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。     

Exchange Rate Regimes and Currency Crises: an Evaluation using Extreme Value Theory*

We test whether the exchange regime in place has an impact on the vulnerability of countries to currency crises. Our paper is distinguishable from others (i) in its use of extreme value theory to identify currency crisis periods and (ii) in using two separate designations for the exchange regime in place. The first is the self‐reported or announced exchange rate system. The second classification scheme, by Levy‐Yeyati and Sturzenegger, is based on the relative movements of international reserves and exchange rates. The Levy‐Yeyati and Sturzenegger procedure is intended to reveal the actual as distinct from the “legal” exchange arrangement. We find, interestingly, that the announced exchange regime has an impact on the likelihood of currency crises, while the “true” or observed regime does not. Announced pegged exchange regimes increase the risk of currency crisis even if, in reality, the exchange rate system in place is not pegged.     

Crises and exchange rate regimes: time to break down the bipolar view?

We revisit the link between crises and exchange rate regimes (ERR). Using a wide panel of 90 developed and developing countries over the period 1980–2009, we find that corner ERR are not more prone to crises compared to intermediate ERR. This finding holds for different types of crises (banking, currency and debt), and is robust to a wide set of alternative specifications. Consequently, we clearly break down the traditional bipolar view: countries that aim at preventing crisis episodes should focus less on the choice of the ERR, and instead implement sound structural macroeconomic policies.     

Early Warning for Currency Crises: What Is the Role of Financial Openness?

The paper explores whether financial openness—capital account openness and gross capital inflows—makes countries vulnerable to currency crises. A quarterly dataset on 46 advanced and emerging market economies (AEs and EMEs) during 1975Q1–2011Q4 is used, with the period after Q2 2007 used for out‐of‐sample testing. The key findings are: (1) capital account openness is associated with lower probability of currency crises, but less so for EMEs; (2) surges in gross capital flows are associated with increased risk of currency crises; and (3) the model performs well out‐of‐sample, confirming that early warning models are helpful in judging relative vulnerability.     

Sudden Stops and Currency Crashes

This paper investigates which factors determine whether sudden stops in international capital flows are followed by a currency crash using data for 85 economies in the period 1980–2012. An event study approach is used for an 11‐year window around the crises for nine potential explanatory variables. In addition, the paper estimates discrete‐choice panel models. The results suggest that low trade openness, shallow financial markets, and current account imbalances increase the likelihood that a sudden stop will be followed by a currency crash. Moreover, it is established that the impact of these factors differs across different exchange rate regimes.     

Fixed Exchange Rates and Banking Crises: When Does the Former Prevent the Latter?

Because monetary policy is constrained in fixed exchange rate regimes, banks should expect fewer money‐financed bailouts and therefore manage their risks more carefully when exchange rates are fixed than when they are flexible. It follows that we should observe fewer banking crises in countries with formal currency pegs. The 1990s however are littered with occurrences of banking crises in countries with fixed exchange rates. This paper asks whether banks in those countries could have adopted excess risk expecting money‐financed bailouts or whether their pegs discouraged such moral hazard‐type risks.     

Balance Sheet Effects, Growth, and Crises

This paper addresses two questions: are currency crises predicted by increases in a central bank’s external and contingent liabilities relative to assets, and do these “balance sheet effects” generate persistent output losses following a crisis? I find empirical evidence that the answer to both questions is yes. I use data on stocks of gross external assets and liabilities for 167 countries over 1973–2003, in an unbalanced panel probit regression to obtain robust estimates of the probability and determinants of a post‐crisis recession. Several single and simultaneous equation specifications support the idea that the output cost of a currency crisis depends on its transmission mechanism. Specifically, a recession is likely to be severe if it is preceded by a crisis that works its way through the financial sector. In addition, the results show that measures of contingent liabilities, capital flight, and lack of financial depth are significant predictors of costly crises.     

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.     

External liabilities,domestic institutions and banking crises in developing economies

We investigate the impact of foreign equity and debt on the occurrence of banking crises in 61 lower income and middle income economies during the 1984 to 2010 period. We also focus on the effects of domestic institutions on banking crises and whether they mitigate or exacerbate the impact of the external liabilities. We find that FDI liabilities lower the probability of a crisis, while debt liabilities increase their incidence. However, institutions that lower financial or political risk partially offset the impact of debt liabilities, as does government stability. A decrease in investment risk directly reduces the incidence of banking crises.     

EXCHANGE RATE REGIMES AND MONETARY COOPERATION: LESSONS FROM EAST ASIA AND LATIN AMERICA*

This paper analyses the mechanisms of, and draws lessons from, currency crises in Asian and Latin American countries in the 1990s and 2000s. In Asian countries fiscal deficits were insignificant in size, and were not part of a crisis trigger, while in Latin America they played a major role in the crisis story. Crisis management by international financial institutions has been evolving over the last 10 years, and private‐sector involvement (PSI) has occupied centre‐stage in efforts to reform the international financial architecture. Sovereign debts, a focus of PSI discussions, were neither a cause nor a propagation of the Asian crises.     

Political booms and currency crises

This paper shows evidence that political booms, defined as the rise in governments’ popularity, are associated with a higher likelihood of currency crises. The reasoning behind this finding is that prudent economic policies to address underlying weaknesses in the economy may be political costly for incumbent governments in the short-term. Hence, popularity-concerned governments may not have enough incentives to take such corrective actions in a timely manner. This approach, in turn, can deteriorate economic fundamentals and increase related risks in the economy which can eventually lead to crises. This paper sheds light on this phenomenon in the case of currency crises, suggesting that currency crises can be viewed as “political booms gone bust” events. Moreover, it finds that higher international reserves, higher exports, and a higher degree of financial openness alleviate the effect of political booms on currency crises.     

Misperceiving inequality

A vast literature suggests that economic inequality has important consequences for politics and public policy. Higher inequality is thought to increase demand for income redistribution in democracies and to discourage democratization and promote class conflict and revolution in dictatorships. Most such arguments crucially assume that ordinary people know how high inequality is, how it has been changing, and where they fit in the income distribution. Using a variety of large, cross‐national surveys, we show that, in recent years, ordinary people have had little idea about such things. What they think they know is often wrong. Widespread ignorance and misperceptions emerge robustly, regardless of data source, operationalization, and measurement method. Moreover, perceived inequality—not the actual level—correlates strongly with demand for redistribution and reported conflict between rich and poor. We suggest that most theories about political effects of inequality need to be reframed as theories about effects of perceived inequality.     

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.     

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.     

Reserve accumulation and financial crises: From individual protection to systemic risk

This paper provides a new perspective on the relationship between countries׳ international reserve holdings and financial crises: while the “local” view holds that reserves may prevent domestic crises, it overlooks that the accumulation of reserves relaxes the financing constraint of the reserve currency country and may cause a financial crisis in the centre, which is transmitted globally. According to this “global” view reserve accumulation might destabilize the international financial system. Since the crisis affects all countries alike, the accumulation of reserves imposes a negative externality on non-accumulating countries.We integrate this idea in a theoretical model of the optimal amount of reserves and illustrate the gap between local and global optimality: the consideration of systemic risk lowers the demand for reserves. Moreover, if a supranational authority determines the optimal level of reserves, it internalizes the negative externality and accumulates fewer reserves. A macroprudential tax on reserve hoardings might implement the socially optimal solution. Our calibration analysis shows that these considerations are economically significant: they lower the optimal amount of reserves in the benchmark case by 45%.     

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.     

关于货币危机后经济衰退的经验分析

文章以1990年以来的近200次货币危机为样本,对货币危机后的经济衰退进行了经验分析.研究发现,危机前的经常账户状况、外债余额占GDP比例、国际流动性指标等经济变量以及危机后的汇率制度都不会显著影响到危机后的经济衰退.另外,危机后的经济衰退与危机国政府在危机中是否抛售外汇储备、是否采取汇率贬值都没有明显关系.但是经济分析的结果表明,危机前的失业率和汇率制度以及危机中是否提高利率等因素对危机后的经济衰退有显著作用.     

Transparency and currency crises

The role transparency plays in the prevention of currency crises is widely acknowledged. Nevertheless, the relationship between transparency and currency crises has rarely been subjected to systematic cross‐national scrutiny. This paper attempts to explore the effect of transparency on currency crises by focusing on a specific dimension of transparency: the public dissemination of aggregate economic data by governments. My analysis provides strong evidence that greater transparency is associated with a lower likelihood of currency crises, regardless of economic conditions. When I add economic and political determinants of currency crises, the estimate of transparency remains unaltered in magnitude or statistical significance.     

Interdependence or contagion: A model switching approach with a focus on Latin America

Empirical research analysing contagion has become increasingly fragmented. Different definitions of contagion have resulted in different methods being deployed to analyse financial transmission channels. This paper devises a novel econometric strategy where the nature of interdependencies, magnitude of interdependencies and transmission channels selected for inclusion can change over time. We thus appeal to multiple definitions of contagion, distinguishing between: interdependence, contagion through interdependence and abrupt contagion through changing linkages. Using our approach we analyse different crisis episodes in Latin America. Results generally indicate interdependence not contagion during the currency crises of the 1990s and Argentine crisis of 1998–2002. During the global financial crisis, results indicate abrupt contagion from the US to Argentina and Brazil. Mexico, however, experiences contagion through existing interdependencies with the US. Results also show that macroeconomic and uncertainty channels play a role during different crises not just financial channels. By establishing whether or not different interdependencies and transmission channels are present during different crises our model switching approach provides new insights.