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上海交通大学硕士学位论文新兴市场国家金融危机比较研究——以东南亚金融危机与越南危机为例姓名：周维申请学位级别：硕士专业：金融学指导教师：费方域20090101I199720081997II200819972008IIICOMPARATIVEANALYSISOFFINANCIALCRISISINTHEEMERGINGMARKETCOUNTRIESTHESOUTHEASTASIANFINANCIALCRISISANDTHEVIETNAMCRISISABSTRACTBasedonthetheoryoffinancialcrisis,thethesischoosesthefinancialcrisisinSoutheastAsiain1997andinVietnamin2008asthemainobject.ThesetwoaretheoutbreakofthefinancialcrisisinAsiancountries,andthecrisisinVietnamandThailandwhichisthecountrythattheSoutheastAsianfinancialcrisisfirsteruptedhasmanysimilarities.Thisthesisattemptstocomparativeanalysisthesetwofinancialcrisesinthereasonsandtheresults.Thisthesisisalsoaimtoexploreitsoccurrence,thereasonforthemechanismandprovidereferenceandinformationfortheresearchinfinancialcrisisinemergingmarkets.Inanalysisthecauseofthefinancialcrisis,thisthesisfocusedontheeconomicgrowthmodel,financialliberalization,theinflowofforeigncapitalandassetbubbles.Therootcauseofthecrisisistheeconomicgrowthmode.Attheearlystage,thismodelcreatedaneconomicmiracle,attractedalargenumberofcapitalflows,domesticfinancialarepassivelyopened.Financialliberalizationleadstothefinancialvulnerabilityandafterfinancialliberalization,alargenumberofforeignicapitalinflows.IVBecausetheexternalityofinvestment,foreigncapitalinflowoverthetendency.Ontheonehand,excessiveinflowofforeigncapitalflowstonon-productiveenterprises,thuspushinguptheassetprices,causingassetbubbles,ontheotherhand,leadtoincreaseexternaldebt.ThenuseaModeltoprovetheexternaldebtisnotcoordinatewiththeeconomicgrowthandcurrentaccountbalance,whichcouldtriggeracrisis.Andthenuseearlywarningmodeltoanalysisthe1997financialcrisisinSoutheastAsiaandVietnamin2008,theresultsshowthatthecentralfiscalexpenditureandthecurrentaccountbalancehasasignificantroletothecrisis.Finally,usethemultipleequilibriummodelstoexplainthedifferentcontagionbetweenthesetwocrises.Thismodelprovedthatthefundamentalreasonforcontagionisacountry’seconomicfundamentals.KEYWORDS:theemergingmarket,financialcrisis,comparativeanalysis11.1208080909011901992ERM199419971998199820002001200720081998WorldEconomicOutlook19985315811642197520011-221975-19791980-19891990-2001337237232.91.93.37.236.513161738112512.4108.111.94.87.1212102131.90.60.953.10.93.720801981AntoineW.vanAgtmaeGDP2003Heakal80%20%905%7%3%9019941997199920022001200720081.2320701997200841-11.3orderedlogit1997200820081997200852.12.1.190IMF1998IMF199812342.1.22001620032.1.31192919332030192920901997208019861996133Honohan1996202209071992199419975199732090199419972090501975199742090207020906080809082.220702.2.11979Krugman-Flood-Garber1979modelofbalanceofpaymentofcrisis(),0mpiαα−=−2.1mpiαmdrmdr=+2.2PPs∗=+2.3iis∗∗=+2.4P∗i∗ss∗/sss∗0ii∗=()drpsiα∗∗+−−=−2.592-119941996s%dssα−=−%%2.6sdαµ=+%2.72-2AAAdAdαµS%ASdS10AAdA2.2.22090199290Obstfeld1994Obstfeld1994DrazenMassonDrazenJeanne0µ1µ112-31Bd1Sµ%S2B1Sµ%0Sµ%BA3AdBd1Sµ%0Sµ%1Sµ%4Ad2211()22tLyyZCδ∗=+−+2.8Lδtyy∗01Ctπ11()tttEee−−−21()2FtttLyαπµ∗=++2.921(1)()2RtttLyCλαπµ∗=−+++2.100FRttLL−21(1)()2ttyCλαπµ∗−++BdCB1Sµ%Adαµ0Sµ%ASdS1219922.2.3199712ChangeDD13edbRY()(1)()ReYRedbdbRdb=+−−+=−−+2.11R1bedbrr1e+db+r(e+d-b)3902-41211eissi∗+=•+2.12DD∗RR∗1412/(1)DDDi∗∗∗∗=++2.1312/(1)RRRi∗∗∗∗=++2.1422112()(1)(1)eRDRDiRDis∗∗∗−+−++−+2.152.152.3(GNP)207019821994199719982000200120082.3.12007,:12,3152.3.22003,,2.3.32007161997200819973.120081997199720073.1.12007552006446605420073002007GDP7001997200817020040060080010001200200012200112200212200312200412200512200612200712VNIndex3-1FDI0200040006000800010000120001400016000180002000020012002200320042005200620073-2FDI3.1.22090199219960.444.67100.266.743019901996271.82638.81135%189.54422.36122.8%199719971997181192.8519981127.64200120011201.7320061685.0819980.7%20076.4%199720063844.04199720071.0274.6672.20200040006000800010000120001400016000199619971998199920002001200220032004200520063-33.1.32007192008525.2%132008151442003CPI2007695PPI343-4---20-200720083.23.2.120206046(31):19901996GDP1/51/22/3:30%3-1()GDP19801989199019911992199319941995199619979.53.89.214.213.512.610.59.78.87.33.45.16.36.15.43.94.95.33.85.13.810.30.61.53.90.91.93-0.60.32.14.44.85.75.15.398.97.27.37.58.2851.93-0.60.32.14.44.85.75.17.397.36.210.410.58.76.97.87.89.59.15.15.88.68.97.15.58.15.47.66.86.36.565.76.97.311.68.18.28.58.68.85.5-0.490213-219941996199419951996451564557544707734931431773.2.2198619931997,919971999519862187GDP2000312200771320025.982007124GDP20021.7200717.419976.51986211997199437919979383-32003200720032004200520062007-4.9-2.1-1-0.5-8-4.8-4.7-4.6-4.1-4.922200819973.33.3.1205090205060207080206070808090199150050231993FDI2007178.620062.48600831FDI2006FDIFDI2.7%200726.4%BanViet20062007100GDP9012Prasadetal20043.3.21985Carlos1998Denicourt26124219971/3FDI3219973-519973-63.43419901996253-41990199619901991199219931994199519964.70.81.32.40.82.52.84.211.714.916.81.88.56.444.91.23.76.45.59.211.412.78.9108.813.59.3FDIGDP051015202530200220032004200520062007FDIFDIGDP3-720022007FDIGDP3.4.1MontielReinhart(2000)12080BrandyPlan198626219903209020902080908012%1990199643%3.4.2200235199319963-51985199619851