一种新的货币危机识别方法及对中国的实证研究

发布时间：2018-06-25 04:57

本文选题：货币危机 + 外汇市场压力指数　；参考：《中国软科学》2010年11期

【摘要】：识别问题是货币危机研究的基础,文献通常构建外汇市场压力指数,通过确定其临界值进行识别。传统法需假定该指数服从正态分布;近年出现的选阈识别法混淆了统计意义上的极值和经济意义的危机,因而都无法准确识别危机。本文将货币危机视为外汇市场的极值事件,提出了一种新的基于重现水平的货币危机识别法,有效放松了传统法的分布假设,并涵盖其为特例。对1994年1月至2007年6月中国外汇市场的实证结果表明:新方法对不同参考货币和外汇市场压力指数的一致性更强;期间共识别出3次货币危机或至少外汇市场承受巨大压力的时期;05年7月汇改后中国未出现重大外汇市场压力;以美元作为参考货币的传统法和选阈法在中国完全失效。
[Abstract]:The identification problem is the basis of the research on the currency crisis. The literature usually constructs the foreign exchange market pressure index and identifies its critical value. The traditional method should assume that the index obeys the normal distribution, and the threshold recognition method in recent years confuses the crisis of the extreme value and the economic significance in the statistical significance, thus the crisis can not be identified accurately. Considering the currency crisis as the extreme event of the foreign exchange market, a new recognition method based on the recurrence level is proposed, which effectively relaxes the distribution hypothesis of traditional law and covers it as a special case. The empirical results of the Chinese foreign exchange market from January 1994 to June 2007 show that the new method is under the pressure of different reference currencies and foreign exchange markets. The consistency of the number is stronger; during the period of 3 currency crises or at least the foreign exchange market is under great pressure, there is no major foreign exchange market pressure on China after the remittance in July of 05, and the traditional law and threshold method of the dollar as the reference currency are completely ineffective in China.
【作者单位】：上海交通大学安泰经济与管理学院;北京航空航天大学经济管理学院;
【基金】：国家自然科学基金青年基金(批准号:71001070),国家自然科学基金重点项目(批准号:70531010),国家自然科学基金创新研究群体科学基金(批准号:70821061),国家自然科学基金青年基金(批准号:70901003)
【分类号】：F820

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