可置信政策、汇率制度与货币危机:国际经验与人民币汇率市场化改革启示  

Credibility of Policies,Exchange-rate Regime and Currency Crises:Empirical Evidence from Emerging Markets and Developing Countries

作　　者：王道平 范小云 陈雷 

机构地区：[1]南开大学金融学院 [2]中山大学国际金融学院

出　　处：《经济研究》2017年第12期119-133,共15页Economic Research Journal

基　　金：国家社科基金重大项目(17ZDA074);国家社科基金重点项目(14AZD032);天津市社科规划项目(TJYY13-007);中央高校双一流建设项目(96176514;96176619);南开大学百青团队项目(63174029)的资助

摘　　要：本文从外汇市场微观结构理论角度,阐释了一国政府对外宣布的汇率制度,以及该国汇率政策的可置信性对货币危机发生的影响,并基于新兴市场与发展中国家1970—2010年的经验数据进行了实证分析。研究发现,一国政府对外宣布的汇率制度弹性越大、容忍本国汇率波幅变动越大,其发生货币危机的几率反而更大;此外,若一国政府的汇率政策的可置信较低,将更容易引发国际投机资本对本国汇率进行投机冲击,增加发生货币危机几率。人民币汇率市场化改革,不应放纵汇率完全自由过度波动,尤其在应对国际投机冲击时,试图通过扩大汇率弹性消除投机冲击的政策,反而可能将增加货币危机发生几率;加强正确的预期引导与审慎监管、引入"逆周期因子"机制防止非理性情绪放大单边市场预期与自我强化、提高政府维护汇率稳定政策的可置信性,将有助于消除市场恐慌,减少投机冲击,防范货币危机发生。Summary： Most of emerging markets suffered exchange rate slumping and currency crisis just after their declaration of more floating exchange rate arrangements. For emerging markets and developing countries such as China, deepening the reform of the exchange rate regime requires the prevention of currency crises. From the perspective of microstructure theory for the foreign exchange market, we theoretically analyze the influence of exchange rate regime declarations and the credibility of exchange rate policies on the occurrence of currency crises. Following Drazen ＆ Masson （1994） , Alesina ＆ Wagner （2006） , using the exchange rate regime classification data of Reinhart ＆ Rogoff （2004） and Ilzetzki et al. （2011） , we develop a database of exchange rate policy credibility including 153 countries. The credibility of exchange rate policy is calculated by the difference between the officially declared exchange rate regimes and the actual regimes--that is, the difference between de jure regimes and de facto ones. Based on the data for emerging markets and developing countries from 1970 to 2010, we also empirically analyze the influence of the announcement of a particular exchange rate regime and the credibility of exchange rate policies on the occurrence of currency crises. Our results suggest that for emerging markets and developing countries, the more floating exchange rate regimes the government announces, which means greater tolerance of exchange rate volatility, the more likely a currency crisis is to occur. This is because under the joint action of fundamental and technical analysis traders, greater exchange rate flexibility will be likely to cause the formation of the exchange rate depreciation trend, and the trend-following strategy of the exchange rate traders will enlarge the speculative impact, resulting in a vicious cycle of increased downward pressure of depreciation and speculation and easily triggering a self-actualized currency crisis. In addition, if a country＇s exchange rate

关 键 词：可置信政策 汇率制度 货币危机 人民币汇率市场化改革 

分 类 号：F832.6[经济管理—金融学]