退出盯住汇率制度的动因:基于生存分析技术的实证研究

Survival Analysis on Exits from Exchange Rate Peg

本文利用生存分析技术对盯住汇率制度的持续期进行了实证研究。本文收集了23个国家48个样本数据。考虑到不同退出模式下经济体的不同表现,将样本国家分成了两类:贬值性退出模式的国家和非贬值性退出模式的国家,然后使用非参数方法和半参数方法,对这两类样本群体分别估计了危险率、基线危险函数和影响因素的系数。实证结果表明,两种退出模式下的决定因素存在着明显的差异。盯住汇率的持续期是决定退出模式和退出可能性的重要决定因素:贬值性退出的可能性会随着时间的推移而不断的增加,而非贬值性退出更容易发生在盯住汇率制度的早期;此外,某些决定因素在两类退出中表现迥异,比如,金融深化程度的提高会增加贬值性退出的可能性,但却降低了非贬值性退出盯住汇率制度的可能性。

In the paper, we employ survival analysis technique to investigate determinants on exits from exchange rate peg. We classify exits from exchange rate pegs into two categories, exit with depreciation, and exit without depreciation. We collect 48 samples from about 23 countries,and estimate hazard rates, baseline hazard functions and coefficients of determinant for these two categories via non-parameter method and semi-parameter method. Our empirical results show that probability of exit from a peg is dependent on duration of the peg,the probability of exit with depreciation is positively dependent on the duration of the peg; on the contrary, the probability of exit without depreciation is bigger in early stage of the peg; furthermore,some determinants of exit from peg have significant different performances with respect to the two exits. For example,a high degree of financial depth increases probability of exit with depreciation,but decreases probability of exit without depreciation.