Banking Sector Fragility and the Transmission of Currency Crises

We assess whether, complementary to trade and financial linkages, banking sector fragility helps explain the transmission of currency crises. We attempt to strike a balance between the precision of measurement of banking sector fragility on the one hand and its consistent measurement across various crisis episodes on the other. We find that while the role of trade and financial linkages is robust over time, the independent role of banking sector fragility is rather weak and unstable across crisis episodes. Consequently it is difficult to extrapolate observed banking fragility transmission channels from one crisis to another. As a corollary we cannot conclude that during future crisis episodes economies characterized by fragile banking sectors are more prone to crisis transmission.     

外债与双重危机

本文的目的在于提出一个解释双重危机的模型,以协助厘清短期外债、经济基要、市场信心等关键元素在双重危机中所扮演的相对角色.研究结果显示,当外债额度超出某一容忍尺度与外债结构过度偏向短期时,都会导致经济体急剧呈现出易于导向危机的脆弱性,一旦经济成长率低于某一临界值,将使危机的发生几率急速攀升,呈现非线性的恶化,加上投机性狙击及市场信心溃散,形成一连串的恶性循环,而央行在有限的外汇储备下,很难遏止双重危机的发生.     

我国货币和银行共生危机发生概率测算研究

本文通过构建发展中国家货币危机和银行危机共生基本面的Probit和Logit模型,对我国20世纪90年代以来共生性货币银行危机的发生概率情况进行近似模拟.危机发生及演进的趋势大致为:以1993年和1999年为分界点,1990年以来中国货币危机与银行危机共生概率总体上呈现由正U型向倒U型转变的分布特征,2008年出现微弱反转;样本期内我国共生危机发生概率总体处于[0.25%,2.5%]的区间范围内,但危机生成的结构分析却表明,这种极低的概率事实上为近年来我国高速的经济增长所覆盖.另外,发展中国家货币银行危机共生的基本规律显示出:GDP增长率、货币增长率、金融自由化和汇率制度对共生危机生成影响显著;金融自由化条件下共生危机发生的概率大干非自由化时期,无论自由化还是非自由化阶段,其他汇率制引发共生危机的概率均明显大于固定汇率制.     

货币政策对影子银行风险承担的影响:基于我国上市影子银行机构的研究

文章基于2006~2015年我国25家上市影子银行机构的微观数据,采用动态面板系统广义矩法,研究货币政策对影子银行风险承担的影响。研究发现:货币政策对我国上市影子银行机构的风险承担具有显著的影响,证明我国存在货币政策的影子银行风险承担传导渠道。宽松的货币政策,特别是价格型货币政策工具,会鼓励影子银行承担更多的风险,进而放大货币政策的扩张效应,增加金融体系的不稳定。因此,央行未来在制定货币政策时需要重视影子银行在货币政策传导中的作用,监管当局也应加强对影子银行过度风险承担行为的监管,构建有效的金融宏观审慎管理框架。     

货币与财政政策后续效应评估:40次银行危机样本

以20世纪80年代以来40次重要的系统性银行危机为基础,对金融危机后的货币政策和财政政策选择进行实证评价。实证结果表明,"适度扩张"的货币政策和财政政策能产生相对较优的经济效果,应成为金融危机后的主要政策选择,但由于两种政策刺激或稳定经济的效力都集中体现在短期,为避免持续和大规模货币扩张和财政赤字带来的负面影响,一旦危机消退、经济企稳回升,之前作为"反危机工具"出现的扩张性货币和财政政策就应该逐步淡出。     

Self-Fulfilling Currency Crises with Borrowing Constraints and Domestic Currency Debt

This paper presents a model of self-fulfilling currency crises in economies that do not suffer from domestic liability dollarization but whose international borrowing is subject to a collateral constraint. The model shows that when the collateral is a non-traded asset the expectation of a real exchange rate depreciation may trigger the constraint and cause a crisis in which the capital outflow and the real depreciation reinforce each other. Since in the model debt is denominated in domestic currency this paper highlights that borrowing constraints can cause self-fulfilling currency crises even in the absence of foreign-currency debt.     

货币政策区域效应及其银行结构地区差异的关联

针对我国货币政策存在的显著区域效应差异,国内学者提出"地区经济结构差异是导致我国货币政策区域效应产生差异的主要原因"的观点。从研究出发点、具体地区的对比悖论、理论基础存在的问题和对我国货币政策传导机制的实证检验四个方面进行再思考,结果表明,银行结构的地区差异才是造成我国货币政策区域影响力不同的根本原因。     

Financial Globalization and Banking Crises in Emerging Markets

Bank crises in emerging economies have been a feature of the recent global crisis, and their incidence has increased in the post-Bretton Woods era. This paper investigates the impact of financial globalization on the incidence of systemic bank crises in 20 emerging markets over the years 1976–2002 using measures of de facto and de jure financial openness. An increase in foreign debt liabilities contributes to an increase in the incidence of crises, but foreign direct investment and portfolio equity liabilities have the opposite effect. A more liberal de jure capital regime lowers the incidence of banking crises, while a regime of fixed exchange rates increases their frequency. The results of the econometric analysis is consistent with the experience of East European and central Asian emerging markets, which attracted a relatively large proportion of capital flows in the form of debt in recent years and have been particularly hard hit by the global financial crisis.     

Currency Crises and the Term Structure of Interest Rates

The currency crisis literature has identified two possible types of crisis: fundamentals based crises and self-fulfilling crises. A fundamentals based crisis arises when some state variable, such as foreign exchange reserves, reaches a critical level and triggers the abandonment of the fixed rate. A self-fulfilling crisis is triggered by an autonomous change in the beliefs of speculators. This paper demonstrates how these two types of crises generate different behaviour in the term structure in the period before the crisis. JEL Classification Numbers: E43, F31     

中美“宽松”货币政策、通胀预期与货币规则的探讨

2008年10月以来,中美两国均采取了不同程度的"宽松"货币政策来应对源于美国金融危机的全球经济衰退。本文的研究显示,2008年,中美两国货币供应量M1和M2增长率是相似的;2008年底到2009年8月,中国的M1和M2增长率分别为20.6%和21.4%,而美国的M1和M2增长率仅为3.36%和2.14%,中国的通胀预期是市场对"超级宽松"货币政策的合理反应。在过去的一年间,中国货币当局对美国金融危机的反应比美国的政策干预更为积极。而货币供应量的高增长孕育着价格上涨的风险,货币政策应当从被动协调美国的相机抉择转向遵循货币数量规则,抑制通胀预期,以实现宏观经济的稳定增长。     

Monetary operations by Hong Kong's Currency Board

Currency Boards are typically seen as demonstrating the advantages of rule-bound monetary policies with automatic responses to exchange market imbalances. We study the monetary operations conducted by Hong Kong's Currency Board, using daily data between September 1998 and December 2001. Since this regime is one-sided in that there is a commitment to sell, but not to buy, US dollars at a given rate, we estimate logit equations for dollar purchases. We show that these have shifted over time and that while the variables are statistically highly significant, the predictive power is low.     

Exchange-Rate Coordination for Surmounting the East Asian Currency Crises

This paper investigates the long-run pattern of private saving in Indonesia, Malaysia, Singapore and Thailand. These countries have not only maintained saving levels that are currently among the highest in the world, but have also experienced a sustained increase in their rate of private saving over the past twenty years. Using a cointegration approach, this paper empirically examines the economic determinants underlying the saving trends in this group and the extent to which these countries share a common experience with respect to the factors accounting for their strong saving performance. The findings suggest that demographic shifts and, to a somewhat lesser extent, rising per capita incomes have been important factors underlying regional saving trends, with broadly similar long-run impacts across countries. Limited evidence to support a significant and common relation between compulsory and total saving in Singapore and Malaysia is also found.     

Communication and Monetary Policy

Recent trends toward greater central bank independence and theadoption of formal inflation targeting by several countrieshave served to emphasize the importance of communication policy.In this paper, we explore some of the economic effects of publicinformation that arise whenever public information serves thedual role of conveying fundamental information as well as servingas a focal point for better coordination. More precise publicinformation is a double-edged tool. While it is very effectivein influencing actions through coordination, sometimes it canbe too effective, and coordinate actions away from fundamentals.     

Extreme Bounds Analysis in Early Warning Systems for Currency Crises

Open Economies Review - Selecting early warning indicators to predict currency crises is not straightforward, because there are several mechanisms that lead up to currency crises and these...     

货币危机对国际贸易的影响

本文在一般均衡框架下分析货币贬值对国际贸易的影响。与传统理论的预测不同,在一般均衡框架下,预期中的货币贬值对进出口只有短期影响,而意外的大幅度货币贬值会产生持久性冲击。通过应用引力方程对世界五十二个主要经济体1980～1998年间双边贸易额分析,我们发现,实证结果为理论预测提供了较好的支持。     

The Interactions between Fiscal Policy and Monetary Policy

This paper studies the interactions of fiscal policy and monetarypolicy when they stabilize a single economy against shocks ina dynamic setting. If both policy-makers are benevolent, then,in our model, the best outcome is achieved when monetary policydoes nearly all of the stabilization. If the monetary authoritiesare benevolent, but the fiscal authority discounts the future,or aims for an excessive level of output, then a Nash equilibriumwill result in large welfare losses: after an inflation shockthere will be excessively tight monetary policy, excessive fiscalexpansion, and a rapid accumulation of public debt. However,if, in these circumstances, there is a regime of fiscal leadership,then the outcome will be very nearly as good as when both policy-makersare benevolent. Footnotes ¹ E-mail addresses: t.kirsanova{at}exeter.ac.uk; jari.stehn{at}bnc.ox.ac.uk;david.vines{at}economics.oxford.ac.uk     

货币危机预警指标体系的构建及实证分析

本文首先阐述了建立货币危机预警指标体系的必要性与可行性;然后对国外货币危机预警研究进行了简单的介绍,并根据已有的研究成果以及指导原则构建了一套包括十个指标的预警指标体系;最后,利用这套预警指标体系对1997年的东亚7国以及1994年的墨西哥进行了实证分析,结果表明这套预警指标体系具有较好的预警能力。     

International Monetary Policy Spillovers

Open Economies Review - This paper explores for spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden,...