亞洲單一貨幣與雙元危機之關聯性分析

The Study of Relationship between Asian Currency Unification and Twin Crisis

李赫哲(He-Jhe Li)

指導教授 ： 陳若暉

中原大學/商學院/企業管理學系/碩士(2007年)

https://doi.org/10.6840/cycu200700228

摘要

在羅馬條約 (Rome Treaty) 在1958年簽訂後，歐洲共同體 (European Community) 致力於區域經濟整合與單一貨幣的建制。歐盟的成立著力於降低貿易成本與排除貿易障礙，以增進區域利益。亞洲以政經整合為目標的組織則包括東南亞國協 (ASEAN)，亞太經濟合作會 (APEC) 和亞洲貨幣基金 (AMF) 。 有鑑於歐元的成功，區域整合能為亞洲單一貨幣 (ACU) 的建制帶來更多的信心。
本研究選取了亞洲十種貨幣，以1992年3月至2006年11月為研究期間，採用 bivariate probit 和 simultaneous equation probit 模型，對於各國兌美金匯率以及亞洲單一貨幣製作出兩套外匯壓力指數，再分別搭配各國銀行脆弱性指標，分析經濟因素與雙元危機之間的關係。
本研究的實證結果指出，股票指數對於銀行危機的發生機率最具顯著性，而工業生產指數則是對於貨幣危機發生機率具顯著性。在模型的預測準確率估算，發現將銀行危機與貨幣危機互相代入simultaneous equation probit 模型中，無論在各國匯率與中心匯率兩套系統中都可獲得預測準確率的上升。實證結果指出，貨幣危機對於銀行危機發生機率有重大的影響力，而銀行危機對於貨幣危機的發生機率卻無顯著重大的影響力。而臺灣和馬來西亞則證實有發生雙元危機。最後，採用中心匯率會使危機預測準確率上升，證明亞洲單一貨幣匯率機制對於研究雙元危機的影響因素幫助很大。

關鍵字

亞洲單一貨幣 ； Bivariate Probit模型 ； 區域整合 ； 雙元危機 ； Simultaneous Probit模型

並列摘要

To form regional integration, European Community (EC) was established by Rome Treaty in 1958 in attempts to create a single currency. Moreover, the goals of EC were to reduce the trade costs and diminished barriers of taxation in order to increase profit.
For integration of political and economic purposes in Asia, there were many organizations or forums such as Association of Southeast Asian (ASEAN), Asia Pacific Economic Cooperation (APEC) and Asian Monetary Fund (AMF). In light of the successful of issue EURO, regional integration could provide confidence for Asian countries to build up the Asian Currency Unit (ACU).
This study uses bivariate and simultaneously equation probit models and selects ten Asian currencies from March 1992 to November 2006. The specific-country exchange rate and ACU central exchange rate regimes were used to build two foreign exchange rate pressure indexes. This paper analyzed the relationship between twin crisis measured by both pressure indexes and a banking fragility index, and macroeconomics variables.
The empirical results show that stock index has significant impact on the probability of banking crisis, and industrial production index is likely to influence currency crisis. In simultaneously equation probit model, specific and central exchange system and a banking fragility index are endogenous variables that are jointly determined and increase predicted accuracy. The results showed that currency crisis was significantly more likely to have positive influence on banking crisis occurrence. However, banking crisis was not significant positive influence on currency crisis. Overall, the findings seem to suggest that economies of Taiwan and Malaysia are heavily influenced by twin crisis. Furthermore, central exchange rate regime adopted by countries were more likely to increases the crisis predicted accuracy, possibly suggesting ACU would be very useful measurement to investigate the influence of the twin crisis.

並列關鍵字

Simultaneous Probit Model ； Regional Integration ； Twin Crisis ； Bivariate Probit Model ； ACU

參考文獻

Agenor, P-R., J. S. Bhandari, and R. P. Flood, 1992, “Speculative Attacks and Models of Balance of Payments Crises,” IMF Staff Papers, Vol. 39, pp. 257-294.

Aggarwal, R., and M. Mougoue, 1996, “Cointegration among Asian Currencies: Evidence of the Increasing Influence of the Japanese Yen,” Japan and the World Economy, Vol. 8(3), 291-308.

Alexander, W. E., 1998, “Leading Indicators of Banking Crises: Was Asia Different?” IMF Working Paper, No. 91.

Berg, A., and C. Pattillo, 1999b, “Are Currency Crises Predictable? A Test,” IMF Staff Papers, Vol. 46(2), pp. 107-138.

Chen, Jo-Hui, Wang Jun-Shan, and Lin Wun-Ling, 2001, “Evaluating the Economic Criteria of Asian Single Currency: Empirical Testing for Panel Data,” Asia-Pacific Economic and Management Review, Vol. 4(2), pp. 47-64.