Implications of Economic Openness for Financial Crises

經濟開放性對於金融危機之意涵

黃俞寧(Yu-Ning Hwang) ； 楊馥珉(Fu-Min Yang)

《社會科學論叢》 4卷1期 (2010/04) Pp. 51-73

https://doi.org/10.30401/RSS.201004_4(1).0003

摘要

自2007年起，肇因於美國的次級房貸風暴，透過國際金融市場迅速擴散到全球，使得世界各國重新檢視貿易全球化之利弊。本文籍由一小型開放經濟體系之動態一般均衡(dynamic stochastic general equilibrium, DSGE)模型，探討在一開放經濟體系下，匯率彈性與經濟開放程度與信用市場失靈而致之金融危機之間的關係。為探討信用市場，我們在模型中引入銀行部門，籍以刻劃銀行體系對於審慎監瞥放款之缺乏，亦即歷年金融風暴乃至次級房貸風暴之共同成因；並籍由模擬校準(calibration)，對此議題進行數值化的分析。模擬結果顯示，對於銀行放款生產力的衝擊將使本國債券利率上升，進而造成本國貨幣升值，產出下降。此外，匯率的波動將擴大金融風暴對於實質部門的負面影響，且其影響力會隨著經濟开放程度增加而上升。

關鍵字

金融風暴 ； 彈性匯率 ； 經濟開放性 ； 信用傳遞機制

並列摘要

The objective of this study is to examine how exchange rate flexibility and economic openness influence the transmission of financial shock in the credit market. To illustrate the failure of cautious monitoring for loans (the common cause of historical financial crises as well as the 2007 subprime crisis that spread rapidly through globalization), we perform a quantitative examination by calibration a dynamic stochastic general equilibrium (DSGE) model with costly loan-making in a small open economy. The numerical results show that the shock to the bank’s productivity in the loan-making drives up the home bond rate, which causes the home currency to appreciate, thereby reducing production. In summary, the floating exchange rate amplifies the adverse effect of financial shock on the real sector, and its influence rises with the degree of openness.

並列關鍵字

Credit Channel ； External Financial Premium ； Flexible Exchange Rate ； Financial Crisis