新兴市场货币危机理论、经验与治理

【作者】 徐亮；

【导师】 冯用富；

【作者基本信息】 西南财经大学 ， 金融学， 2006， 硕士

【摘要】 一、研究背景:长期以来,世界经济不时受到货币危机的困扰。特别是发生在新兴市场中的货币危机,给发展中国家的经济带来很大的破坏,造成经济增长停滞,或负增长;国际储备急剧减少;本币大幅贬值;银行等金融机构大量倒闭。货币危机的不断爆发引起了经济学家和政策制订者的极大关注,而1997年的亚洲金融危机进一步刺激了这方面的研究,使得货币危机理论成为国际经济学中最受关注的地热点之一。货币危机理论是一个浩大的研究领域,本文的研究将主要集中于以下问题。在新兴市场中的公司通常面临资本和信用约束,尤其当货币危机发生时,外部资本流入突然逆转,问题会更加严重。那么,本国的货币政策能抵消这种外部信用的紧缩吗?一种观点从成熟经济体的标准信用渠道理论推断,认为应该采取扩张的货币政策;而另一种观点认为,应该采取紧缩的货币政策和坚守固定汇率。究竟哪种方法更优,则需要理解货币政策影响资本流入逆转的机制和后果。本文通过引入Caballero和Krishnamurthy2004年发展起来的“信用渠道和保险动机模型”来分析货币危机中货币政策抵补外部资本紧缩的机制,从而回答上述问题,并对新兴市场国家采取正确的货币政策防范货币危机提出政策建议,最后总结治理货币危机的经验。二、研究的主要内容:第一章总结了货币危机的理论文献,并对其进行评述。第一节回顾了货币危机理论,其理论主要有:国际收支危机模型、金融危机的多重均衡模型、金融危机的道德风险模型、银行挤兑和流动性危机模型以及羊群行为理论。第二节评述货币危机理论发展的内在逻辑和发展方向。第二章使用Caballero和Krishnamurthy2004年提出的“信用渠道和保险动机模型”解释了在新兴市场货币危机中,货币政策抵更多还原

【Abstract】 For last decades currency crisis bothered the international economy—speculation attack ended the“Bretton-Wood System”, the fixed exchange rate of Latin-America provided targets for speculation attacks in 1980s, Euro-monetary system also faced currency crisis in 1992-1993.Specially the Eastern-Asia financial crisis happened in 1997, then literatures focused on currency crisis became hot argument both on economists and policy makers. Obviously currency crisis is a huge research area, but this paper concentrates on the following field.Emerging markets can suffer severe contractions during currency crisis when capital inflows suddenly reverse. What is the right monetary policy response to this event? Answering this important question requires understanding the mechanisms through which monetary policy can affect sudden stops and their consequences.Much of recent literature on emerging markets crisis highlights the limited financial development of these economies and the severe credit squeeze experienced by local firms during crises. From this structure, two opposing arguments are commonly made regarding optimal monetary policy. Extrapolating from developed economy credit channel analysis, some advocate an expansionary monetary policy to offset the effect of the credit squeeze during downturns. While, others advocate a contractionary monetary policy and dogged defense of the exchange rate during crises. Proponents of the latter view do not disagree upon the centrality of the credit channel mechanism, but argue that a depreciating exchange rate will have dramatic effect in the credit channel mechanism, through a deterioration in borrower’s balance sheets. The argument is that this effect is most likely to happen when the economy is dollarized and when inflation-credibility is limited.The starting point of this analysis is the observation from Caballero更多还原