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<p>This paper introduces the Triangular Speculative Attacks Model, a novel framework that captures the propagation of speculative shocks across foreign exchange markets via intermediary currencies. Unlike traditional models focusing on isolated bilateral attacks, this model reflects the triangular structure of FX systems, where financial pressures originating in one currency can be transmitted indirectly through a dominant currency to affect a third. We validate this framework using an Agent-Based Modeling approach that simulates heterogeneous traders and liquidity dynamics, alongside statistical robustness checks to test the model’s empirical relevance. Applied to the 2018 Argentine peso crisis, our results reveal asymmetric and persistent contagion patterns from ARS to BRL through the USD channel, supported by long-run cointegration and directional causality. The model stands out how risk aversion, arbitrage, and capital flows amplify volatility across currency nodes. Compared to existing literature, this model offers a dynamic, multi-agent extension that better captures cross-currency arbitrage and nonlinear contagion. These findings carry practical implications for central banks and regulators in monitoring systemic risk and designing targeted interventions.</p>

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Triangular Speculative Attacks

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年10月11日

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  • David Alaminos

摘要

This paper introduces the Triangular Speculative Attacks Model, a novel framework that captures the propagation of speculative shocks across foreign exchange markets via intermediary currencies. Unlike traditional models focusing on isolated bilateral attacks, this model reflects the triangular structure of FX systems, where financial pressures originating in one currency can be transmitted indirectly through a dominant currency to affect a third. We validate this framework using an Agent-Based Modeling approach that simulates heterogeneous traders and liquidity dynamics, alongside statistical robustness checks to test the model’s empirical relevance. Applied to the 2018 Argentine peso crisis, our results reveal asymmetric and persistent contagion patterns from ARS to BRL through the USD channel, supported by long-run cointegration and directional causality. The model stands out how risk aversion, arbitrage, and capital flows amplify volatility across currency nodes. Compared to existing literature, this model offers a dynamic, multi-agent extension that better captures cross-currency arbitrage and nonlinear contagion. These findings carry practical implications for central banks and regulators in monitoring systemic risk and designing targeted interventions.