbitrage differentials in favor of Argentina relative to the United States..