银行危机与货币危机共生性关系的实证研究

1 997— 1 998年的亚洲金融风暴中 ,银行危机与货币危机的同时爆发 ,即共生性危机的发生引发国际社会与学术界对这种现象的重新思考 :这种共生性现象是否确实具有普遍性 ?从理论的角度来看 ,银行危机与货币危机之间的确存在着一定的联系 ,但到目前为止 ,很少有研究从实证的角度来证明这种联系的确存在。正是基于此 ,本文从实证的角度出发 ,旨在揭示出银行危机与货币危机之间的确存在着相互影响 ,换言之 ,共生性危机的发生是具有显著性的。具体来说 ,本文以 1 975— 2 0 0 0年期间 53个国家危机的发生情况为研究对象 ,分别运用频率分布、信号法 ,以及概率回归模型来分析两种危机的共生性 ,并得到非常一致的结论 :在新兴市场国家中 ,银行危机与货币危机之间的确存在着明显的相互关系 ,同时银行危机更趋向于作为货币危机即将发生的同步或预警指标 ,而反之则不然。

An Empirical Study on the Twin Crises:Banking & Currency Crises

During the Asian financial crises the banking crisis and currency crisis happened simultaneously. The coincidence of banking and currency crises has drawn renewed interests to causal and common factors linking the two crises and raised issue that whether the coincidence of twin crises can be generalized. The theoretical analysis indicated the linkages between the banking and currency crises. In this paper, we conduct an empirical study, which investigates the causal linkages between banking and currency crises based on the data from industrial economies and emerging market economies. We adopt the frequency distribution, the noise-signal approaches, and bivariate and multivariate probit regression models to study joint occurrence between banking and currency crises. Our conclusion is that the strong contemporaneous correlation between currency and banking crises in emerging markets is robust and banking crises is a significant leading indicator of future currency crises, but not vice versa.