投机性冲击理论模型的演进——以东亚货币危机的经验验证

807080,,,,,;,()80,,,(),,,,,,,,(),,:m2p=2(i),0(1)mM,pP,i,,m=d+r,mdr,p=p3+s(2)i=i3+Ûs(3)p3i3,,s,Ûs,s=€s,Ûs=0,i=i3,(2)(3)(1),:d+r2p3s=2(i3)(4)55M/P=a02a1i,M/P,,©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=p3+s-(i3):,(d+r),;,,,r=0,,,,,,,,(ShadowRate),„s,:d2„s=2(„s(r=0;i3,p3,,i3=p3=0),,„s=+d(5)11,Ad=dA,„ssddA,„ss,,,,;ddA,„ss,,,(),d=dA,,,(),:1.,,;2.,,r=2,dt=d0+t,rt=r02t,T,r=0,,2r=r02t=,,T=(r02)/(6),r0,,(),,,1.,,,(sterilization),,(,),,,,,,m=m,s=s,:m2p32s=2(i3)(7),0,i=i3+,m2p32„s=2(i3+)(8)6519993©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(8)2(7),„s2s=0(9)(9),,,„ss;,,,,,,2.,,,,,,,(riskpremium),:i=i3+s+(b2b32s)(10),bb3,,,,,b3,,r=/(1+),,,(10),Ûs,,,,3.(perfectforesight),,,,,,(FloodMarion,1996),,,:i=i3+Et„st+12„st+t(bt2b3t2„st)(11),t(t)(),t,,(nonlinearity),,,,,,,,;,75©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(multipleequilibria)()(self2fulfilling),(),(),:,0,,1,,(2):(1)ddB,,(s0,s1,s);(2)d=dB,CB,,(),BC;(3)dBddA,,(19922),(s1),,,,;(4)ddA,()(dBddA),,(MorrisShin,1995),(d,[d2,d+]),,,,,,dBddA,(Banerjee,1992),,n,n+1,,(CalvoMendoza,1997),(informationalfrictions),;,,,(),,(state2dependent),,8519993©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(Obstfeld,1994),,,(1992EMS);,,,(EMS)(),()(1997),,,,,,,,,,,,,;,,19975,,:,;,,()1.,(3),,:(1);(2);(3),2.,,,,,,IMF,57,69(),1012,100,67,14,95©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.():IMF,WorldEconomicOutlook,199893.(),,,,,OECD,,1996,,;,(,,),,,(),,,?4.,,IMF,(),,(M2)(),,(,),(IMF),,()90,1997,,,0619993I.J.Macfarlane,TheChangingNatureofEconomicCirises,ReserveBankofAustralia,December1997.©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:;;;,,,;,,,,,,2.,,,()(),(,,,,);,,,,,,,3.,():19901996,19961997,,(),,(),,,,,,[1]Banerjee,A.(1992),ASimpleModelofHerdBehavior,QuarterlyJournalofEconomics,CVII.[2]Flood,R.andGarber,P.(1984b),CollapsingExchangeRateRegimes:SomeLinearExamples,JournalofInter2nationalEconomics17.[3]Flood,R.P.andNancyP.Marion(1997),PerspectivesontheRecentCurrencyCrisisLiterature,NBERWork2ingPaper6380,December1997.[4]I.J.Macfarlane,TheChangingNatureofEconomicCrises,ReserveBankofAustralia,December1997.[5]Krugman,P.(1979),AmodelofBalanceofPaymentsCrisis,JournalofMoney,Credit,andBanking11.[6]Obstfeld,M.(1994),TheLogicofCurrencyCrises,CahiersEconomiquesetMonetaires43.(::)16©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.