金融危機是一個涵蓋性很廣的名詞，包含了通貨危機、銀行危機、外債危機與制度性金融危機。1990年代後金融危機與以往危機呈現不同的特徵。在三代金融危機模型中，第一、二代模型著重在通貨危機的探討，第三代模型則直接點出通貨危機與銀行危機的同時或先後產生。Goldfajn and Rodrigo（1997）將此種現象稱之為雙元危機(twin crises)。雙元危機的發生日漸頻繁，同時也比個別產生的通貨危機或銀行危機花費更龐大的社會成本。故本研究以雙元危機為研究標的，希望能建立有效預測雙元危機之模型。 在建立雙元危機的預警模型上，本文採用的方法有兩大類：訊號方法（Signal Extraction Approach）以及統計迴歸模型（Econometric Modeling）--Logit模型。本研究蒐集1970年至2000年間，共包含21個非工業化國家與7個工業化國家，挑選15個總體經濟指標為變數，建立雙元危機的兩套評估模型。其中在訊號方法上，本研究在指標變數的處理方式上採用累積效果的概念，得出與以往採用年變化率不同的結論。 本文希望透過建構良好的預警系統模型，對危機的發生加以預防並提供政府採行必要措施，以掌握整體經濟情勢的發展，防範於未然。

本文研究目的有四：(1) 研究以本國通貨貶值率為政策工具的影響效果與相關的議題。(2) 探討由固定匯率到爬行釘住匯率再到浮動匯率崩潰的過程，並且分析有何關鍵因素，會影響匯率制度崩潰時間。(3) 討論匯率定錨政策失敗的原因，並提出以往文獻可能忽略的因素。(4) 分析通貨替代性是否會影響匯率政策的效果，甚至使匯率政策遭遇困難而失敗。為了達成研究目的，本文內容共分五章，除了第一章的緒論和第五章的總結外，其餘各章的內容為： 第二章延伸Calvo (1981) 的架構，加入Chen, Tsaur and Chou (1981)、曹添旺 (1987) 及張文雅、賴景昌和曹添旺 (1991) 的觀點，並仿照Liviatan (1891)、Engel (1989)、Calvo (1985) 的作法，設立一個具有通貨替代環境的小型開放經濟模型，探討本國通貨貶值率上升對經濟體系的影響。文中發現通貨之間若有較高 (較低) Edgeworth 替代關係，則本國通貨貶值率上升，經常帳會因此改善 (惡化)。本章亦針對通貨替代程度的不同，分析提升本國通貨貶值率政策對社會福利的影響效果，其中發現：不論是通貨替代程度大小，提升本國通貨貶值率政策對社會福利的影響均有兩種不同的情況，其中的一種是確定福利下降，另一種是不確定。 第三章仍然依據Chen, Tsaur and Chou (1981)、曹添旺 (1987) 及張文雅、賴景昌和曹添旺 (1991) 所強調通貨能提供流動性勞務，降低交易成本的功能，將本國通貨和外國通貨放入模型內，建立一個以交易功能為基礎的貨幣模型，探討由固定匯率崩潰到爬行釘住匯率，再由爬行釘住匯率崩潰到浮動匯率的過程，有何關鍵因素，會影響匯率制度崩潰時間。結果發現：(1) 不論是通貨替代、通貨互補或是通貨獨立的環境下，實際發生匯率制度崩潰的時間早於自然崩潰的時間。(2) 制度崩潰的時點由通貨替代或是通貨互補的程度決定，通貨替代性越是極端 (例如：完全互補或完全替代) 將使通貨危機越早發生，而通貨替代關係越低將使通貨危機發生時間延後。(3) 當固定匯率轉換到爬行釘住匯率時，所產生的外匯存底流失的額度將會是決定爬行釘住匯率制度是否能夠執行的關鍵。 第四章以代表性個人最適化模型的架構，加入Végh (1995) 主張外國通貨能提供流動性勞務，降低交易成本的觀點，建立一個具有通貨替代環境的交易成本貨幣成長模型，分析名目匯率定錨政策崩潰的過程與通貨替代程度的關連性，結果發現匯率定錨政策失敗的主因可能是名目匯率定錨政策違反經常帳跨期平衡所致。為了避免通貨危機提早發生，匯率政策須視通貨替代程度的高低作適當的調整。通貨替代程度較高時，貨幣當局應當在政策執行時，大幅的降低本國通貨貶值率，可使政策崩潰的時間延後；而通貨替代程度較低時，貨幣當局應當採用小幅度降低本國通貨貶值率，可拖延政策崩潰發生的時間。 / This paper has four purposes: (1) Research in the influence and relevant topics about adopting depreciation rate of the domestic currency as policy instrument. (2) Show the dynamics transition process from the fixed, to the crawling peg, and then to the flexible exchange rate regimes, and analyze the central factor about time of collapse of exchange rate regimes. (3) Research in the reason about the exchange-rate-based stabilization program fails, and it may be ignored by the existing literature. (4) Analyze the influence of the currency substitutability affects the effect of exchange rate policy, even to cause difficulty and failure. In order to achieve the research purposes, the content of this paper divides into five chapters, except that chapter 1 is the introduction and chapter 5 is conclusion; the rest is organized as follows: In chapter 2, this paper expands Calvo (1981) model, combining the spirit of Chen, Tsaur and Chou (1981), Tsaur (1987), Chang, Lai and Tsaur (1991) and the approach of Liviatan (1891), Engel (1989), Calvo (1985), we set up the framework for small open economy with currency substitution environments to explore the policy effects of a rise in the rate of devaluation domestic currency on economy. We find that if two currencies are higher (lower) degree of Edgeworth substitution, then a rise in the rate of devaluation domestic currency induced a current account surplus (deficit) on the transition path. This chapter also aims at the currency substitution degree the difference, the analysis about a rise in the rate of devaluation domestic currency to the social welfare influence effect. We show that no matter is the currency substitution degree size, a rise in the rate of devaluation domestic currency to have two kind of different situations to the social welfare influence, one is the definite welfare drops; another is an ambiguous. In chapters 3, we investigate the relationship between the collapse timing of exchange rate regime and degree of substitutability of foreign currency for domestic currency as a medium of exchange. According to the spirit of Chen, Tsaur and Chou (1981), Tsaur (1987), Chang, Lai and Tsaur (1991), we set up a transaction-based monetary model in which money provides liquidity services to reduce transaction costs, domestic and foreign currencies are introduced into the system. The results of study show (1) no matter what degree of substitutability of foreign currency for domestic currency, the collapse timing of the exchange rate regime is earlier than the natural collapse timing, and (2) the collapse timing depends on the degree of currency substitution or complement. We find that the extreme degree of substitutability of currencies led to earlier currency crisis; however, moderate degree of substitutability of currencies prolong currency crisis. We also explore the dynamic transition process from the fixed to the crawling peg, and then to the flexible exchange rate regimes. We find that the extent of the decrease in foreign exchange reserves is the key whether the fixed exchange rate is able to transform into the crawling peg exchange rate regime. In chapter 4, we investigate the relationship between the failures of exchange-rate-based stabilization program and degree of foreign currency substitutability. According to Végh (1995), we set up a transaction-based monetary model with currency substitution in which foreign currencies provides liquidity services to reduce transaction costs. The reason of failure on exchange-rate-based stabilization program is that it violates intertemporal current account balance constraint. In order to prolong the time of the currency crisis occurs, the exchange-rate-based stabilization program must regard the degree of currency substitution. When the degree of currency substitution is high, the monetary authority must reduce the rate of devaluation domestic currency largely, and when the degree of currency substitution is low, the monetary authority must narrow scale to reduce the rate of devaluation domestic currency, and prolong time of policy collapse occurrence.

90年代末東亞金融危機造成多國貨幣大幅貶值，銀行紛紛倒閉。基本上金融危機可分為通貨危機(Currency Crisis)與銀行危機(Banking Crisis)；通貨危機是指當年中任一季名目匯率貶值超過25%，且貶值幅度比前一季超過10個百分點。諸多實證文獻顯示，高估一國匯率為其通貨崩潰之先驅；又由於近年來新興國家快速開放資本市場，以致於成為危機之導火線。為分析此一現象，本文首先編製金融帳權數之新台幣實質有效匯率指數，並將東亞之台灣、印尼、韓國、菲律賓、泰國等五國之匯率、相對物價（各國與美國物價）、金融帳餘額等變數做共整合關係檢定，觀察三個變數的長期均衡關係，再將誤差項加入模型中，建構向量誤差模型。實證結果發現，金融帳與相對物價對匯率有顯著之影響力。 / The 1997 East Asian Crises had made exchange rate depreciations and bank bankruptcies. Broadly speaking, it can be divided into currency crisis and banking crisis. Nominal exchange rate of any season in a year, which is depreciated over 25% and 10% than last season, is called a currency crisis. Lots of papers demonstrate that overvaluation is a precursor of a currency crash. Furthermore, developing countries have opened capital markets so rapidly that it became the tinderbox of crises. To analyze the phenomenon, this thesis first compile Taiwan’s financial weighted real effective exchange rate index, then examine exchange rates, relative prices (compare to American consumer price index), and net financial account of Taiwan, Indonesia, Korea, Philippine, and Thailand with cointegrated test to identify the long run equilibrium relationships between variables; then adding error terms into models to estimates vector error correction model (VECM). The empirical results show that financial account and relative price influence exchange rate significantly.

科学研究費補助金 研究種目:基盤研究(C)(2) 課題番号:09630041 研究代表者:曺斗燮 研究期間:1997-1998年度

科学研究費補助金 研究種目:基盤研究(C)(2) 課題番号:09630040 研究代表者:江崎 光男 研究期間:1997-1999年度