新兴市场国家货币危机的形成、演变和预警——基于二元分类模型的实证研究

发布时间：2018-01-03 19:28

本文关键词：新兴市场国家货币危机的形成、演变和预警——基于二元分类模型的实证研究　出处：《金融研究》2012年12期 　论文类型：期刊论文

【摘要】：大量金融危机推动了很多理论创新来分析不同投机冲击的原因,但实证文献中具有"普适性"的模型仅能解释当前危机,却无法有效验证下次危机。本文通过研究新兴市场国家近40年的货币危机后发现:(1)货币危机属于不同类型,本文划分为三类:政策失衡类危机、金融过度类危机、外部债务及突然停止类危机;(2)货币危机由多种脆弱性因素共同引发,各类危机的预警指标组合及阈值不尽相同,发生概率不同;(3)第一类危机以货币贬值为代表,第二、三类危机以货币升值为代表,且均与信贷扩张相关,表明这些危机的起源很相似,也表明实际货币升值和国内信贷扩张是有效预测金融危机的最重要指标;(4)当资本市场过度杠杆化时,易引发货币危机;(5)第三类危机占总样本的21.69%,说明此类危机也普遍性很高。本文也给出了识别各类危机的关键指标及阈值组合,并对中国1994～2011年数据实证分析后发现:货币危机发生的概率较低,但近期仍应重点防范"金融过度"危机。
[Abstract]:A large number of financial crises have promoted many theoretical innovations to analyze the causes of different speculative shocks, but the model with "universality" in empirical literature can only explain the current crisis. By studying the currency crisis in emerging market countries for nearly 40 years, we find that the currency crisis belongs to different types, and this paper is divided into three categories: policy imbalance crisis. Excessive financial crisis, external debt and sudden cessation of such crises; (2) currency crisis is caused by a variety of vulnerability factors. The combination and threshold of early-warning indexes are different, and the probability of occurrence is different. (3) the first type of crisis is represented by currency depreciation, and the second, three kinds of crises are represented by currency appreciation, which are all related to credit expansion, indicating that the origin of these crises is very similar. It also shows that real currency appreciation and domestic credit expansion are the most important indicators to effectively predict financial crisis. (4) when the capital market is over-leveraged, it is easy to cause currency crisis; 5) the third type of crisis accounts for 21.69% of the total sample, indicating that this kind of crisis is also very common. This paper also gives the key indicators and threshold combination to identify various kinds of crises. It is found that the probability of currency crisis is low, but in the near future, we should focus on the prevention of "financial excessive" crisis.
【作者单位】：南开大学经济学院;
【基金】：国家社会科学基金重点项目“实现经济金融平稳发展的应对国际金融风险对策研究”(08AJY021);国家社会科学基金重大项目“中国金融监管制度优化设计研究”(09&ZD037)资助
【分类号】：F821;F224
【正文快照】： 一、引言20世纪70年代至今，发达国家和新兴市场国家经历了一系列金融危机，国内外学者对其进行了大量的理论研究。但由于各时期危机诱因不尽相同，，对金融危机成因的理论分析随时代变迁也可分为三代。其中第一代危机模型重点关注固定和盯住汇率制度与扩张性经济政策间的矛盾

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