De facto exchange rate regimes and currency crises: Are pegged regimes with capital account liberalization really more prone to speculative attacks?
De facto exchange rate regimes and currency crises: Are pegged regimes with capital account liberalization really more prone to speculative attacks?
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DOI：
10.1016/j.jbankfin.2009.11.007
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发表时间：
2010-06-01
影响因子：
3.7
通讯作者：
Esaka, Taro
中科院分区：
文献类型：
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作者：
Esaka, Taro
本文运用probit模型对1980-2001年间84个国家的实际汇率制度是否影响货币危机的发生进行了实证研究。我们采用莱因哈特和罗格夫（2004）的事实上的分类，使我们能够以更高的精度估计相对长期的汇率制度对货币危机的影响。我们发现，与浮动制度相比，挂钩制度显著降低了货币危机的可能性。通过使用汇率制度和资本管制存在的综合数据，我们还发现了有趣的证据，即与其他制度相比，与资本账户自由化挂钩的制度显著降低了货币危机的可能性。这些结果对各种各样的样本和模型都具有鲁棒性。从宏观经济政策三难困境的角度来看，我们可以推测，与资本账户自由化挂钩的政权基本上不太容易受到投机攻击，因为它们可以通过放弃货币政策自主权来提高其货币的可信度。(C) 2009 Elsevier B.V.版权所有
This paper empirically examines whether de facto exchange rate regimes affect the occurrence of currency crises in 84 countries over the 1980-2001 period by using the probit model. We employ the de facto classification of Reinhart and Rogoff (2004) that allows us to estimate the impact of relatively long-lived exchange rate regimes on currency crises with much greater precision. We find that pegged regimes significantly decrease the likelihood of currency crises compared with floating regimes. By using the combined data of exchange rate regimes and the existence of capital controls, we also find interesting evidence that pegged regimes with capital account liberalization significantly lower the likelihood of currency crises compared with other regimes. These results are robust to a wide variety of samples and models. From the standpoint of the macroeconomic policy trilemma, we can conjecture that pegged regimes with capital account liberalization are substantially less prone to speculative attacks because they can enhance greater credibility in their currencies by abandoning monetary policy autonomy. (C) 2009 Elsevier B.V. All rights reserved.