基于平衡稳定性的货币危机预警模型及实证研究
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摘要
以实际汇率变动率、私营部门贷款与GDP比率的变动率、总储备与M2比率构建"介稳球内接三棱椎"预警模型,并基于平衡稳定性理论研究三棱锥的失稳特征,观察对应的货币系统稳定性变动规律,发现几乎所有国家在危机前都处于稳定性平衡,危机时趋于失稳,危机后恢复到稳定性平衡.对1997年亚洲金融危机的实证研究表明新模型优于FR概率模型,STV预警模型和KLR模型.应用新方法,进一步分析当前的经济状况,认为我国货币系统的风险整体可控,给出了上述经济变量的合理区间,并对政府工作提出了相应建议.
This paper constructs a new warning model using the fluctuation rate of the real exchange rate, the growth rate of domestic credit to private sector and the ratio of total reserves to M2. Based on the equilibrium stability theory of rigid bodies, this paper studies the instability characteristics of the triangular pyramid, and also observes the stability change law of the corresponding currency systems. The empirical study of the 1997 Asian financial crisis shows that the new model is superior to FR model, STV model and KLR model. By applying the proposed method, the present economic situation is further analyzed, and some proposals have been suggested.
This paper constructs a new warning model using the fluctuation rate of the real exchange rate, the growth rate of domestic credit to private sector and the ratio of total reserves to M2. Based on the equilibrium stability theory of rigid bodies, this paper studies the instability characteristics of the triangular pyramid, and also observes the stability change law of the corresponding currency systems. The empirical study of the 1997 Asian financial crisis shows that the new model is superior to FR model, STV model and KLR model. By applying the proposed method, the present economic situation is further analyzed, and some proposals have been suggested.
引文
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[3]Sachs J,Tornell A,Velasco A.Financial crises in emerging markets:The lessons from 1995.The Brookings Papers on Economic Activity,1996,27(1):147–215.
[4]Kaminsky G,Lizondo S,Reinhart C M.Leading indicators of currency crises.Staff Papers-International Monetary Fund,1998,45(1):1–48.
[5]Berg A,Pattillo C.Are currency crises predictable:A test.IMF Staff Papers,1999,46(2):107–138.
[6]Kumar M,Moorthy U,Perraudin W.Predicting emerging market currency crashes.Journal of Empirical Finance,2003,10(4):427–454.
[7]Nitithanprapas E,Willett T D.A currency crises model that works:A payments disequilibrium approach.Claremont Colleges Working Papers in Economics,2000,25(8):1–51.
[8]Alessandri P,Drehmann M.An economic capital model integrating credit and interest rate risk in the banking book.Journal of Banking&Finance,2010,34(4):730–742.
[9]Repullo R,Saurina J,Trucharte C.Mitigating the pro-cyclicality of Basel II.Economic Policy,2010,25(64):659–702.
[10]史建平,高宇.KLR金融危机预警模型研究:对现阶段新兴市场国家金融危机的实证检验.数量经济技术经济研究,2009,3(3):106–117.Shi J P,Gao Y.A study on KLR financial crises warning model.Journal of Quantitative&Technical Economics,2009,3(3):106–117.(in Chinese)
[11]徐道宣,石璋铭.一种改进的KLR信号分析法应用研究.数量经济技术经济研究,2007,24(11):124–132.Xu D X,Shi Z M.The research on how to use the method of KLR signal in China.Journal of Quantitative&Technical Economics,2007,24(11):124–132.(in Chinese)
[12]马德功,张畅,马敏捷.货币危机预警模型理论与中国适用.上海金融,2007,12(12):10–13.Ma D G,Zhang C,Ma M J.Currency crisis early warning model theory and applications in China.Shanghai Finance,2007,12(12):10–13.(in Chinese)
[13]Eichengreen B,Rose A K,Wyplosz C,et al.Exchange market mayhem:The antecedents and aftermath of speculative attacks.Economic Policy,1995,10(21):249–312.
[14]Sanz-Serna J M,Calvo M P.Numerical hamiltonian problems.Mathematics of Computation,1994,64(211):189–196.
[15]张昴,郭琨.基于等时圆矢量差分的ARVMA组合模型及其实证研究.系统科学与数学,2015,35(2):193–205.Zhang M,Guo K.ARVMA process and its empirical research based on vector difference in an isochronal circle.Journal of Systems Science and Mathematical Sciences,2015,35(2):193–205.(in Chinese)
[16]刘骏民,王国忠.虚拟经济稳定性,系统风险与经济安全.南开经济研究,2005,6(6):32–39.Liu J M,Wang G Z.Virtual economic stability,systemic risk and economic security.Nankai Economic Studies,2005,6(6):32–39.(in Chinese)
[17]成思危.虚拟经济的基本理论及研究方法.管理评论,2009,21(1):3–18.Cheng S W.Fundamental theory and research methodologies for fictitious economy.Management Review,2009,21(1):3–18.(in Chinese)
[18]汪寿阳,张维,刘星,等.金融危机下金融系统工程研究的一些进展.系统工程学报,2009,24(5):513–514.Wang S Y,Zhang W,Liu X,et al.Some advancements on financial system engineering research in crisis.Journal of Systems Engineering,2009,24(5):513–514.(in Chinese)
[19]徐元栋.投资者的奈特不确定性情绪与股市巨幅波动.系统工程学报,2015,30(6):736–745.Xu Y D.Knightian uncertainty emotion of investors and the huge fluctuations of stock market.Journal of Systems Engineering,2015,30(6):736–745.(in Chinese)
[20]李勇建,乔晓娇,孙晓晨,等.基于系统动力学的突发事件演化模型.系统工程学报,2015,30(3):306–318.Li Y J,Qiao X J,Sun X C,et al.Modeling the evolution of emergency based on system dynamics.Journal of Systems Engineering,2015,30(3):306–318.(in Chinese)
1数据来源:“实际有效汇率指数”来源于国际清算银行;“私营部门的国内信贷与GDP的比率”来源于世界银行;“货币和准货币(M2)与总储备的比率”来源于国际货币基金组织.图中结果根据以上数据计算得出.
[2]Frankel J A,Rose A K.Currency crashes in emerging markets:An empirical treatment.Journal of International Economics,1996,41(3):351–366.
[3]Sachs J,Tornell A,Velasco A.Financial crises in emerging markets:The lessons from 1995.The Brookings Papers on Economic Activity,1996,27(1):147–215.
[4]Kaminsky G,Lizondo S,Reinhart C M.Leading indicators of currency crises.Staff Papers-International Monetary Fund,1998,45(1):1–48.
[5]Berg A,Pattillo C.Are currency crises predictable:A test.IMF Staff Papers,1999,46(2):107–138.
[6]Kumar M,Moorthy U,Perraudin W.Predicting emerging market currency crashes.Journal of Empirical Finance,2003,10(4):427–454.
[7]Nitithanprapas E,Willett T D.A currency crises model that works:A payments disequilibrium approach.Claremont Colleges Working Papers in Economics,2000,25(8):1–51.
[8]Alessandri P,Drehmann M.An economic capital model integrating credit and interest rate risk in the banking book.Journal of Banking&Finance,2010,34(4):730–742.
[9]Repullo R,Saurina J,Trucharte C.Mitigating the pro-cyclicality of Basel II.Economic Policy,2010,25(64):659–702.
[10]史建平,高宇.KLR金融危机预警模型研究:对现阶段新兴市场国家金融危机的实证检验.数量经济技术经济研究,2009,3(3):106–117.Shi J P,Gao Y.A study on KLR financial crises warning model.Journal of Quantitative&Technical Economics,2009,3(3):106–117.(in Chinese)
[11]徐道宣,石璋铭.一种改进的KLR信号分析法应用研究.数量经济技术经济研究,2007,24(11):124–132.Xu D X,Shi Z M.The research on how to use the method of KLR signal in China.Journal of Quantitative&Technical Economics,2007,24(11):124–132.(in Chinese)
[12]马德功,张畅,马敏捷.货币危机预警模型理论与中国适用.上海金融,2007,12(12):10–13.Ma D G,Zhang C,Ma M J.Currency crisis early warning model theory and applications in China.Shanghai Finance,2007,12(12):10–13.(in Chinese)
[13]Eichengreen B,Rose A K,Wyplosz C,et al.Exchange market mayhem:The antecedents and aftermath of speculative attacks.Economic Policy,1995,10(21):249–312.
[14]Sanz-Serna J M,Calvo M P.Numerical hamiltonian problems.Mathematics of Computation,1994,64(211):189–196.
[15]张昴,郭琨.基于等时圆矢量差分的ARVMA组合模型及其实证研究.系统科学与数学,2015,35(2):193–205.Zhang M,Guo K.ARVMA process and its empirical research based on vector difference in an isochronal circle.Journal of Systems Science and Mathematical Sciences,2015,35(2):193–205.(in Chinese)
[16]刘骏民,王国忠.虚拟经济稳定性,系统风险与经济安全.南开经济研究,2005,6(6):32–39.Liu J M,Wang G Z.Virtual economic stability,systemic risk and economic security.Nankai Economic Studies,2005,6(6):32–39.(in Chinese)
[17]成思危.虚拟经济的基本理论及研究方法.管理评论,2009,21(1):3–18.Cheng S W.Fundamental theory and research methodologies for fictitious economy.Management Review,2009,21(1):3–18.(in Chinese)
[18]汪寿阳,张维,刘星,等.金融危机下金融系统工程研究的一些进展.系统工程学报,2009,24(5):513–514.Wang S Y,Zhang W,Liu X,et al.Some advancements on financial system engineering research in crisis.Journal of Systems Engineering,2009,24(5):513–514.(in Chinese)
[19]徐元栋.投资者的奈特不确定性情绪与股市巨幅波动.系统工程学报,2015,30(6):736–745.Xu Y D.Knightian uncertainty emotion of investors and the huge fluctuations of stock market.Journal of Systems Engineering,2015,30(6):736–745.(in Chinese)
[20]李勇建,乔晓娇,孙晓晨,等.基于系统动力学的突发事件演化模型.系统工程学报,2015,30(3):306–318.Li Y J,Qiao X J,Sun X C,et al.Modeling the evolution of emergency based on system dynamics.Journal of Systems Engineering,2015,30(3):306–318.(in Chinese)
1数据来源:“实际有效汇率指数”来源于国际清算银行;“私营部门的国内信贷与GDP的比率”来源于世界银行;“货币和准货币(M2)与总储备的比率”来源于国际货币基金组织.图中结果根据以上数据计算得出.