货币危机预警理论与模型综述

货币危机预警与投机性货币冲击理论的发展密切相关。货币危机预警的主要目的是及早识别危机发生的信号,以使该国能够及时采取适当的措施,减少危机发生的概率,乃至避免危机的发生。或者减少危机发生的强度和烈度。本文主要对近期货币危机预警模型或较新的若干预警模型进行梳理和评价。     

货币危机预警理论与模型综述

货币危机预警与投机性货币冲击理论的发展密切相关。货币危机预警的主要目的是提早识别危机发生的信号,以便该国能够及时采取适当的措施,减少危机发生的概率,进而避免危机的发生,或者减少危机发生的强度和烈度。本文对近期货币危机主要预警模型或较新的若干预警模型进行较为详细的梳理和评价。     

面对货币冲击：中央银行的对策：国际清算银行对货币冲击的分析与研究

面对货币冲击：中央银行的对策———国际清算银行对货币冲击的分析与研究周朔编者按本文拟介绍国际清算银行关于货币危机机理和中央银行对策方面的一些最新研究成果，其重点并非介绍东南亚货币危机的具体过程，而是力图从中央银行的角度，考察货币冲击的产生原因、引发诱...     

培育投机性货币需求:提高我国货币政策效果的重要一环

凯恩斯的货币需求与货币供给有关，所以只有买卖国债，而不是其他金融资产才影响投机性货币需求，这是凯恩斯货币需求公式不提其他金融资产的关键所在。弗里德曼的货币需求不涉及其实现的方式，所以，他的货币需求函数可以囊括所有的金融资产。因为货币政策要通过投机性货币需求作用于利率，才能影响国民收入，这就是说，增加公众的因债持有，培育投机性货币需求，是提高我国货币政策效果的重要方面。     

货币危机理论及其最新发展——基于国际资本流动逆转的理论分析框架

布雷顿森林体系崩溃后,国际社会再次进入了汇率制度混乱和货币市场动荡不安的时代,货币危机多次爆发,学者们围绕货币危机发生的内在机制逐渐形成和发展了三代货币危机理论,但这些理论对当前因国际资本流动逆转所引起的货币危机缺乏解释力。国际资本的流入和杠杆系数都应有一个合理范围。若超此范围,固定汇率制的国家可能发生严重的通货膨胀;一旦外资大规模撤离,就可能发生货币危机。     

对东南亚货币冲击的分析

对东南亚货币冲击的分析王沅朱隽今年５月以来，泰国由于经济长期失衡，在国际金融市场投机力量的冲击下，爆发了货币危机。泰国货币铢一贬再贬，迫使泰国中央银行于７月２日宣布放弃自１９８４年以来一直实施的泰铢对美元的钉住汇率制度，实行有管理的浮动汇率。受其影响...     

金融全球化背景下国际货币关系的调整

本文从当代国际金融危机大都有表现为货币危机的事实，指出了金融全球化背景下国际机构投机者对国际货币关系的冲击与挑战，分析了国际货币体系的演变与现行国际货币制度的缺陷，提出了在四个方面改革国际货币体系的思路。     

从“最适度货币区”理论欧元走势

60年代初，世界经济仍由布雷顿森林体系主导着，而此时关于浮动汇率与固定汇率的争论业已展开。IMF特别研究处的经济学家罗伯特．蒙代尔（Robert Mundell)便于这时最早提出了“最适度货币区理论”，并以“区域性的固定汇率制”作为该理论的基本思想。具体来说：一些彼此间商品、劳动力和资本等生产要素流动比较自由，经济发展水平和通货膨胀率比较接近，经济政策较为协调和通货膨胀率比较接近，经济政策较为协调的国家组成货币区域或货币集团，即“最适度货币区”，区域内使用共同的货币或采用固定汇率制，区域间实行浮动汇率制，从而有利于区域内各国的内部均衡（充分就业、物价稳定）和外部均衡（国际收支平衡）。     

国际货币体系缺陷、东亚困境及中国对策

二战以来,国际货币体系的缺陷一直未能得到较好的解决,中国等东亚国家面临"货币错配"和"美德两难"困境.目前,国际货币体系多极化趋势日趋明显,但仍存在一定的困难和不确定性,美元在后次贷危机时代依然占有重要地位.当务之急,中国政府应主导区域货币合作,构筑人民币结算圈,坚守资本管制底线,坚持可信的固定汇率制,掌控战略资源,对冲汇率风险.     

“新货币共识”评析

在次级债危机发生后,＂新货币共识＂受到严重冲击。文章首先分析了＂新货币共识＂的主要特点,其次概括了＂新货币共识＂的主要内容,最后指出了＂新货币共识＂存在的问题和今后货币政策理论研究的发展趋势。     

Empirics of currency crises: A duration analysis approach

This paper empirically analyzes the origins of currency crises for a group of OECD economies from 1970 through 1998. We apply duration analysis to examine how the probability of a currency crisis depends on the length of non‐crisis periods, contagion channels, and macroeconomic fundamentals. Our findings confirm the negative duration dependence of a currency crisis—the likelihood of speculative attack sharply increases at the beginning of non‐crisis periods and then declines over time until it abruptly rises again. The results also indicate the hazard of a crisis increase with high values of the volatility of unemployment rates, inflation rates, contagion factors—which mostly work through trade channels, unemployment rates, real effective exchange rate, trade openness, and size of economy. To address concerns regarding validity of the identified crisis episodes, we exploit crisis episodes that are identified by a more objective approach based on the extreme value theory. Our results are robust under various specifications including two different crisis event sets that are identified on monthly and quarterly basis.     

Rate of return parity and currency crises in experimental asset markets

This paper explores the impact of exchange rate uncertainty on the predictive power of rate of return parity in a laboratory environment, extending the work of Fisher and Kelly [Fisher, E.O., Kelly, F.S., 2000. Experimental foreign exchange markets. Pacific Economic Review 5, 365–388] and Childs and Mestelman [Childs, J., Mestelman, S., 2006. Rate of return parity in experimental asset markets. Review of International Economics 14, 331–347]. While these works use unchanging exchange rates, this paper allows for a change in the exchange rate between laboratory currencies. The data indicate rate of return parity is weakened by the potential for a currency crisis. The results also indicate that currency crises can be caused by self-fulfilling prophecies and that the level of reserves with which a fixed exchange rate is defended impacts the timing of a crisis but does not significantly change the likelihood of a currency crisis.     

EMPIRICAL ANALYSIS OF SPECULATIVE ATTACKS WITH CONTRACTIONARY REAL EFFECTS

The effects of a currency crisis on a country's economy depend on nonlinear relations among several variables that characterize the economic, financial, legal and socio‐political structure of the country at the onset of the crisis. Those effects can be associated with contractions or expansions in output. Historically, contractionary speculative attacks are more frequent. This paper uses a parametric censored heteroscedastic TOBIT model to empirically analyse how different economic and financial variables determine the real effects of a contractionary speculative attack. Variables describing the banking sector, the international trade, the severity of the crisis and foreign interest rates are found to be significant in explaining the size of currency crises' contractionary real effects. The TOBIT's results are compared with alternative modelling strategies. Copyright © 2012 John Wiley & Sons, Ltd.     

Defending against speculative attacks – It is risky,but it can pay off

While currency crises are typically considered to be painful and costly events, a closer look reveals that economic developments after a speculative attack differ considerably. Monetary authorities can play a central role in determining the economic course and costs of currency crises. They have to decide whether to defend or not to defend the domestic currency giving rise to three different types of crises: (i) an immediate depreciation if the central bank does not intervene and either (ii) a successful defense or (iii) an unsuccessful defense in the case of an intervention. We find that a central bank has two options to mitigate the costs of speculative attacks, namely an immediate depreciation and a successful defense. If a central bank intervenes she might be able to stabilize the exchange rate only temporarily and risks to ultimately fail facing the worst of the three scenarios with the highest economic costs.     

Uncertainty and currency crises: Evidence from survey data

How does uncertainty about fundamentals affect speculation in the foreign exchange markets? This paper studies empirically the role of uncertainty in currency crises. Uncertainty, which is measured using the dispersion of survey forecasts of key macroeconomic variables, is found to have a non-monotonic effect on exchange rate pressures: it heightens speculative pressures when expected fundamentals are good and eases them when they are bad. This prediction is consistent with a broad class of currency crisis theories, ranging from first-generation to global-game models. The proposed empirical strategy remains valid in the presence of forecasters with strategic objectives and addresses potential endogeneity bias by building a novel set of instrumental variables.     

To intervene,or not to intervene: Monetary policy and the costs of currency crises

In case of speculative attacks, the central banks' decisions to intervene or not to intervene seem to play an important role for the economic costs of currency crises. The central bank can either abstain from intervening or start an intervention, which in turn can be successful or unsuccessful. Therefore, an adequate analysis of the costs of currency crises has to take into account three different types of currency crises: (i) an immediate depreciation without any central bank interventions, (ii) a successful defense, and (iii) an unsuccessful attempt to defend the exchange rate. We find that the decision of the central bank to intervene or to remain passive is risky. If the central bank intervenes and succeeds she can achieve the best growth performance on average. However, if the interventions are not maintained and the currency depreciates the subsequent output loss is particularly severe. Abstaining from an intervention yields a scenario with a relatively small drop in output. Giving in to a speculative attack rather than trying to fight it can thus be a suitable option for a risk-averse central bank.     

Behind the scenes of abandoning a fixed exchange rate regime

This paper explores the process of abandoning a fixed exchange rate regime during sudden stops in a small open economy. The Bank of Korea’s exchange rate policy reports during the East Asian crisis suggest that its fixed exchange rate regime was forced to collapse due to the depletion of usable foreign reserves, which resulted from the credit policy of the Korean central bank to support domestic banks in need of foreign currency liquidity. To capture the Korean crisis experience, I build a quantitative small open economy model in which, in response to the country risk premium shock, the foreign-currency credit policy of a central bank under fixed regime leads to the exhaustion of international reserves and consequent exchange rate regime shift. This model does well at replicating the observed contraction in Korean aggregate variables.     

Economic costs of alternative monetary policy responses to speculative currency attacks

The outcome of a speculative attack on the foreign exchange rate can be classified into three cases: (i) immediate depreciation of the nominal exchange rate, (ii) successful defense, or (iii) failed defense. This paper explores which of these outcomes yields the lowest cost in terms of output and unemployment in the short and medium run. Ex-ante the outcome of a speculative attack is uncertain, therefore the appropriate response of monetary authorities to a speculative attack depends on the cost of an immediate depreciation compared with that of the expected outcome of a currency defense. Our empirical analysis focuses on a sample of 73 emerging and developing countries over the 1960–2011 period. Our results indicate that an immediate depreciation is the policy response that is associated with a lower expected output loss and unemployment in the short run and it tends to be expansionary in the medium run. A defense, if successful, entails insignificant costs in the short run but, unlike an immediate depreciation, a successful defense is not expansionary in the medium run. If a defense fails, large output losses and an increase in unemployment ensue, at least in the short run.     

Exchange rate exposure and the use of foreign currency derivatives in the Australian resources sector

In this paper, we provide a re-examination of the exchange rate exposure and foreign currency derivative use by Australian resources firms in the 2006–2009 period which is characterized by increased volatility caused by the global financial crisis. In particular, we consider the interaction of a resources firm's exchange rate risk exposures, foreign currency derivative use and the global financial crisis simultaneously. Conforming to expectations, our results indicate that more companies are significantly exposed to exchange rate risk since the onset of the financial crisis. However, there is a lack of evidence that the use of foreign currency derivative is more effective in alleviating exchange rate exposures during the crisis as opposed to the pre-crisis period.     

Speculative attacks in a two-peg model

We present a two-country model of speculative attacks where the two countries peg their currency to the U.S. dollar and a continuum of investors can either attack or defend one or the two pegs. The main objective of the paper is to show how extending a single-peg model of speculative attacks with the presence of a second country pegging its currency changes the range of parameters for which a currency is attacked. The model suggests that the presence of another country fixing its exchange rate changes dramatically the range of parameters for which a currency is attacked or defended. For example, the model indicates that a peg with a relatively high probability of collapse could survive if the other peg is not very likely to be abandoned, so investors prefer instead to defend the second peg. Finally, under complete information, when the level of fundamentals in both economies is neither weak nor strong the stronger peg may collapse while the weaker peg may survive, so in principle any peg could be successfully attacked.