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.     

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.     

Fiscal Uncertainty and Currency Crises

Fiscal deficits have been put forward as the main factor in the occurrence of currency crises by the first‐generation currency crisis models. While most papers within this framework consider a fiscal deficit that occurs with certainty, in reality an increase in the government's fiscal burden may be an uncertain outcome. This paper introduces a model where there is uncertainty about the occurrence of a fiscal deficit for a finite number of periods, and studies the effects of such uncertainty on the evolution of currency crises. If the fiscal deficit materializes, the government has to abandon the fixed exchange rate regime, as in the standard case. However, the paper shows that the peg becomes unsustainable even if the fiscal deficit never materializes. Therefore, a speculative attack occurs and the fixed exchange rate regime collapses with the mere possibility of a deficit, independently of whether this outcome actually occurs or not.     

Fiscal Uncertainty and Currency Crises

Fiscal deficits have been put forward as the main factor in the occurrence of currency crises by the first‐generation currency crisis models. While most papers within this framework consider a fiscal deficit that occurs with certainty, in reality an increase in the government's fiscal burden may be an uncertain outcome. This paper introduces a model where there is uncertainty about the occurrence of a fiscal deficit for a finite number of periods, and studies the effects of such uncertainty on the evolution of currency crises. If the fiscal deficit materializes, the government has to abandon the fixed exchange rate regime, as in the standard case. However, the paper shows that the peg becomes unsustainable even if the fiscal deficit never materializes. Therefore, a speculative attack occurs and the fixed exchange rate regime collapses with the mere possibility of a deficit, independently of whether this outcome actually occurs or not.     

货币危机对产出的影响--一个货币危机的综合模型

不同的货币危机对经济产出水平有不同的影响,文章主要研究货币危机与产出水平之间的关系.文章构造了一个由IPLM曲线和总产出曲线构成的汇率-产出模型,揭示了三代货币危机模型的内在关联性.在这个简单的货币危机综合模型中,第一代货币危机模型和第二代货币危机模型被作为第三代货币危机模型的特例,从而把三代货币危机模型统一起来,解释了不同货币危机对产出水平的不同影响.     

Private and Public Information in Self-fulfilling Currency Crises

Received November 9, 2000; revised version received July 24, 2001     

防治货币危机的政策措施

本文对预防与应对货币危机的各种政策措施进行探讨。货币危机发生的原因是多方面的 ,其对经济的发展具有诸多不利的影响。要预防货币危机 ,良好的经济基础是根本的保障 ,市场参与者的信心同样是重要的。应急性政策措施必须与基础性政策措施相结合 ,才能消除危机。     

Self-fulfilling Currency Crises and Central Bank Independence

We develop a model of a fixed exchange rate peg arrangement derived from the Barro–Gordon model of rules versus discretion. It is shown that the fixed peg is vulnerable to self-fulfilling currency crises in which the unemployment rate increases, the credibility of the rule decreases, but, paradoxically, the reputation of the policy-maker improves. Delegating monetary policy to an independent central banker does not prevent this type of crisis from arising, and can even make it more costly.
JEL Classification: F 3; F 4     

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。     

A Fiscal Theory of Currency Crises

An exchange rate crisis is caused when the fiscal authority lets the present value of primary surpluses, inclusive of seigniorage, deviate from the value of government debt at the pegged exchange rate. In the absence of long-term government bonds, the exchange rate collapse must be instantaneous. With long-term government bonds, the collapse can be delayed at the discretion of the monetary authority. Fiscal policy is responsible for the inevitability of a crisis, while monetary policy determines its characteristics, that is, the timing of the crisis and the magnitude of exchange rate depreciation.     

货币危机传染理论评析

本文首先界定了货币危机传染及其经济表象 ,然后比较分析了各种货币危机传染模型。而根据众多的实证研究结论 ,也可以证明货币危机传染理论模型的有效性。     

Empirical Indicators of Currency Crises in East Asia

The paper is concerned with identifying useful indicators of the probability of currency crises in Indonesia, Malaysia, the Philippines, South Korea and Thailand over a period of 22 years, where a currency crisis is defined as a large and infrequent devaluation of a local currency. The leading crisis indicators include international and domestic factors; but they are dominated by the leading indicators from the financial sector, such as the ratio of short-term debt to foreign reserves, the ratio of M2 to foreign reserves, and the indicator representing a regional contagion effect. This result is interpreted as pointing to external illiquidity together with adverse shifts in the market sentiment as the likely catalyst for the 1997–98 East Asia crisis.     

Capital Controls,Public Debt and Currency Crises

This paper examines the possibility that, contrary to conventional wisdom, capital controls accelerate currency crises. Theoretical analysis shows that capital controls can constitute an additional burden on government budget and so bring forward the onset of crises. Since perfect capital mobility does not occur, domestic interest rates may deviate from world interest rates. High interest rates under capital controls create an additional cost of servicing outstanding domestic public debt, precipitating crises. Even though the government can delay crises with capital controls, welfare may be less than in a situation with perfect capital mobility.     

货币危机传染的投资组合模型

传染是近10年货币危机中的一个常见现象。通过构造具有多种风险资产的投资组合模型,可解释造成货币危机传染的多种原因;共同冲击、期望收益率变化、不确定性的增加、风险厌恶程度的变化以及资本损失等,都可以通过影响国际投资者的投资组合而造成货币危机的传染。     

Currency Crises, Monetary Policy and Corporate Balance Sheets

Abstract. This paper studies how the exposure of a country's corporate sector to interest rate and exchange rate changes affects the probability of a currency crisis. To analyze this question, we present a model that defines currency crises as situations in which the costs of maintaining a fixed exchange rate exceed the costs of abandonment. The results show that a higher exposure to interest rate changes increases the probability of crisis through an increased need for output loss compensation and an increased efficacy of monetary policy in stimulating output. A higher exposure to exchange rate changes also increases the need for output loss compensation. However, it lowers the efficacy of monetary policy in stimulating output through the adverse balance sheet effects of exchange rate depreciation. As a result, its effect on the probability of crisis is ambiguous.     

理性政府下的货币危机及其传染

在理性政府的假设下，货币危机均衡具有多重性、唯一性以及传染性。在货币投机攻击成本和收益固定的模型中，经济基本面处于危机区时，基本面的不确定性并不能消除多重均衡；当货币投机攻击成本和收益都与经济基本面相关时，不管是静态模型还是动态模型，货币危机的均衡都是唯一的。而当其他国家的货币贬值时，本国维持固定汇率的收益和放弃固定汇率的信誉损失均下降，致使本国政府倾向于放弃固定汇率。     

香港货币局制度理论综述

货币局制度在香港实施20多年来基本上运行平稳。但经历过亚洲金融危机和阿根廷经济危机后，对于香港货币局制度出现了较大的争论。本文对近年来理论界对货币局的理论作了一个归纳，对其主要理论从利、弊和改进方案三个方面进行介绍，并对其进行分析，以期为更深层的研究提供支持。     

Crises and the International System

This paper reviews the recent experience of financial crises since 2007, including the continuing crisis in the euro zone. I seek to answer three main questions: In what respects (if any) is the recent experience of crises novel? How special is the euro crisis? And what changes in the international financial architecture can reduce the chances of future crises?     

Monetary Policy in the Aftermath of Currency Crises: The Case of Asia

The paper evaluates monetary policy and its relationship with the exchange rate in the five Asian crisis countries. The findings are compared with previous currency crises in recent history. It is found that there is no evidence of overly tight monetary policy in the Asian crisis countries in 1997 and early 1998. There is also no evidence that high interest rates led to weaker exchange rates. The usual tradeoff between inflation and output when raising interest rates suggested the need for a softer monetary policy in the crisis countries to combat recession. However, in some countries, corporate balance sheet considerations suggested the need to reverse overly depreciated currencies through firmer monetary policy.