国际资本流动“突然中断”的预警指标体系研究
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财经研究 2013 年 第 39 卷第 02 期, 页码：5 - 15
摘要
参考文献
摘要
作为一种新的外部危机形式,国际资本流动"突然中断"在新兴市场国家频繁发生,对经济造成了沉重打击。构建"突然中断"的预警系统,对于完善已有的危机预警体系具有重要的现实意义。文章在"突然中断"理论研究的基础上选择合适的预警指标,采用Probit模型和KLR信号法构建了预警指标体系,并进行了预警能力的考察。结果表明,单项指标与综合指标均具有良好的预警能力。与货币危机的预警指标体系相比,文章结果突出了国际金融市场指标和资本账户结构指标的重要作用,说明"突然中断"是一种与国际投资者行为密切相关的特殊危机形式。
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[5]Agosin M,Huaita F.Overreaction in capital flows to emerging markets:Booms andsudden stops[R].SDT Working Paper No.295,2009.
[6]Brana S,Lahet D.Determinants of capital inflows into Asia:The relevance of conta-gion effects as push factors[J].Emerging Markets Review,2010,11(3):273-284.
[7]Calvo G.Capital flows and capital-market crises:The simple economies of suddenstops[J].Journal of Applied Economics,1998,(1):35-54.
[8]Calvo G.Explaining sudden stops,growth collapse and BOP crises:The case of dis-..tortionary output taxes[R].NBER Working Paper No.9864,2003.
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[10]Calvo G.Monetary policy challenges in emerging markets:Sudden stop,liability dol-larization,and lender of last resort[R].NBER Working Paper No.12788,2006.
[11]Cavallo E A.Trade,gravity and sudden stops:On how commercial trade can increasethe stability of capital flows[R].IDB Working Paper No.491,2006.
[12]Chari V V,Kehoe P J.Financial crises as herds:Overturning the critiques[J].Jour-nal of Economic Theory,2004,119(1):128-150.
[13]Edwards S.Capital controls,capital flow contractions,and macroeconomic vulnera-bility[J].Journal of International Money and Finance,2007,26(5):814-840.
[14]Frankel J A,Rose A K.Currency crashes in emerging markets:An empirical treat-ment[J].Journal of International Economics,1996,41(3-4):351-366.
[15]Hevia C.Optimal policy with sudden stops[R].Department of Economics,The Uni-versity of Chicago.2007.
[16]Honig A.Do improvents in government quality necessarily reduce the incidence ofcostly sudden stops?[J].Journal of Banking and Finance,2008,32(3):360-373.
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[23]Rothenberg A D,Warnock F E.Sudden flight and true sudden stops[R].NBERWorking Paper No.12726,2006.
引用本文
关益众, 刘莉亚, 程天笑. 国际资本流动“突然中断”的预警指标体系研究[J]. 财经研究, 2013, 39(2): 5–15.
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