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Identifying the transmission mechanisms and growth effects of currency crises.

机译：确定货币危机的传导机制和增长影响。

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摘要

This thesis has two main underlying themes: providing a theoretical rationale for the existence of real growth effects of currency crises that explicitly accounts for the role of uncertainty regarding future domestic policies in the formulation of consumption and investment decisions; and distinguishing between apparently observationally equivalent theories of currency crises empirically, with the help of a unique database on gross external assets and liabilities.; In the theoretical section of this thesis, the objective is to demonstrate that there is a rationale to the fear of floating exhibited by policy makers, by showing that a currency crisis can have real short-term costs in terms of economic growth. The crisis and its adverse growth effects are sourced in uncertainty regarding future fiscal deficits, and expectations that these will be financed through seignorage revenues. This introduces volatility into exchange rate and domestic inflation expectations, which enters negatively into the capital accumulation process. The adverse effects on consumption though not necessarily on domestic investment can be partially smoothed if residents are allowed to undertake some domestic transactions in terms of foreign money, and to hold foreign assets. The main contributions of this chapter are to introduce growth into a crisis framework and to derive the contingency plans for consumption and investment in a manner consistent with the stochastic nature of the state of the economy.; In the empirical section of this thesis, I test across alternative, apparently observationally equivalent theories of currency crises, using a unique database on gross external assets and liabilities not readily available previously to researchers. I find evidence in support of insurance-based moral hazard models, as opposed to the liquidity argument. I also provide empirical evidence in support of the model developed in chapter two, by implementing a bi-variate probit model to control for simultaneity in growth and crisis occurrence and using volatility in domestic asset demands as a key predictor. The volatilities are conditional variances generated through the implementation of an ARCH(p,q) model and are also generated as moving averages of standard deviations.
机译：本论文有两个主要的基本主题：为货币危机的实际增长影响的存在提供理论依据，明确说明未来国内政策的不确定性在制定消费和投资决策中的作用；借助独特的外部总资产和负债数据库，从经验上区分明显不同的观察到的货币危机理论；在本文的理论部分，目标是通过证明货币危机在经济增长方面可能具有真正的短期成本，来证明决策者表现出对浮动性的恐惧是有道理的。这场危机及其不利的增长影响源于未来财政赤字的不确定性，人们期望这些赤字将通过封存收入来筹集。这将汇率波动引入了汇率和国内通胀预期中，从而对资本积累过程产生了负面影响。如果允许居民以外国货币进行一些国内交易并持有外国资产，则可以部分缓解对消费的不利影响，尽管不一定对国内投资产生不利影响。本章的主要贡献是将增长引入危机框架，并以符合经济状况随机性的方式得出消费和投资的应急计划。在本文的实证部分中，我使用研究人员以前不易获得的独特的外部总资产和负债数据库，对各种替代的，显然是观察上等效的货币危机理论进行了测试。我发现有证据支持基于保险的道德风险模型，而不是流动性理论。我还提供了经验证据来支持在第二章中开发的模型，方法是实施双变量概率模型来控制增长和危机发生的同时性，并利用国内资产需求的波动性作为主要预测因子。波动率是通过执行ARCH（p，q）模型而生成的条件方差，并且还作为标准差的移动平均值生成。

著录项

  • 作者

    Shankar-Mishra, Rashmi.;

  • 作者单位

    University of California, Santa Cruz.;

  • 授予单位 University of California, Santa Cruz.;
  • 学科 Economics Finance.; Economics Theory.
  • 学位 Ph.D.
  • 年度 2001
  • 页码 134 p.
  • 总页数 134
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;经济学;
  • 关键词

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