基于信息的双重危机模型及其在东亚危机中的应用

An Information-based Model of Twin Crises, with an Application to the East Asian Crisis

由于近来在新兴市场国家发生的一系列货币危机都同时伴随着银行危机的发生,要全面地理解这些货币危机,我们需要将具有微观基础的银行部门明确地纳入到货币危机的分析模型中去。本文通过应用基于信息的银行挤兑模型,建立了一个双重危机模型,并对诸如经济基本面的脆弱如何导致双重危机,以及银行危机和货币危机如何相互作用等问题,做出了内生化的解释。模型抓住了最近新兴市场货币危机的本质特征,并与最近东亚危机的经验事实非常符合。

Because the recent currency crises in emerging markets simulta- neously had banking crises, a full understanding of the crises requires an explicit modeling of the banking sector with firm microeconomic foundations. This paper develops one such model of twin crises by employing the information-based bank run models, thus gives all endogenous explanation of how fundamental weakness causes the twin crises and how banking and currency crises interact with each other. The model captures the essential features of the recent emerging market crises, and is particularly consistent with the recent East Asian experience.