摘要
银行危机与货币危机在 1 997年亚洲金融危机发生后成为经济学界的重要研究课题 ,从亚洲的经历来看 ,二者是同进同退的 ,但这个现象具有普遍性吗 ?从理论上看 ,货币危机和银行危机之间存在着一定的联系 ,但到目前为止 ,还没有哪项研究从实证角度真正证明了双危机之间的联系是确实存在的。本文实证研究目的在于揭示货币危机和银行危机的共生性 ,即两种危机之间存在着相互影响。但是一直以来 ,如何从数量上刻画货币危机和银行危机是一个棘手的问题。本文找到两个指标解决了这个问题。一个指标是用汇率变化比率和外汇储备变化比率衡量的外汇市场压力 ;另一个指标是用银行的坏帐和坏帐准备金数量衡量的银行系统压力 ,这种压力在一定条件下会演变为银行危机。本文收集了 53个国家的银行不良贷款、坏帐准备金与本币贬值压力的数据 ,通过PanelCointegration检验的计量方法确认了银行危机与货币危机的确具有共生性 ,这对“双危机”
The interrelationships between the banking crisis and currency crisis,the so-called twin crises,have drawn renewed attention after the Asian financial crisis in 1997.From Asian Asian experience we can see there are comovement between the two crises. There are good theoretical reasons to expect connections between the two crises,but little empirical work to date has systematically investigated. The purpose of this paper is empirically to examine the long run comovement and the casual relationship between banking and crurrency crises.However,it is difficult to quantitatively describe the currency crisis and banking crisis at all times.In the paper,the author employed two proxies to solve this problem.One is the exchange market pressure (EMP),which is weighted average of exchange rate percentage and foreign reserve.Other one is banking system pressure measured by the non-performing loan (NPL) and loan loss position (PLL).This pressure will trigger the banking crisis under a certain condition. The paper used NPL and PLL data of the 45 emerging markets and 8 developed countries and conducted the panel cointegration test.Our evidence showe that the banking and currency crises move together in the long run.This is a great breakthrough for the “twin crises”study. Keyword:banking crisis,currency crisis,and case strdy
出处
《金融研究》
CSSCI
北大核心
2000年第6期11-22,共12页
Journal of Financial Research
