Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias

Antonio Ruiz-Porras

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we study the hypothesis of “divergent expectations” with a signaling game. Such hypothesis points out that, in emerging economies, local investors tend to be front-runners in a currency crisis. Our analysis shows that changes in the informational structure available to the investors change their risk management practices. Particularly, if local investors have privileged information, about the likelihood of problems in the economy, they will monopolize the available asset returns and expected utilities. Furthermore the sum of expected utilities of local and foreign investors will be lower than the one achieved without information asymmetries.

Keywords: privileged information. risk management; expected utilities; currency crises; divergent expectations (search for similar items in EconPapers)
JEL-codes: D82 F31 G11 (search for similar items in EconPapers)
Date: 2006-12-31
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Forthcoming in Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) 1.1(2007): pp. 56-63

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1441

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