外汇危机预警模型及在我国的实证研究
摘要
90年代以来，很多国家都发生了不同程度的外汇危机。与80年代的危机相比，危机产生机制变得更加复杂，危机的突然性和破坏性都有所增强，并且辐射范围很广，因此世界各国都越来越重视对外汇危机预警模型的研究。目前已经出现了四种主要的外汇危机预警模型，即信号方法、概率单位方法、截面回归方法以及主观概率法。
在我国，随着我国加入WTO，金融市场会逐渐对外开放，资本项目自由化程度也会不断提高，因此发生外汇危机的风险也会逐渐增大。因此，1997年的亚洲金融危机后，我国对危机的研究也逐渐增多，但对我国外汇危机预警模型的实证研究却很少。本文利用多元logit方法建立了我国外汇危机预警模型。
在本文的第一章中，我们主要介绍了目前外汇危机理论的发展状况。1979年Krugman提出了第一代模型，这一代模型主张经济基本面的恶化是产生危机的主要原因。虽然这一模型很好地解释了墨西哥的外汇危机，但它并不能很好地解释1992年欧洲货币体系的英镑危机，因此1994年Obstfeld提出了第二代模型。第二代模型认为由于多重均衡的存在，在基本面没有明显恶化的情况下危机也可能发生，这样危机就具有了自我实现的性质。1997年亚洲危机发生后，很多学者认为这次危机从本质来说是一种新型的危机，因此提出了第三代模型。目前第三代模型还不是很成熟，主要包括道德风险假说和国际流动性不足假说。
在第二章中，我们主要介绍了目前存在的四种外汇危机的预警方法。Kaminsky等人的信号方法是观测一组危机的先行指标，根据指标是否超过阀值来预测危机是否会发生。Frankel等人的概率单位方法（即probit模型）是运用离散选择模型对危机的概率进行估计。这一模型的特点是因变量为属性变量，当危机发生时其值为1，没有危机发生时其值为0。根据误差项的分布，离散选择模型又分为probit模型和logit模型。Sachs等人的截面回归方法则将注意力集中于同一时间不同地区的国家，模型中引
入了两个虚拟变量，分别表示储备的高低和基本面的强弱。刘遵义等人的主观概率法是根据一组国家经济和金融指标的表现计算出各国发生危机的主观概率，从而来比较出哪些国家更容易遭受到危机。
以上的几种外汇危机的预警方法的预测能力都受到一定的限制，因此一些学者对这几种方法进行了扩展，国际货币基金组织研究部的发展中国家研究组提出了DCSD模型，这一方法综合采纳了信号方法所具有的月度指标预测力的优点和概率单位法考虑更多变量的全面性。Eichengreen等人用logit模型对危机进行预警，此后Bussiere等又将二元logit模型扩展为多元的情况。
本文就是参考了Bussiere等人的方法建立了我国外汇危机预警模型。因此，在本文的第三章详细地介绍了离散选择模型，包括基本模型、模型的参数估计、假设检验以及多元logit模型。
根据前几章的理论和方法，本文第四章具体给出了我国外汇危机的预警模型。为了定义因变量，我们首先给出了对外汇危机的定义。根据大多数研究中对危机的定义我们计算出了我国的外汇市场压力指数，这一指数是实际有效汇率变化率、利率变化以及外汇储备变化率的加权平均值。当这一指数超过一定的临界值时，则认为发生了危机。这样定义的危机不仅包括了成功的投机性攻击也包括了政府成功地避免了的不成功的投机性攻击。
根据这一指数的计算结果看，我国外汇市场在1992年和1993年都出现了一定程度的波动。特别是1993年7月，外汇市场压力指数突然大幅上升，超过了其均值7.98倍标准差，大大地超过了一般研究中规定的临界值。1994年1月我国实施了新的外汇管理体制，在此之后我国外汇市场走势平稳，外汇市场压力始终保持在较低的水平上。
其次，我们参考了Kamminsky等人根据信号方法选出的表现较好的8个预警指标，从中选择了4个指标作为logit模型的自变量，分别为实际有效汇率高估、信贷增长率、出口和实际利率。
最后，我们用TSP得出了我国外汇危机预警的三元logit模型的估计结果。根据模型的估计结果，我们对发生危机的概率进行了样本内的预测。就样本内预测的结果来看，反映模型拟合效果的5个指标都还比较理想。我们所建立的模型也反映出我国目前发生危机的概率比较小，这与我们对外汇市场压力指数的分析十分吻合。
得到模型的估计结果并不是最终的目的，更重要的是根据模型的估计结果给出相应的政策建议。因此，在本文第五章中根据上文的实证分析给出了避免外汇危机的政策建议。我们认为，当模型预测会发生危机时应采取通货论观点的相关政策，即采取适当的紧缩政策。紧缩的政策会使利率上升，国内利率的上升可以防止资本的流出，并且使储蓄增加，这样经常项目会有所改善并且使汇率稳定。
Since the 1990s, exchange crisis in varying degrees has taken place in a lot of countries. Compared with crisis in the eighties, the produce mechanism of crisis become mort complicated, the suddenness and destruction of crisis are stronger to some extent, and the radiation range is very wide, so every country in the world pays more and more attention to the study on early warning model of exchange crisis. There has been four kinds of main early warning models of exchange crisis at present, namely “signal” approach, probit model, cross-county regression model and subjective probability method.
In our country, as our country joins WTO, the financial market will be opening to the outside world gradually, and the liberalization degree of capital account will be raised constantly too, so the risk of exchange crisis will be crescent. Therefore, after Asian financial crisis in 1997, the study on crisis of our country increased gradually. But there is few empirical research of early warning model of exchange crisis in our country. In this paper, we used multinomial logit method to set up early warning model of exchange crisis of our country.
In chapter one of this paper, we mainly introduced the development of exchange crisis theory at present. Krugman proposed the first generation model in 1979, and this model maintained that the main reason of crisis was the deterioration of economic “fundamentals”. The first generation model explained the exchange crisis of Mexico quite well, but it could not explain pound crisis of European Monetary System in 1992. So Obstfeld put forward the second generation model in 1994. The second generation model holds that because of the existence of the multiple equilibrium, the crisis may take place too in a situation that fundamental has not worsened obviously, and in this way the crisis has the nature of self-fulfilling. After Asian crisis in 1997, a lot of scholars thought this crisis was a kind of new-type crisis in nature, so they put forward the third generation model. This generation modes is not still very ripe, and it mainly includes moral hazard hypothesis and international mobility
insufficient hypothesis.
In chapter two, we mainly introduced the four kinds of early warning methods of exchange crisis at present. Kaminsky’s signal approach is to monitor a set of leading indicators of exchange crisis, and to predict whether crisis will occur according to whether these indicators exceed their thresholds. Frankel’s probit model uses discrete choice model to estimate the probability of crisis. The characteristic of this model is that the dependent variable is an attribute variable, and its value is 1 when crisis occurs, and its value is 0 when crisis does not occurs. According to the distribution of error term, discrete choice model is divided into probit model and logit model. Sachs’ cross-country regression model pays attention to countries in difference areas at the same time. This model introduces two dummy variables, and they represent that the exchange reserve is high or low and the fundamental is strong or weak separately. Liu Zunyi’s subjective probability method is to compute subjective probabilities of crisis of a set of countries according to the behaviors of economic and financial indicators in these countries. Then we can compare these countries and know which country is easy to suffer from crisis.
The prediction ability of all these kinds of early warning methods of exchange crisis mentioned above has certain restriction, so some scholars have expanded these kinds of methods. Developing country studies Division of International Monetary Fund put forward DCSD model. This method combines the merits of signal approach, which considers the prediction ability of monthly indicators with the comprehensiveness of probit model, which considers more variables. Eichengreen used logit model to predict crisis, then Bussiere expanded the binary logit model to multiple logit model.
This paper referred to Bussiere’s model to set up the early warning model of ex
在我国，随着我国加入WTO，金融市场会逐渐对外开放，资本项目自由化程度也会不断提高，因此发生外汇危机的风险也会逐渐增大。因此，1997年的亚洲金融危机后，我国对危机的研究也逐渐增多，但对我国外汇危机预警模型的实证研究却很少。本文利用多元logit方法建立了我国外汇危机预警模型。
在本文的第一章中，我们主要介绍了目前外汇危机理论的发展状况。1979年Krugman提出了第一代模型，这一代模型主张经济基本面的恶化是产生危机的主要原因。虽然这一模型很好地解释了墨西哥的外汇危机，但它并不能很好地解释1992年欧洲货币体系的英镑危机，因此1994年Obstfeld提出了第二代模型。第二代模型认为由于多重均衡的存在，在基本面没有明显恶化的情况下危机也可能发生，这样危机就具有了自我实现的性质。1997年亚洲危机发生后，很多学者认为这次危机从本质来说是一种新型的危机，因此提出了第三代模型。目前第三代模型还不是很成熟，主要包括道德风险假说和国际流动性不足假说。
在第二章中，我们主要介绍了目前存在的四种外汇危机的预警方法。Kaminsky等人的信号方法是观测一组危机的先行指标，根据指标是否超过阀值来预测危机是否会发生。Frankel等人的概率单位方法（即probit模型）是运用离散选择模型对危机的概率进行估计。这一模型的特点是因变量为属性变量，当危机发生时其值为1，没有危机发生时其值为0。根据误差项的分布，离散选择模型又分为probit模型和logit模型。Sachs等人的截面回归方法则将注意力集中于同一时间不同地区的国家，模型中引
入了两个虚拟变量，分别表示储备的高低和基本面的强弱。刘遵义等人的主观概率法是根据一组国家经济和金融指标的表现计算出各国发生危机的主观概率，从而来比较出哪些国家更容易遭受到危机。
以上的几种外汇危机的预警方法的预测能力都受到一定的限制，因此一些学者对这几种方法进行了扩展，国际货币基金组织研究部的发展中国家研究组提出了DCSD模型，这一方法综合采纳了信号方法所具有的月度指标预测力的优点和概率单位法考虑更多变量的全面性。Eichengreen等人用logit模型对危机进行预警，此后Bussiere等又将二元logit模型扩展为多元的情况。
本文就是参考了Bussiere等人的方法建立了我国外汇危机预警模型。因此，在本文的第三章详细地介绍了离散选择模型，包括基本模型、模型的参数估计、假设检验以及多元logit模型。
根据前几章的理论和方法，本文第四章具体给出了我国外汇危机的预警模型。为了定义因变量，我们首先给出了对外汇危机的定义。根据大多数研究中对危机的定义我们计算出了我国的外汇市场压力指数，这一指数是实际有效汇率变化率、利率变化以及外汇储备变化率的加权平均值。当这一指数超过一定的临界值时，则认为发生了危机。这样定义的危机不仅包括了成功的投机性攻击也包括了政府成功地避免了的不成功的投机性攻击。
根据这一指数的计算结果看，我国外汇市场在1992年和1993年都出现了一定程度的波动。特别是1993年7月，外汇市场压力指数突然大幅上升，超过了其均值7.98倍标准差，大大地超过了一般研究中规定的临界值。1994年1月我国实施了新的外汇管理体制，在此之后我国外汇市场走势平稳，外汇市场压力始终保持在较低的水平上。
其次，我们参考了Kamminsky等人根据信号方法选出的表现较好的8个预警指标，从中选择了4个指标作为logit模型的自变量，分别为实际有效汇率高估、信贷增长率、出口和实际利率。
最后，我们用TSP得出了我国外汇危机预警的三元logit模型的估计结果。根据模型的估计结果，我们对发生危机的概率进行了样本内的预测。就样本内预测的结果来看，反映模型拟合效果的5个指标都还比较理想。我们所建立的模型也反映出我国目前发生危机的概率比较小，这与我们对外汇市场压力指数的分析十分吻合。
得到模型的估计结果并不是最终的目的，更重要的是根据模型的估计结果给出相应的政策建议。因此，在本文第五章中根据上文的实证分析给出了避免外汇危机的政策建议。我们认为，当模型预测会发生危机时应采取通货论观点的相关政策，即采取适当的紧缩政策。紧缩的政策会使利率上升，国内利率的上升可以防止资本的流出，并且使储蓄增加，这样经常项目会有所改善并且使汇率稳定。
Since the 1990s, exchange crisis in varying degrees has taken place in a lot of countries. Compared with crisis in the eighties, the produce mechanism of crisis become mort complicated, the suddenness and destruction of crisis are stronger to some extent, and the radiation range is very wide, so every country in the world pays more and more attention to the study on early warning model of exchange crisis. There has been four kinds of main early warning models of exchange crisis at present, namely “signal” approach, probit model, cross-county regression model and subjective probability method.
In our country, as our country joins WTO, the financial market will be opening to the outside world gradually, and the liberalization degree of capital account will be raised constantly too, so the risk of exchange crisis will be crescent. Therefore, after Asian financial crisis in 1997, the study on crisis of our country increased gradually. But there is few empirical research of early warning model of exchange crisis in our country. In this paper, we used multinomial logit method to set up early warning model of exchange crisis of our country.
In chapter one of this paper, we mainly introduced the development of exchange crisis theory at present. Krugman proposed the first generation model in 1979, and this model maintained that the main reason of crisis was the deterioration of economic “fundamentals”. The first generation model explained the exchange crisis of Mexico quite well, but it could not explain pound crisis of European Monetary System in 1992. So Obstfeld put forward the second generation model in 1994. The second generation model holds that because of the existence of the multiple equilibrium, the crisis may take place too in a situation that fundamental has not worsened obviously, and in this way the crisis has the nature of self-fulfilling. After Asian crisis in 1997, a lot of scholars thought this crisis was a kind of new-type crisis in nature, so they put forward the third generation model. This generation modes is not still very ripe, and it mainly includes moral hazard hypothesis and international mobility
insufficient hypothesis.
In chapter two, we mainly introduced the four kinds of early warning methods of exchange crisis at present. Kaminsky’s signal approach is to monitor a set of leading indicators of exchange crisis, and to predict whether crisis will occur according to whether these indicators exceed their thresholds. Frankel’s probit model uses discrete choice model to estimate the probability of crisis. The characteristic of this model is that the dependent variable is an attribute variable, and its value is 1 when crisis occurs, and its value is 0 when crisis does not occurs. According to the distribution of error term, discrete choice model is divided into probit model and logit model. Sachs’ cross-country regression model pays attention to countries in difference areas at the same time. This model introduces two dummy variables, and they represent that the exchange reserve is high or low and the fundamental is strong or weak separately. Liu Zunyi’s subjective probability method is to compute subjective probabilities of crisis of a set of countries according to the behaviors of economic and financial indicators in these countries. Then we can compare these countries and know which country is easy to suffer from crisis.
The prediction ability of all these kinds of early warning methods of exchange crisis mentioned above has certain restriction, so some scholars have expanded these kinds of methods. Developing country studies Division of International Monetary Fund put forward DCSD model. This method combines the merits of signal approach, which considers the prediction ability of monthly indicators with the comprehensiveness of probit model, which considers more variables. Eichengreen used logit model to predict crisis, then Bussiere expanded the binary logit model to multiple logit model.
This paper referred to Bussiere’s model to set up the early warning model of ex
引文
姜建强、王爱民，“货币危机：一个理论文献评析”，《世界经济文汇》，2000年第4期，72-80。
李子奈、叶阿忠，《高等计量经济学》，清华大学出版社，2000年9 月第1版，155-167。
刘传哲、张丽哲，“金融危机预警系统及其实证研究”，《系统工程》1999年9月第17卷第5期，33-37。
刘志强，“金融危机预警指标体系研究”，《世界经济》，1999年第4期，17-23。
刘志强，“国外预警金融危机的方法评价”，《世界经济》，2000年第7期，16-21。
刘遵义，在联合国世界经济1995年秋季会议上的报告《下一个墨西哥在东亚吗？》，1995年。
朴元严、崔公弼，“韩国外汇危机的原因和预测可能性”，《韩国经济分析》，1998年12月，第4卷第2期，1-61。
吴航，“试论我国金融危机预警系统指标体系的建立”，《上海金融》，2000年第1期。
张昕，“货币危机的理论综述”，《经济学动态》，1999年第6期，65-69。
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Sachs, J., A. Tornell, and A. Velasco, 1996b, “Financial Crises in Emerging Markets: the Lessons from 1995,” Brookings Papers on Economic Activity: 1, Brookings Institution, 147-215.
李子奈、叶阿忠，《高等计量经济学》，清华大学出版社，2000年9 月第1版，155-167。
刘传哲、张丽哲，“金融危机预警系统及其实证研究”，《系统工程》1999年9月第17卷第5期，33-37。
刘志强，“金融危机预警指标体系研究”，《世界经济》，1999年第4期，17-23。
刘志强，“国外预警金融危机的方法评价”，《世界经济》，2000年第7期，16-21。
刘遵义，在联合国世界经济1995年秋季会议上的报告《下一个墨西哥在东亚吗？》，1995年。
朴元严、崔公弼，“韩国外汇危机的原因和预测可能性”，《韩国经济分析》，1998年12月，第4卷第2期，1-61。
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