亞洲單一貨幣的中心匯率機制與貨幣危機預警模型之關聯性研究

The Study of Relationship between Central Rate of Asian Currency Unit and the Currency Crises Warning Model

蕭文宜(Wen-Yi Hsiao)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2004年)

https://doi.org/10.6840/cycu200400315

摘要

區域整合的課題自歐元之父（Robert Mundell）提倡之後，時至今日，歐盟的成立已經為歐洲共同體帶來諸多利益（如可以避免國與國之間匯率的不穩定、提高國際貿易量…等）；至今年（二００四年）五月一日又有十國加入歐盟，使歐盟自十五國增至二十五國，此舉再一次證明了區域整合的必要性，同時也證明了在歐盟地區實施單一貨幣之歐元優於在區內使用不同的貨幣。
亞洲各國近年來亦積極推動亞洲區域整合，由最近幾年活動頻繁的國際性組織，如東亞貨幣基金、東南亞國家協會、亞太經濟合作組織等運作，不難看出亞洲區域整合已初步達成共識；而歐元成功的實施，更讓單一貨幣亞元的支持者深具信心。
本研究以一九九二年三月二日，至二００三年九月三十日為期間，利用Panel Data的縱橫資料型態，採用Ordered Probit 與Ordered Logit 模型，針對各國貨幣兌換美元匯率及由單一貨幣化的ACU中心匯率兩種匯率對於貨幣危機所形成的門檻值，分別針對各匯率、門檻值與各模型下何者對於貨幣危機發生的關連性。
本研究的實證結果指出：在所有的門檻值中，顯示實施單一貨幣化的ACU匯率制度較各國兌換美國匯率下的制度可以減緩金融風暴發生的可能性。此外，物價上漲指數與實質利率在ACU中心匯率或是各國匯率下，除了對於貨幣危機具有預警的能力，其對於貨幣危機具有較強的邊際效應，對於政府在考量控制貨幣危機的策略時，具有參考價值。在門檻值的選取中，由各國匯率、利率與外匯存底於每季的變動率加權作為評估的基礎算出的投機性攻擊壓力指數（其權數比例依序為0.5、0.3、0.2）與由ACU匯率變動率與外匯存底的變動率加權作為評估的基礎算出的外匯壓力指數，皆可以將貨幣危機的波動性做有效的區分。

關鍵字

亞洲貨幣單一化、ACU ； Ordered Logit Model ； 亞元 ； Ordered Probit Model

並列摘要

ABSTRACT
After Robert Mundell advocatedregional integration, the establishment of Europe Union has brought lots of benefits (such as avoid from the unstable exchange rate between countries, arise the amount of international trade, and so on… ) to Europe. Ten countries also added to the Europe Union, which made its members from 15 to 25 in 2004. The result once again proved the necessarity of regional integration and also reaffaimed that using signal currency unit in an area is better than using different currencies within a domain.
Some international organizations, such as Association of Southeast Asian Nations (ASEAN), Asia Pacific Economic Cooperation (APEC), Asian Monetary Fund(AMF) and East Asian Monetary Fund, have had the same opinion about integrated economics; and , from the success of Europe currency unit, the supporters have much confidence that Asian currency unit can also be made.
This research adopted the period from 1992.3.2. to 2003.9.30, using Ordered Probit and Ordered Logit models to examine the relationship between different exchange rate, different thresholds and different models. The result is, under all the thresholds, using ACU central rate can reduce the probability of currency crisis in Asia comparing to exchange rate changes. Besides, inflation index and real interest rate can be the early warning indicators to currency crisis in the cases of ACU central rate and exchange rate; on the other hand, since these two variables have high marginal effects, they can also be valueable tools for policy makers when they think over the policy of controlling currency crisis. As to the thresholds, Speculative Pressure Index, which formed by exchange rate, interest rate and international reserves ( weights : 0.5、0.3、0.2 ) and another threshold, Exchange Rate Pressure Index, which formed by ACU rate and international reserves, both can well distinguish the volatility of currency crisis.

並列關鍵字

Asian Currency Unit ； Ordered Logit Model ； Ordered Probit Model

參考文獻

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