貨幣危機之評估—區域傳染效果與信用違約交換指數之應用

Abstract

2008年9月15日全球第三大投資銀行雷曼兄弟宣告倒閉後，接連其他跨國性的投資銀行、歐美大型的跨國金融機構接連失守，各國股市相繼崩盤，各國的匯率亦大幅貶值，無論是新興東歐的國家或是開發中國家，例:英國、澳洲、紐西蘭皆面臨貨幣大幅貶值。企業面臨外匯波動最為劇烈時期，企業獲利面對有史以來的大幅修正。匯率之議題再次引起當局及投資人的重視。因此本研究希望透過不同地區的國家分類方式，研究自近十年間不同地區主要影響匯率的預警指標，並加入新的自變數-CDS指數及區域跨國貨幣危機的蔓延效果，探討其是否可能成為顯著的指標，提供政府及投資人作為匯率的另外參考。 本研究主要以1999年4月至2009年2月(近十年)之間28個國家月資料作為研究樣本，篩選近18個貨幣危機指標變數，以Panel Logit模型實證分析四大地區各別的貨幣危機顯著指標。研究結果顯示: CDS數值雖於東南亞地區及新興東歐地區不為顯著的良好預警指標，但其仍能提供已開發國家地區及南美政府參考的良好指標。至於區域間的跨國漫延效果則於南美地區及新興東歐地區顯著，顯示此二地區國家易受鄰近國貨幣危機的不利影響，值得政府多加關心區堿間的經濟發展情勢。

After Lehman Brothers filed for Chapter 11 bankruptcy protection on September 15, 2008, the global financial crisis of 2008–2009 began rapidly. Stock markets worldwide crashed and entered a period of high volatility, and a considerable number of banks, mortgage lenders and insurance companies failed in the following weeks. Many countries encountered huge currency depreciation not only in developing countries but in developed countries. Enterprises also faced the most volatile currency period, profits were revised downward enormously. The issue of currency again aroused governments and investors’ concern. Therefore, this research wants to discover what differences exist in indicators of currency crises by different zones. Moreover, we add two new variables (CDS index and contagious effect regionally) in currency crises model to find whether these two variables can give another implication and reference for government policy makers and investors. We use panel logit model on a panel of monthly data for 28 industrial and developing countries for the period April, 1999 –Feberary,2009 as sample to test for 18 indicators of currency crises by four different zones. The evidence shows that CDS index is a good indicator in south-east Asian and emerging east European nations. As for regional contagious effect is significant in Latin-American and emerging east European countries, which indicates these two regional countries will face negative impact when neighbor counters encounter currency crises. As a result, these two regional countries governments should pay more attention on regional financial environments.