货币危机与银行危机共生因子实证分析——国别比较的视角

共生危机的事实表明,货币危机与银行危机共生的现象在不同类型的国家均可能出现,而非某一类国家所特有的现象.基于对共生性货币银行危机触发机制国别差异的考察,文章在对1980～2006年间60个国家共生危机发生情况识别的基础上,分别构建了工业化国家和发展中国家共生危机生成的逐步Logistic回归模型.研究表明,工业化国家的共生危机主要是经济中各类矛盾累积的结果,发展中国家则主要源于本国制度缺陷,而采用滞后一期的变量来解释工业化国家共生危机时,效果不显著.     

基于信息的双重危机模型及其在东亚危机中的应用

由于近来在新兴市场国家发生的一系列货币危机都同时伴随着银行危机的发生,要全面地理解这些货币危机,我们需要将具有微观基础的银行部门明确地纳入到货币危机的分析模型中去.该文通过应用基于信息的银行挤兑模型,建立了一个双重危机模型,并对诸如经济基本面的脆弱如何导致双重危机,以及银行危机和货币危机如何相互作用等问题,做出了内生化的解释.模型抓住了最近新兴市场货币危机的本质特征,并与最近东亚危机的经验事实非常符合.     

孪生危机：银行问题和国际收支问题的起因

随着墨西哥及亚洲货币动荡,金融危机这一主题成了学术讨论及政策评论的最前沿问题。本文分析银行危机与货币危机之间的联系。我们发现：银行系统的问题典型地先于货币危机,而货币危机加深了银行危机,造成一种恶性循环;金融自由化通常先于银行危机。     

共生危机理论研究述评

20世纪90年代以来,新兴市场爆发的金融危机一般以共生危机(twin crises)的形式出现,即货币危机和银行危机在一段时期同时存在。单独的货币危机理论或者银行危机理论都不能很好地解释共生危机现象,特别是亚洲金融危机。原因在于目前流行的货币危机理论中没有加入银行部门和金融体系,亚洲金融危机中有一点货币危机理论没有提及的就是资本市场和房地产市场的泡沫及银行部门的     

银行危机中的消费者、银行、企业之间的博弈行为分析

参与银行借贷活动的主体从自身利益的角度出发决定自己的行为。国外消费者为了达到效用最大化决定消费和存款行为;银行为了达到利润最大化尽可能选择利润高的项目;企业也会在还款和违约之间按成本最小的原则作出决定。参与主体之间的这些行为会加大银行风险,加速资本外逃,引发银行危机。随着银行危机的发生、资本的外逃,本币会大幅度贬值,酿成货币危机。     

共生性货币危机与债务危机长期联系效应——基于部分发展中国家1976-2005年数据的实证分析

从理论上讲,货币危机与债务危机会由某些共同的宏观经济因素同时引发,也会在某些力量的推动下形成彼此间的传导和扩散效应.基于1976-2005年58个发展中国家的面板数据,综合运用相关系数检验、面板数据ADF检验以及协整检验对发展中国家货币危机和债务危机长期联系效应的检验结果表明:发展中国家货币危机与债务危机间存在微弱的负相关关系;但长期内,无论新兴市场经济国家还是其他发展中国家,货币危机和债务危机均不存在稳定的均衡关系.     

银行危机过程中的道德风险及其对银行危机成本的影响

本文从理论和实证的角度分析了处于危机状态的银行，为什么会产生严重的道德风险问题，以及道德风险是如何影响危机处理成本的，并提出我国中小金融体系重建必须重视先从根本上克服存在的问题。     

关于货币危机传染文献综述

20世纪90年代的国际金融市场可谓多灾多难,在短短的10年间就发生了5次较大的货币危机。与以往的危机不同,近10年的货币危机有一个显著的特点：一个国家的货币危机可以迅速蔓延到其它国家或地区,在各种报纸,杂志和其它媒体上,人们创造了许多新名词来形容货币危机的“传染”（Contagion)现象,如墨西哥“蒸馏酒效应（Tequila Effect)”,“亚洲流感（Asian Flu)”,“俄罗斯病毒（Russian Virus)”等,那么,到底是什么原因使得货币危机象某种传染性疾病一样,从一个国家扩散到勘察国家和地区呢？为了揭开货币危机传染的神秘面纱,从90年代中期以来,研究人员对货币危机传染的原因和机理进行了许多理论研究和经验分析,虽然还不能完全认识它的庐山真面目,但也已经取得了不少进展。     

经济全球化、风险分担机制变迁与货币危机

金融体系风险分担机制包括银行中介的跨期风险分担机制和金融市场的横向风险分担机制.经济全球化条件下,资本跨国流动导致全球投资组合的优势凸现,银行资金流向金融市场,导致金融体系风险分担机制发生变迁,金融市场横向风险分担机制侵蚀银行中介跨期风险分担机制,而金融市场横向风险分担机制无法有效分担系统性风险,因此,金融体系更易受到外部系统性冲击的影响.增加了货币危机发生的概率.通过建立风险分担系数,使用88个国家的数据实证检验金融体系风险分担机制变迁对货币危机的影响,结果显示,金融体系风险分担机制变迁可以显著增加货币危机发生的概率.     

货币危机和银行危机对宏观经济影响的分析

金融危机包括货币危机和银行危机,文章分别定义了货币危机和银行危机,指出货币危机产生的原因,银行危机对宏观经济的影响表现为三个方面:货币供给量、产出水平和失业率以及财政收入;货币危机对宏观经济影响表现为:经济增长率、通货膨胀率和利率水平。     

A few observations on financial liberalization and financial instability

Recent studies have conjectured that there may be a link between financial liberalization (FL) and financial instability in emerging economies. Most of these studies, however, do not investigate whether emerging economies are, in fact, becoming structurally more vulnerable to currency and banking crises. In this paper, I argue that emerging economies are becoming more susceptible to both currency and banking crises after FL. Using data for 27 emerging economies—excluding transition economies—from 1973 to the present, a univariate analysis indicates that the likelihood of currency crises may increase with stronger reactions to financial variables than to real or external trade variables. Similarly, for banking crises, interest rate, exchange rate, maturity, and default may increase, while simultaneously the support structure of the government seems to decline.     

Liquidity and Twin Crises

This paper proposes a simple analytical framework for understanding 'twin crises'– i.e. crises where a currency crisis and banking crisis occur simultaneously and reinforce each other. The distinguishing feature of such crises is the spill‐over effects across financial institutions through collateral constraints, declines in market values of assets, currency mismatches on the balance sheet and the endogenous amplification of financial distress through asset sales. We explore the role of liquidity and the role of monetary policy in such crises. In particular, a central question is whether raising interest rates in the face of a twin crisis is the appropriate policy response. Raising interest rates has two countervailing effects. Holding the domestic currency becomes more attractive (other things being equal), but the value of the domestic banking system falls due to the fall in asset prices. When assets are marked to market, there is a potential for endogenously generated financial distress that leads to a collapse of asset prices, as well as the exchange rate. It is thus possible that raising interest rates can have the perverse effect of exacerbating both the currency crisis and the banking crisis.     

The Changing Relationship between Banking Crises and Capital Inflows

Different types of capital inflows have varied effects when predicting banking crises in emerging and developing economies, and these relationships have meaningfully changed over time. In a sample of 29 developing and emerging economies over the period 1976–1991 increases in short‐term debt inflows raised the probability of a banking crisis while increases in inflows for long‐term borrowing by the private sector had the opposite effect. Conversely, over the period 1992–2007 increases in inflows for long‐term borrowing by the private sector and for equity investment both increased the probability of a banking crisis. The findings suggest distinct optimal capital account liberalization policies between the two periods.     

Twin Crises in Emerging Markets: The Role of Liability Dollarization and Imperfect Competition in Banking

Currency crises in emerging markets have been accompanied by banking crises, with concentration in the market for bank credit increasing after large devaluations. This paper examines how the presence of imperfect competition and liability dollarization in banking shapes the real effects of the just mentioned twin crises. An important gap in the theoretical literature is filled, by being the first paper to provide a model of twin crises in the presence of imperfect competition in banking, and the changes in market structure that occur in the aftermath of crises. Doing so, the analysis is able to reveal that currency devaluations generate more severe twin crises in economies with less competitive banking sectors. This result is consistent with the empirical evidence on the concentration‐fragility view, and it unveils the importance of prudential regulation that focuses on the market structure in banking.     

Currency crises and the stock market: empirical evidence for another type of twin crisis

We explore the dependency between currency crises and the stock market in emerging economies. Our focus is two-fold. First, the risk of a currency crisis rises as the foreign stake in the domestic stock market increases. Successful economies with high capital flows into their booming stock markets especially are prone to stock market-induced currency crises. Second, we apply the dividend growth model to show that stock markets crash in the run-up to a currency crisis. This new type of twin crisis is empirically tested by employing a logit framework using quarterly data for 33 emerging economies for 1994Q1–2007Q4.     

Comparing Parametric and Non‐parametric Early Warning Systems for Currency Crises in Emerging Market Economies

This paper compares in‐sample and out‐of‐sample performances of parametric and non‐parametric early warning systems (EWS) for currency crises in emerging economies. The parametric EWS achieves superior out‐of‐sample results compared with the non‐parametric EWS. The policymaker faces a trade‐off when using EWS: greater cautiousness allows the policymaker to correctly call more crisis episodes, but this comes at the cost of issuing more false alarms. The benefit of correctly calling more currency crises needs to be traded off against the cost of issuing more false alarms and of implementing corrective policies prematurely.     

Withstanding financial crises: would trade partners help or hurt?

This article provides new empirical evidence on the losses of real activity caused by various financial shocks. Spillover effects due to foreign trade linkages deserve special attention. To this end, we estimate a modify auto-regressive process and a Seemingly Unrelated Regression Equations estimator is used to account for the dependency of one’s country growth on its trade-weighted partners growth. We run estimations on a set of currency collapses, banking crises and sovereign defaults in 49 advanced and developing countries from 1978 to 2011. The trade-weighted foreign demand effect mitigated the economic downturn following a banking or a sovereign debt crisis in all countries, while only the advanced ones benefited from it after a currency collapse. Trade-based spillover effects make banking crises more costly in the developing countries, in those that liberalize their financial account. It contrasts with what is observed during currency or sovereign debt crises.     

Stock Market‐Induced Currency Crises—A New Type of Twins

This paper explores the link between currency crises and the stock market in emerging economies. By integrating foreign stock market investors in a currency crisis model, we reveal a new fundamental inconsistency as a potential crisis trigger: since emerging economies' stock markets often have high returns, whereas central bank reserves grow slowly or decline, the amount of reserves foreign investors can deplete when selling their stocks and repatriating the proceeds grows over time and is considerably higher than funds that have been invested in the stock market. Capital withdrawals of foreign stock market investors can trigger currency crises by depleting central bank reserves, particularly in successful countries with booming stock markets and large foreign investment.     

Political Regimes and Currency Crises

This paper examines the relationship between political regime type and currency crises. Some theories suggest that democratic regimes, owing to their greater political transparency and larger number of veto players, should have a lower risk of currency crisis than dictatorships. Alternative arguments emphasize the advantages of political insulation and rulers with long time horizons, and imply that crises should be most likely in democracies and least common in monarchic dictatorships. We evaluate these competing arguments across four types of political regimes using a time‐series cross‐sectional dataset that covers 178 countries between 1973 and 2009. Our findings suggest that the risk of currency crisis is substantially lower in monarchies than in democracies and other types of dictatorship. Further analyses indicate that the adoption of prudent financial policies largely account for this robust negative association between monarchies and the probability of currency crises. This suggests that political regimes strongly influence financial stability, and perverse political incentives help explain why currency crises are so common.     

The Vulnerability of ASEAN+3 Countries to International Financial Crises

This article focuses on the reaction of the Association of Southeast Asian Nations (ASEAN) economies to international financial shocks. The crises in emerging markets at the end of the last century underlined the significant vulnerability of the emerging ASEAN economies to international financial fluctuations and a lack of sustainability in their exchange rate regime. A structural VAR model is used to analyze the efficiency of the measures adopted by these countries after this episode of crisis in order to protect their economies against speculative attacks. The results reveal that the impact of the recent subprime crisis on emerging ASEAN countries is less significant than that observed in industrialized ones.