新兴市场国家货币危机的形成、演变和预警——基于二元分类模型的实证研究

A Study on the Currency Crisis Formation,Evolution and Early Warning in Emerging Market:Based on Binary Classification Tree Model

大量金融危机推动了很多理论创新来分析不同投机冲击的原因,但实证文献中具有"普适性"的模型仅能解释当前危机,却无法有效验证下次危机。本文通过研究新兴市场国家近40年的货币危机后发现:(1)货币危机属于不同类型,本文划分为三类:政策失衡类危机、金融过度类危机、外部债务及突然停止类危机;(2)货币危机由多种脆弱性因素共同引发,各类危机的预警指标组合及阈值不尽相同,发生概率不同;(3)第一类危机以货币贬值为代表,第二、三类危机以货币升值为代表,且均与信贷扩张相关,表明这些危机的起源很相似,也表明实际货币升值和国内信贷扩张是有效预测金融危机的最重要指标;(4)当资本市场过度杠杆化时,易引发货币危机;(5)第三类危机占总样本的21.69%,说明此类危机也普遍性很高。本文也给出了识别各类危机的关键指标及阈值组合,并对中国1994～2011年数据实证分析后发现:货币危机发生的概率较低,但近期仍应重点防范"金融过度"危机。

This paper studies the currency crisis and discovery the conclusion that： （ 1 ） Currency crisis were belong to different types, which was divided into three categories： policy unbalance crisis, financial excessive crisis, external debt and suddenly stop crisis. （2） Crises were caused by a variety of vulnerability factors. （3） The origin of the crisis is very similar, and currency appreciation and domestic credit expansion was the most important predictor. （4）The excessive leveraged capital market easily leads to crisis. （5）The third crisis to to- tal sample was 21.69%, we should pay more attention to this universality crisis. This paper also identifies the key indicators and threshold combination of ＂bad＂ factors. Base on China＇s 1994 -2011 data, we carried on real diagnosis analysis and found that the probability of currency crisis is low, but we should still focus on ＂financial excesses crisis＂.