汇率制度与银行危机成因:基于银行危机爆发和持续时间的研究  

Fearing of Float Exchange Rate System and Banking Crisis: A Study Based on the Outbreak and Duration of Bank Crisis

作　　者：金祥义 张文菲 万志宏[1] Jin Xiangyi;Zhang Wenfei;Wan Zhihong

机构地区：[1]南开大学国际经济研究所

出　　处：《世界经济研究》2019年第10期51-66,M0003,共17页World Economy Studies

基　　金：中央高校基本科研业务费专项资金项目(项目编号:NKZXA1204);教育部人文社会科学重点研究基地项目“跨国并购与国际金融市场”(项目编号:05JJD630025)的资助

摘　　要：汇率制度选择与银行危机成因一直以来是金融领域的研究热点,但对于不同汇率制度与银行危机之间的关系,至今还未得到统一的结论。据此,文章根据1976~2016年IMF对不同国家银行危机爆发的统计数据,并结合相关宏观数据,试图探究银行危机成因、持续时间与汇率制度之间的潜在关系。研究显示,相比于浮动汇率制度,固定汇率制度和中间汇率制度均能降低一国发生银行危机的概率;这一作用就不同收入水平的国家存在差异性,中等收入水平国家采用固定汇率制度更不易于发生银行危机;在银行危机持续时间研究上,固定汇率制度对延长银行危机持续期的作用最大,中间汇率制度次之,浮动汇率制度的作用最小。上述结论在考虑内生性、模型稳健性的情况下仍然成立。本文研究结论意味着汇率制度选择存在"两难境遇","审时度势、顺势而为"才是最优的汇率制度选择方案。The choice of exchange rate system and the cause of banking crisis have always been a major research in the financial field,but the relationship between different exchange rate regimes and banking crises is away from a unified answer. Based on this,this paper uses the IMF’s statistics on the outbreak of banking crises in different countries from 1976 to 2016,combined with relevant macro data,attempting to explore the causes of bank crises and the potential relationship between duration and exchange rate regime. Studies have shown that,compared to the floating exchange rate system,the fixed exchange rate system and the intermediate exchange rate system can reduce the probability of a bank crisis in a country,and this effect varies for countries with different levels of income,which shows middle-income countries use fixed-exchange rates would not suffer from more banking crises. In the study of the duration of banking crisis,the fixed exchange rate system has the greatest effect on extending the duration of the banking crisis,the intermediate exchange rate system is second,and the floating exchange rate system has the least effect. The above conclusions are still valid in the case of considering endogeneity and model robustness. The conclusion of this study means that there is a " difficult situation" in the choice of exchange rate system,and judging the situation and taking advantage of the situation is the best choice of an exchange rate system.

关 键 词：汇率制度 银行危机成因 危机持续时间 两难境遇 

分 类 号：F83[经济管理—金融学]