可置信政策、汇率制度与货币危机:国际经验与人民币汇率市场化改革启示

Credibility of Policies,Exchange-rate Regime and Currency Crises:Empirical Evidence from Emerging Markets and Developing Countries

本文从外汇市场微观结构理论角度,阐释了一国政府对外宣布的汇率制度,以及该国汇率政策的可置信性对货币危机发生的影响,并基于新兴市场与发展中国家1970—2010年的经验数据进行了实证分析。研究发现,一国政府对外宣布的汇率制度弹性越大、容忍本国汇率波幅变动越大,其发生货币危机的几率反而更大;此外,若一国政府的汇率政策的可置信较低,将更容易引发国际投机资本对本国汇率进行投机冲击,增加发生货币危机几率。人民币汇率市场化改革,不应放纵汇率完全自由过度波动,尤其在应对国际投机冲击时,试图通过扩大汇率弹性消除投机冲击的政策,反而可能将增加货币危机发生几率;加强正确的预期引导与审慎监管、引入"逆周期因子"机制防止非理性情绪放大单边市场预期与自我强化、提高政府维护汇率稳定政策的可置信性,将有助于消除市场恐慌,减少投机冲击,防范货币危机发生。

Summary： Most of emerging markets suffered exchange rate slumping and currency crisis just after their declaration of more floating exchange rate arrangements. For emerging markets and developing countries such as China, deepening the reform of the exchange rate regime requires the prevention of currency crises. From the perspective of microstructure theory for the foreign exchange market, we theoretically analyze the influence of exchange rate regime declarations and the credibility of exchange rate policies on the occurrence of currency crises. Following Drazen ＆ Masson （1994） , Alesina ＆ Wagner （2006） , using the exchange rate regime classification data of Reinhart ＆ Rogoff （2004） and Ilzetzki et al. （2011） , we develop a database of exchange rate policy credibility including 153 countries. The credibility of exchange rate policy is calculated by the difference between the officially declared exchange rate regimes and the actual regimes--that is, the difference between de jure regimes and de facto ones. Based on the data for emerging markets and developing countries from 1970 to 2010, we also empirically analyze the influence of the announcement of a particular exchange rate regime and the credibility of exchange rate policies on the occurrence of currency crises. Our results suggest that for emerging markets and developing countries, the more floating exchange rate regimes the government announces, which means greater tolerance of exchange rate volatility, the more likely a currency crisis is to occur. This is because under the joint action of fundamental and technical analysis traders, greater exchange rate flexibility will be likely to cause the formation of the exchange rate depreciation trend, and the trend-following strategy of the exchange rate traders will enlarge the speculative impact, resulting in a vicious cycle of increased downward pressure of depreciation and speculation and easily triggering a self-actualized currency crisis. In addition, if a country＇s exchange rate policies lack credibility, it will easily trigger speculative attack from international speculative capital, which will increase the chance of a currency crisis, while if a country＇s exchange rate policy is credible, it will reduce the chance of a currency crisis. Our research has significant policy implications. First, for emerging markets and developing countries, when the government authority is setting and announcing exchange rate policies, greater exchange rate flexibility does not mean better, as excessive tolerance of exchange rate fluctuations will make speculative attacks on the exchange rate profitable, which will increase the risk of a currency crisis. Second, even under the floating exchange rate regime, appropriate foreign exchange intervention and correct expectations are conducive to exchange rate stability and thus necessary. Third, it is crucial that the government authorities＇ exchange rate policies are credible when dealing with international speculative attacks, to make the public and the market confident that the authorities＇ policy to maintain exchange rate stability is credible. This will help to eliminate market panic, reduce speculative attack and guard against a currency crisis. Our research has enriched the literature on currency crises and exchange rate regime reforms across the following aspects. First, we apply the latest microstructure theory for the foreign exchange market to analyze speculative attacks in exchange markets and the occurrence of currency crises to enrich and develop the currency crisis theory from the micro foundation aspect. Second, we further explain why many countries have a ＂ fear of floating＂, empirically supporting the theoretical results of Calvo ＆ Reinhart （2002）. Third, our research on the credibility of exchange rate policies＇ impact on the occurrence of currency crises not only enriches and expands the field of macroeconomic policy credibility and its effectiveness but also provides further empirical evidence supporting the theoretical results on currency crises in Drazen ＆ Masson＇s （1994） and Obstfeld＇s （1996） research.