【作者】 冯芸； 吴冲锋；

【Author】 Feng Yun Wu Chongfeng (Institute of Systems Engineering, Shang Hai Jiao Tong University, 200052)

【机构】 上海交通大学系统工程研究所；

【摘要】 基于均衡和无套利原则建立起来的汇率理论难于解释货币危机爆发和汇率调整过渡阶段的货币价格行为.为此本文建立汇率的线性动态模型和非线性的尖点突变模型,并对1997-1998年亚洲货币危机受害国汇率进行实证分析.结果表明在过渡阶段,各国汇率系统的平衡点均是渐近稳定的;对汇率数据进行归一化处理,总结汇率动态系统在有外界输入作用的情况下系统响应的两组不同模式;非线性模型相当好地拟合了实际观测值;除泰国以外,菲律宾、马来西亚、韩国和印度尼西等四国在过渡阶段均存在货币价格突变的现象.更多还原

【Abstract】 The exchange rate behaviors during currency crises and transitional phase are difficult to be explained by exchange rate theories based on equilibrium and no-arbitrage. This paper establishes a linear dynamic model and a cusp catastrophe model, which apply to the Asian Currency Crisis in 1997-1998. The conclusions show that the equilibrium is asymptotic stable for crisis victims in the transitional phase; After normalization of exchange rate data, two different modes of exchange rate system response to the input are summarized; Nonlinear cusp catastrophe model simulates the observed behaviors of exchange rate more accurately; It’s verified that except for Thailand Bant, happened has the catastrophe of currency prices of Philippine, Malaysia, Korea and Indonesia in the transitional phase.更多还原