金融危机国际传导机制的空间计量分析

Spatial Econometric Analysis on the Contagion of International Financial Crisis

本文运用空间计量经济方法,在Probit模型中引入政治经济空间权重矩阵,对1992-1993年欧洲货币体系危机、1994-1995年墨西哥金融危机、1997-1998年东南亚金融危机和2008年全球次贷危机四次金融危机传导中的三大效应进行实证检验,结果发现溢出效应和净传导效应比季风效应更能解释金融危机的传导。

This paper applies spatial econometrics,introducing political economics metrics in Probit model,to examine the monsoonal effect,spillover effect and net contagion effect simultaneously with data for four different currency crises,namely the EMS Crisis of 1992-1993;the Mexican crisis of 1994-1995;the Asian crisis of 1997-1998 and the subprime crisis of 2007-2009.It shows that spillover effect and net contagion effect are more confident in explaining financial contagion than monsoonal effect.