Macroeconomic tail risk, currency crises and the inter‐war gold standard
将宏观经济尾部风险引入经典的货币危机全球博弈模型，发现尾部风险与基本面危机概率呈非单调关系，并受公共冲击大小和方向影响。分析政策干预如何引发对基本面水平的怀疑，进而影响投资者行为，并阐明欧洲金融传染如何引发1931年英镑危机。
Abstract We introduce macroeconomic tail risk into the canonical global game model of currency crises. The exchange rate peg is attacked if fundamentals reach a critical threshold, or if there is a sufficiently large public shock. Large shocks generate doubt amongst investors about both the state of the world and about what others know, giving rise to multiple equilibria. We find a non‐monotonic relationship between tail risk and the probability of (a fundamentals‐based) crisis and show how this effect depends on the magnitude and direction of public shocks. We consider the implications of policy intervention and identify conditions under which active intervention produces doubt about the level of fundamentals and, hence, how others will respond. Our analysis clarifies how financial contagion in Europe precipitated the sterling crisis of 1931.