中華單一貨幣與金融危機之關連分析

An Analysis of Relationship between Chinese Currency Unit and Financial Crisis

許士峰(Shih-Feng Hsu)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2009年)

https://doi.org/10.6840/cycu200901065

摘要

本研究採用ordered probit及ordered logit模型，研究中華貨幣單一化及貨幣危機的關係。研究導入早期預警系統(EWS)及重要經濟變數，探討何種EWS預測效力最佳及重要影響變數。研究顯示，實質匯率及物價指數變動在ordered probit模型下與貨幣危機呈顯著相關，而在ordered logit模型下則以實質匯率及消費者物價指數變動表現最佳。在觀察邊際效果之後，可以發現華元區域需維持較高的實質利率以吸引資金流入並抵抗投機性攻擊行為。除Edison模型之外，在ERW及KLR模型中顯示，在積極促進經濟成長的同時必須振興股市變動以避免過熱才能有效降低貨幣危機發生的可能性。在預測能力的比較上，CCU中心匯率在ordered probit模型下擁有較高的預測正確度，另外在門檻值Y=1的檢定上，CCU中心匯率也同樣擁有較佳的表現。結果顯示，採用CCU中心匯率能有效預測並降低貨幣危機發生的可能性。

關鍵字

中華單一貨幣 ； 早期預警系統 ； 貨幣危機 ； 區域整合

並列摘要

This study deals with the currency crisis and Chinese currency unification (CCU) using ordered probit model and ordered logit model to compare the accuracy of three different early warning systems (EWS) and analyze key factors. The empirical results show that real exchange rate and CPI change are the most significant variables in ordered probit model, while real exchange rate and CPI change performed significant effect to currency crisis in ordered logit model. Real interest rate is significant in influencing currency crisis occurrence revealing a greater marginal effect in CCU regime. It represents that CCU members should maintain a higher real interest rate to attack capital inflow and defense speculative attack. By excluding Edison method, policy maker should stimulate stock market to avoid overheating and stabilize GDP growth to alleviate crisis impact on CCU regime by observing marginal effect. Generally speaking, the predicting accuracy of CCU regime is higher than specific exchange rate in ordered probit model. The reliability of threshold Y=1 also represents that CCU regime is an affordable economic system for defencing currency crisis.

並列關鍵字

CCU ； Early Warning System ； Currency Crisis ； Regional Integration

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