Evaluating Capital Account Liberalization and Exchange Rate Regimes : An Empirical Study by Controlling for the Endogeneity of Policy Selection

评估资本项目自由化和汇率制度:控制政策选择内生性的实证研究

• 批准号: 20730218
• 负责人: ESAKA Taro
• 金额: $ 1.66万
• 依托单位: Kobe City University of Foreign Studies
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Young Scientists (B)
• 财政年份: 2008
• 资助国家: 日本
• 起止时间: 2008 至 2009
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-20730218/
• 关键词: 為替制度; 資本自由化; 通貨危機; 政策評価; 国際金融; 固定相場制; 資本規制; 通背危機

This study evaluates the effect of de facto exchange rate regimes on the occurrence of currency crises. To estimate the effect of exchange rate regimes properly, we must control the simultaneous problem, the problem of reverse causality, and the self-selection problem of regime adoption. However, previous studies do not explicitly address these problems. To address these problems, we employ a variety of microeconometric methods and examine the effect of de facto exchange rate regimes on the occurrence of currency crises and the effect of exchange rate regimes under restricted or liberalized capital flows on the incidence of currency crises. We find that pegged regimes significantly decrease the likelihood of currency crises compared with floating regimes. 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 econometric methods and samples.

本研究评估了事实上的汇率制度对货币危机发生的影响。要正确估计汇率制度的效果，必须控制同时性问题、逆向因果关系问题和制度选择的自我选择问题。然而，之前的研究并没有明确解决这些问题。为了解决这些问题，我们采用多种微观计量方法，考察了事实上的汇率制度对货币危机发生的影响以及资本流动限制或自由化下的汇率制度对货币危机发生的影响。我们发现，与浮动汇率制度相比，挂钩汇率制度显着降低了发生货币危机的可能性。我们还发现有趣的证据表明，与其他制度相比，与资本账户自由化挂钩的制度显着降低了发生货币危机的可能性。这些结果对于各种计量经济学方法和样本都是稳健的。

项目成果

公表した為替制度から実際の為替制度の乖離が通貨危機の発生に影響を与えていたか

公布的汇率制度与实际汇率制度的偏差是否影响了货币危机的发生？

• 发表时间: 2008
• 作者: Esaka;Taro;Taro Esaka;Taro Esaka;江阪太郎;江阪太郎
• 通讯作者: 江阪太郎

Exchange Rate Regimes, Capital Controls, and Currency Crises: Does the Bipolar View Hold?

汇率制度、资本管制和货币危机：两极观点是否成立？

• 发表时间: 2010
• 期刊: Journal of International Financial Markets, Institutions and Money 20,Issue1
• 作者: Esaka;Taro
• 通讯作者: Taro

実際の固定相場制の通貨危機発生への影響:Propensity Score Matching法による分析

固定汇率制度对货币危机发生的实际影响：基于倾向得分匹配法的分析

• 发表时间: 2010
• 期刊: Kobe City University of Foreign Studies Working Paper Series No.36
• 作者: Esaka;Taro;江阪太郎
• 通讯作者: 江阪太郎

De facto exchange rate regimes and currency crises: Are pegged regimes with capital account liberalization really more prone to speculative attacks?

• DOI: 10.1016/j.jbankfin.2009.11.007
• 发表时间: 2010-06-01
• 期刊: JOURNAL OF BANKING & FINANCE
• 影响因子: 3.7
• 作者: Esaka, Taro

De facto exchamlge rate regimes and currency crises : Are pegged regimes with capital account liberalization really more prone to speculative attacks?

事实上的汇率制度和货币危机：与资本账户自由化挂钩的制度真的更容易受到投机攻击吗？

• 发表时间: 2010
• 期刊: Journal of Banking and Finance 34
• 作者: Esaka;Taro;Taro Esaka;Taro Esaka
• 通讯作者: Taro Esaka