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The contribution of economic and institutional factors to currency crises: Additional evidence from Asia, Europe and the western hemisphere.

机译：经济和体制因素对货币危机的贡献：来自亚洲，欧洲和西半球的其他证据。

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摘要

Many countries worldwide have experienced serious financial crises in recent years with high costs in terms of reduced income and increased unemployment to their own countries as well as others. Financial crises have taken three main forms, which are currency crises, banking crises, or both. Recent examples of financial crises include the European currency crises of 1992--1993, the Mexican crisis of 1994--1995, the Asian crisis of 1997--1998, the Russian crisis of 1998--1999, the Brazilian crisis of 1998--1999, and the Argentine crisis of 2001--2002.; The objective of this paper is to re-evaluate the causes of currency crises by focusing on the contribution of both economic and institutional factors to crises. Institutional factors are broadly conceived and range from activities like corruption, government stability, ethnic tension, and adherence to the rule of law to whether a country has capital controls, deposit insurance, or an independent central bank. A growing body of literature already recognizes the role played by institutions to economic growth and financial development. Because currency crises are closely linked with economic growth and financial development, it seems sensible to extend this work to currency crises.; The experience of Asia, Europe, and the western hemisphere between 1972 and 2002 will be investigated. A graphical event study and several multivariate probit models are used to identify the contributions of economic and institutional variables to the probability of a currency crisis. The relationship between the depth of a currency crisis and economic and institutional factors are also explored using panel OLS, seemingly unrelated regression, and fixed, random, and between effects estimation. Lastly, I explore differences in the average values of institutional factors based on the size of the contraction in real GDP.; The event study shows that for the most part, institutions such as government stability and law and order are weaker in the lead up to and following a currency crisis. Corruption, ethnic tensions, external conflict, and internal conflict also tend to be worse around the time of a crisis. My results generally confirm the hypotheses and to some extent support the anecdotal evidence from the event study that weak institutions may set the stage for currency crises. In multivariate probit regressions of currency crises, I find that institutional factors play a role both in the probability of a currency crisis and in the depth of the contraction in output over the crisis period. My results show that corruption, deposit insurance, a fixed exchange rate regime, low levels of government stability, and low levels of law and order increase the likelihood of a currency crisis. These factors are also key factors in the depth of a crisis, as measured by the decline in real GDP per capita relative to trend. Finally, I find evidence that countries with more corruption, ethnic tensions, external conflict, and internal conflict have bigger contractions in output, and those countries with lower bureaucratic quality, government stability, and law and order have larger contractions in output.
机译：近年来，世界上许多国家经历了严重的金融危机，付出了高昂的代价，减少了本国以及其他国家的收入，增加了失业率。金融危机已采取三种主要形式，即货币危机，银行危机或两者兼而有之。金融危机的最新例子包括1992--1993年的欧洲货币危机，1994--1995的墨西哥危机，1997--1998的亚洲危机，1998--1999的俄罗斯危机，1998--的巴西危机1999年，以及2001--2002年的阿根廷危机。本文的目的是通过关注经济和制度因素对危机的贡献来重新评估货币危机的成因。制度因素的概念广泛，范围从腐败，政府稳定，种族紧张和遵守法治等活动到一国是否拥有资本管制，存款保险或独立中央银行等活动。越来越多的文献已经认识到机构对经济增长和金融发展的作用。因为货币危机与经济增长和金融发展密切相关，所以将这项工作扩展到货币危机似乎是明智的。将研究1972年至2002年之间的亚洲，欧洲和西半球的经验。使用图形事件研究和几个多元概率模型来确定经济和制度变量对货币危机可能性的贡献。还使用面板OLS，看似无关的回归，固定，随机以及效应估计之间的关系探讨了货币危机的深度与经济和制度因素之间的关系。最后，我根据实际国内生产总值收缩的规模探讨制度因素平均值的差异。事件研究表明，在货币危机爆发之前和之后，诸如政府稳定和法律与秩序之类的机构在大多数情况下都较弱。在危机发生之时，腐败，种族紧张局势，外部冲突和内部冲突也趋于恶化。我的研究结果大体上证实了这一假设，并在一定程度上支持了事件研究中的传闻证据，即弱小的机构可能为货币危机奠定了基础。在货币危机的多变量概率回归中，我发现制度因素在货币危机的可能性和危机期间的产出收缩深度中都发挥着作用。我的结果表明，腐败，存款保险，固定汇率制度，较低的政府稳定性以及较低的法律和秩序会增加发生货币危机的可能性。这些因素也是危机深度的关键因素，以人均实际GDP相对于趋势的下降来衡量。最后，我发现有证据表明，腐败，种族紧张局势，外部冲突和内部冲突较多的国家的产出收缩较大，而官僚素质，政府稳定和法律与秩序较低的国家的产出收缩较大。

著录项

  • 作者

    Shimpalee, Pattama.;

  • 作者单位

    University of South Carolina.;

  • 授予单位 University of South Carolina.;
  • 学科 Economics General.
  • 学位 Ph.D.
  • 年度 2004
  • 页码 210 p.
  • 总页数 210
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 经济学;
  • 关键词

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