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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/96281


    Title: 匯率危機預警模型 : 東亞地區實證研究
    Authors: 蔡蘭馨
    Tsai, Lan-Shin
    Contributors: 郭炳伸
    Kuo, Biing-Shen
    蔡蘭馨
    Tsai, Lan-Shin
    Keywords: 匯率危機
    金融風暴
    亞洲金融風暴
    Currency Crise
    Financial Crises
    Date: 2000
    Issue Date: 2016-05-10 18:54:08 (UTC+8)
    Abstract: 1997年亞洲匯率危機的發生，引發學者對於危機發生原因的論戰。對於亞洲匯率危機發生的國家而言，究竟那些匯率危機理論具有解釋能力？又匯率危機是否是可以透過基本面的指標來預測的？假使可以效力又是如何？本文中為了回答這些問題，於是使用東亞六國包含印尼、韓國、馬來西亞、菲律賓、新加坡、泰國六個開發中國家1971-1998年的收據資料，並運用Probit的計量模型來進行實證研究。
    本文實證結果發現，在匯率危機理論的解釋上，第一代匯率危機理論的論述，並不足以完全解釋東亞地區的發展中國家匯率危險的發生，必須再加上第二代的匯率危機理論的論述，才能完整找出東亞發展中國家匯率危機發生的決定因素。再者，在東亞地區發展中國家的匯率危機發生前，其基本面情況的確是程現亞化的趨勢。但是基本面惡化程度，並不足以單獨決定匯率危機的發生，必預加入除了基本面惡化程度，並不足以單獨決定匯率危機的發生，必須加入除了基本面以外，其它會影響投資人的行為和預期因素，如市場資訊不完全而造成群眾的盲從效果以及跨國的漫延效果......等等，綜合起來最後才會導致投機性攻擊而引發危機。換句話說，當政府在進行施政決策或者是投資人在進行經濟決策時，基本面因素或許不是政府或投資人唯一的考量，但卻是重要的考量之一。
    另外，針對東亞地區匯率危機是否是可以預警以及預警效力如何的問題。經由實證結果，我們認為答案是肯定的，不論是從樣本內或樣本外來看這組解釋變數的指標的預測效力，都有超過百分之七十的預測水準。
    Reference: 1. Berg, Andrew; Pattillo, Catherine; Research Department ;IMF Research Department, ( 1998) "Are Currency Crises Predictable? A Test", Il\\1F Working
    Paper, Series: WP/981154
    2. Flood, R. and Garber, P. (1984) "Collapsing exchange rate regimes: some linear examples" Journal ofInternational Economics 17: 1-13
    3. Gerardo, E. and Felipe, L. (1998) "Explaining currency crises" Harvard Institute
    for International Department, Development Discussion Paper No. 666.
    4. Goldfajn, Ilan and Rodrigo V. (1996) "The Aftermath of Appreciations", NBER
    Working Paper No. 5650 (Cambridge, Massachusetts: National Bureau of Economic
    Research)
    5. International Monetary Fund, ( 1998), World Economic Outlook, May 1998
    6. Jeffrey A. Frankel and Andrew K. Rose, (1996) "Currency Crashes in Emerging
    Markets: Empircal Indicators", NBER Working Paper 5437
    7. Kaminsky, Graciela , Saul Lizondo and Carmen I\\`1. Reinhart (1998) "Leading Indicators of Currency Crises" IMF Staff Papers, Vol. 45, No. I, March 1998, pp 1-
    48.
    8. Krugman, P. (1979) "A model of balance of payments crises", Journal of Money,
    Credit, and Banking 11 :311-325
    9. K rugman, P. ( 1996) "Are currency crises self-fu lfi lIing?", NBER Macroeconomics Annual ,Cambridge: MIT Press, pp. 345-407.
    10. Krugman, P. (1997) "Currency Crises", prepared for NBER conference, October
    1997
    11 . Martinez-Peria, .Ma. Soledad( 1997); understanding Devaluations in Latin America:
    A ad Fundamentals Approach, CIDER Working paper 97-86, University of California,
    Berkeley, May.
    12. IVIerrill Lynch, (1998) "Currency Crisis in Emerging Market", Global Fixed
    Income Research, 21 July 1998.
    13. Obstfeld, M. (1984) "The logic of currency crises", Cahiers Economiques et
    Monetaires 43 : 189-213 .
    14. Radelet, Steven and Jeffrey Sachs (1998) , "The Onset of the East Asian Financial
    Crisis." Harvard Institute for International Development, CAER Discussion Paper
    NO.27
    15. Salant, S. and Henderson,D.( 1978) "Market anticipation of government policy and the price of gold" , Journal of Political Economy 86:627-648 .
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G91NCCV5652012
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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