貨幣危機之成因

What are the Causes of Currency Crises?

蕭雅文(Ya Wen Hsiao)

指導教授 ： 洪惠專

國立中正大學/管理學院/經濟系國際經濟研究所/碩士(2014年)

摘要

在貨幣危機之成因的研究當中，對於為何會造成貨幣危機之議題，學者們各持不同的看法。本文藉由過去理論與實證的文獻，來整理並探討哪些因素較容易造成貨幣危機。
本研究資料包含51個國家，年限涵蓋過去的四十年，並利用Frankel and Rose (1996) 文獻所提到的貨幣危機定義方法來定義何謂貨幣危機。在迴歸模型方面，本文利用Probit 模型的邊際效果來了解應變數的變動對貨幣危機會有什麼樣的影響。
結果發現經常帳、油價通膨、通貨膨脹、外商直接投資存量、美國實質利率及外匯對於貨幣危機有顯著的影響。在上列的變數中，經常帳與美國實質利率的實證結果更加顯著。同時，新興國家本身就比工業化國家更容易遭受貨幣危機，而在匯率政體方面，當一國採用中間匯率制度，比起固定匯率制度與浮動匯率制度更容易遭受貨幣危機。

關鍵字

經常帳 ； 匯率 ； 貨幣危機

並列摘要

This paper investigates past currency crises to shed light on the causes of currency crises. Instead of testing a particular model, we aim to bring the leading theories and empirical literature together to sort out the economic variables that are most common and/or most important in causing a currency crisis.
We follow the method used in Frankel and Rose (1996) to identify currency crises in 51 countries over the past 40 years. We then run probit regressions to estimate the marginal effect of a list of economic and institutional variables on the probability of a currency crisis in those countries during the sample period.
Our regression results indicate that changes in the following variables significantly affect the probability of a currency crisis: the current account/GDP ratio, oil price inflation, inflation, inward FDI stock/GDP ratio, the real U.S. Interest Rate, the foreign exchange reserve/GDP ratio. Of which, the current account and the real U.S interest rate are most robust. In addition, we find that currency crises are more prone to occur in emerging economies than in advanced economies, and in an intermediate exchange rate regime than in either a fixed or flexible exchange rate regime.

並列關鍵字

Exchange rate ； Current account ； Currency crisis

參考文獻

Hung, J. H., and Y. J. Kim (2006), “Implications of Past currency crises for the U.S. current account adjustment,” Congressional Budget Office Working Paper, No. 2006-07.

Calvo, G. A., and E. G. Mendoza (1996), “Mexico’s Balance-of-Payments Crisis: A Chronicle of a Death Foretold,” Journal of International Economics, Vol. 41, No. 3, pp.235-264.

Chang, R., and A. Velasco (1998), “Financial Crises in Emerging Markets: A Canonical Model,” NBER Working Paper No. 6606. Cambridge, MA.

Chang, R., and A. Velasco (2001), “A Model of Financial Crises in Emerging Markets,” Quarterly Journal of Economics, Vol. 116, No. 2, pp.489-517.

Chinn, M. D., and H. Ito (2008), “A New Measure of Financial Openness,” Journal of Comparative Policy Analysis, Volume 10, Issue 3, pp. 309 – 322.