人民币汇率制度与金融危机发生概率——基于Probit和Logit模型的实证分析  

RMB Exchange Rate Regime and Financial Crisis Probability——An Empirical Analysis Based on Probit and Logit Model

作　　者：马君潞[1] 吕剑[2] 

机构地区：[1]南开大学经济学院 [2]南开大学经济学院金融系

出　　处：《国际金融研究》2007年第9期53-59,共7页Studies of International Finance

基　　金：国家社科基金项目<完善我国汇率形成机制问题研究>(2005~2007)的阶段性成果。

摘　　要：本文以26个转型经济国家为样本,分别建立Probit和Logit模型,对这些国家的汇率制度与金融危机发生概率之间的关系进行了实证分析。所得模型稳定可靠,定量变量、虚拟变量和控制变量均具有较强的显著性。其后,将我国的数据代入模型进行模拟和预测,结果表明,自1995年以来,我国实行硬盯住美元的固定汇率制度引发金融危机的概率是最小的,远远小于实行中间汇率制度,明显小于实行浮动汇率制度所引发金融危机的概率。因此,当前应该继续维持固定汇率制度,长远目标是实行灵活的浮动汇率制度,坚决杜绝中间汇率制度,以保证我国宏观经济金融的平稳运行。This paper, based on the sample of 26 transition countries, through establishing Problt and Logit model, empirically analyzes exchange rate regime and financial crisis probability of these countries. The model is reliable and robust, and independent variants, dummy variants and control variant have all obvious significance. Then, put China′s data into the model to simulate and forecast, results show that RMB fixed exchange rate regime has the least probability to induce financial crisis since 1995, which is remarkably less than floating exchange rate regime and obviously less than intermediate exchange rate regime. Therefore, in order to maintain macroeconomic and financial soundness, we should continue to keep fixed exchange rate regime currently, and adopt flexible floating exchange rate regime in the long run, and forbid intermediate exchange rate regime absolutely.

关 键 词：人民币汇率制度 金融危机 PROBIT模型 LOGIT模型 

分 类 号：F831[经济管理—金融学]