投機攻擊與貨幣危機

Abstract

本文利用Flood and Marion （1999）所發展的跨代貨幣危機模型分析投機客攻擊貨幣的行為，主要的貢獻可分為兩個層次：第一、本文將不同時期的貨幣危機模型做一個串連；第二、我們重新檢視透明化政策所延伸的問題。首先，我們可以解釋第一代的貨幣危機中，投機炒作促成匯率制度提前崩潰的過程。其次，在第二代的貨幣危機中，預期所引發的投機炒作促成了貨幣危機。接著，我們可以在全域賽局的架構下，證明：訊息事件所帶動的投機炒作為導致貨幣危機的關鍵。最後，我們重新檢視透明化政策所延伸的問題後發現：透明化政策並非一定可以減低貨幣危機發生的機率；此外，唯有期初的國內信用值為適量的情況下，政府才可能透過採行透明化措施減低投機炒作。

This paper extends the cross-generation currency crises model, which is developed by Flood and Marion (1999), to analyze speculative attacks. There are two main purposes in this paper. One is to explain how speculative attacks can trigger off currency crises in various generations currency crises models. Another main purpose is to obtain when a govermment have to adopt a transparent policy. Several main findings emerge from the analysis. Firstly,a fixed exchange rate must break down at some point in time and speculators ought to attack the currency at that time under the conditions of first-generation currency crises model. Secondly, expectation can be a trigger for a speculative attack under the conditions of second-generation currency crises model. Thirdly,an ijformation event can precipitate a currency crisis in the currency crises model with noisy signal. Finally, increased transparency does not necessarily reduce the likelihood of speculative attacks, and a government prevents a currency crisis by adopting a transparent policy when the fundamental locates within a specific range.