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。     

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.     

货币错配与银行危机和货币危机

货币错配是新兴市场在经济全球化过程中所无法避免的问题,它具有净外币负债和净外币资产两种表现形式.在新兴市场中,只要其银行体系存在大规模的货币错配,不管表现为哪一种形式,都会增加其金融体系的脆弱性;而且在宏观或微观经济基本面恶化的情况下,可能引发银行危机甚至是货币危机.此外,当出现不利冲击时,银行体系中存在货币错配将会导致其资产和负债的期限错配进一步恶化.     

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。     

本币升值冲击与银行业危机——基于货币错配视角的中国经验

本文通过资产负债表分析框架构建了本币升值通过银行的资产负债表渠道引起银行危机的模型.结论认为本币升值与银行及其客户存在相当多的净外币资产型货币错配的情况下,如果本币升值幅度很大,则可能引起银行部门的危机.实证检验表明在人民币升值背景下我国商业银行因债权型货币错配造成的净值损失与银行无清偿能力风险指数呈正相关关系,这表明货币错配风险对我国商业银行的稳定性有不利影响.     

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.     

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。     

货币危机传染的机理与实证分析

进入20世纪90年代以来,货币危机频繁爆发。这些货币危机有一个显著的特点,即像传染病一样在国际间蔓延传播。究竟是什么原因使得货币危机从一个国家扩散到其他国家或地区?本文将对货币危机传染进行机理分析和实证分析,以作为宏观政策选择的依据。一、货币危机传染的机理分析1.共同的冲击是导致货币危机传染的外部条件。主要工业化国家经济政策的变化以及主要商品价格的变化等全球性的原因,都能引起新兴市场国家资本的流进流出甚至货币危机的发生。1994年秋,美国提高利率导致墨西哥资金大量外流,是墨西哥金融危机爆发的主要外部动因。1995～1…     

发展中国家货币危机的经济代价——基于1990-2002年的经验分析

基于1990年以来发生在发展中国家的51次以发生了货币贬值为特征的货币危机为样本,且对货币危机后的产出变化进行的经验分析表明,危机前的经常账户状况、危机阶段的外资净流量对于危机前后的经济增长率变化有显著影响;此外,银行危机会显著地降低危机国的经济增长率。而外债余额占GDP比例、国际流动性指标、金融开放程度以及货币危机阶段的利率提高与否等因素,对货币危机前后的产出变化都没有显著影响。     

基于极值相依性的金融危机共生强度研究

共生性危机是金融危机研究的热点之一,经验表明不同国家同时爆发两种危机的可能性不同,但尚缺乏对危机共生强度的定量研究;copula是刻画变量之间非线性相互关系的重要方法,但函数选择目前仍缺少依据。针对这两个问题,文章由极值相依性模型推导出数十种生存copula函数的共同渐近形式,基于此构建危机共生指数,并给出一套系统检验共生性强弱及度量共生强度的方法。对1994-2009年十个新兴经济体的实证研究表明:各国的危机共生强度各异,俄罗斯、新加坡、智利和中国的金融危机具有弱共生性;爆发共生性危机的可能性很大程度上由金融自由化决定;外汇市场或金融市场遭受攻击时的极端风险更易在两者之间传导;通过本币升值稳定物价的宏观调控政策将增加双重危机爆发的可能性;控制外汇市场和银行业经营的不稳定因素是抑制共生性危机的重要途径,但在印度和中国的效果可能有限。     

论银行体系在货币投机攻击中的融资角色

20世纪末爆发于东南亚国家的金融危机给该地区乃至整个世界经济都造成了严重的损失。危机之后一些学者对于该地区银行的经营业绩与危机之间的关系作了大量的研究,研究结果表明经营状况较差的银行体系往往会诱发货币危机的爆发。本文在前人研究的基础上独辟蹊径,论述了一国良好的银行体系在投机性货币攻击中所扮演的角色,进而提出了对一国国内信贷量进行控制的政策操作建议。     

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.     

The 2014–15 Financial Crisis in Russia and the Foundations of Weak Monetary Power Autonomy in the International Political Economy

ABSTRACT

This article contributes to international political economy debates about the monetary power autonomy (MPA) of emerging market and developing countries (EMDs). The 2014–15 Russian financial crisis is used as a case study to explore why an accumulation of large international reserves does not provide protection against currency crises and macroeconomic adjustments in EMDs. The analysis centres on the interplay between two dimensions of MPA: the Power to Delay and the Power to Deflect adjustment costs. Two structural factors condition Russia’s low MPA. First, the country’s subordinated integration in global financial markets increases its financial vulnerability. The composition of external assets and liabilities, combined with cross-border capital flows, restrict the use of international reserves to delay currency crises. Second, the choice of a particular macroeconomic policy regime embraced the financialisation of the – mainly state-owned – Russian banking sector, thus making it difficult to transform liquidity inflows into credits for enterprises. Russia’s main comparative advantage, hydrocarbon export revenues, is not exploited. The type of economy created due to the post-Communist transition means that provided ‘excessive’ liquidity remains in the financial system and is channelled into currency arbitrage. This factor increases exchange rate vulnerability and undermines Russia’s MPA.     

Does external shock trigger systemic banking distress?

Before 2007, many studies claimed that wide-scale banking distress in various countries was preceded and could be predicted by deteriorating macroeconomic indicators such as falling GDP growth rate. However, these researches were mostly based on “event studies” which identified crises too late. By using banking sector asset price data, the paper finds that economies still thrive in the “pre-crisis” period in terms of increasing GDP growth. The slowdown of economy in terms of a fall in GDP growth is generally associated with the post-crisis period coinciding with the bubble burst process. Thus, this result supports the policy view that it is not useful to postpone macroeconomic stability to conceal banking sector weakness.     

The effect of financial liberalization on banking sector stability

Several studies indicate that financial liberalization increases likelihood of a financial crisis without distinguishing between a normal period, unstable period preceding the onset of banking panics and crisis/post period. We explain in this paper the relationship between financial liberalization and banking sector vulnerability. Then, we argue that banking sector turmoil is most likely to occur after an intermediate degree of liberalization. Using a recently updated dataset for financial reforms, we find an inverted U-shaped relationship between liberalization and the likelihood of banking crisis for a sample of 49 countries between 1980 and 2010. We used a multinomial logit model in order to take into account what is called the ‘post crisis bias’. We ask whether the relationship remains when institutional characteristics of countries and dynamic effects of liberalization are considered. The empirical results indicate that the relationship between liberalization and banking sector stability depends strongly on the strength of capital regulation and supervision. With very weak regulation and supervision, the probability of banking crises is increasing with liberalization but this relationship is reversed as regulation and supervision become significant. The most important type of liberalization in relation to banking crises seems to be operational. A policy implication is that positive growth effects of liberalization can be achieved without increasing the risk of a banking fragility if appropriate institutions are developed.     

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.     

Banking,currency, stock market and debt crises in Spain, 1850–1995

What type of crisis is generated when debt increases? We extend the literature by framework by introducing currency and stock market crises in the analysis. We apply our proposal to the case of Spain, since this is a country that has experienced a very important amount of financial crises from the nineteenth century onwards. We find the same results as the previous literature for the determinants of banking and debt crises but substituting external and public debt with perpetual debt and where perpetual debt has a less important role than crises in the private sector. Moreover, we find evidence in favour of the hypothesis that currency crises depend strongly and positively on financial centre crises and negatively and mildly on perpetual debt. We justify the negative relalionship due to an inflation tax. We also find evidence in favour of the hypothesis that stock market crises depend only positively and strongly on financial centre crises.