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題名 新興市場國家金融危機成因之研究—以俄羅斯為案例
The Research on the Causes of Financial crises in the Emerging-Market Economies -- the Case Study of Russia作者 羅任媛
Lo, Jen-Yuan貢獻者 吳玉山
Wu, Yu-Shan
羅任媛
Lo, Jen-Yuan關鍵詞 金融危機
新興市場國家
經濟轉型
經濟基本面
外資
資本帳自由化
financial crisis
emerging market economies
economic transition
economic fundamentals
foreign capital
capital-account liberalization日期 2001 上傳時間 15-Apr-2016 15:59:02 (UTC+8) 摘要 本論文的研究含括了墨西哥金融危機、亞洲金融危機與俄羅斯金融危機，主要是希望能歸納出90年代新興市場國家發生金融危機的普遍性原因。首先本論文先探討分析文獻上三大類型的金融危機理論，含括金融危機可預測與不可預測的原因。本論文試圖將可預測的經濟基本面歸為內部因素，不可預測的國際資金變動歸為外部因素。當一新興市場國家正在從事經濟結構改革或經濟轉型，而資本市場架構與金融機構監督機制與規範都尚未健全時，如果該國將金融市場自由化並允許大筆外資流入國內金融體系，則短期、投機性國際資金將會扭曲金融結構，造成經濟基本面的惡化。當不可預測的國際資金環境轉變時，一方面受到資金逆流衝擊著脆弱的金融部門，另一方面已經不健全的經濟基本面將嚴重惡化。此時政府採取的提高利率政策與賣出外匯捍衛本國釘住匯率制，卻會同時嚴重傷及本國銀行體系，促使金融機構面臨倒閉、陷入流動性不足的危機，結果投資者的信心仍然潰散而國內則造成金融體系的崩潰，終而引發全面性的金融危機。在建立了初步的研究假設後，我們以墨西哥金融危機與亞洲金融危機作為驗證。我們的研究案例中將包括危機發生的國家與當時未發生危機的國家作為對照組。在墨西哥危機，我們以智利作為對照組。在亞洲五國危機（印尼、韓國、馬來西亞、菲律賓與泰國），我們以中國大陸、新加坡、台灣作為對照組。在確立了我們的理論模型後，我們以個案研究的方式深入瞭解俄羅斯特殊的轉型經濟體質。俄羅斯激烈的經濟結構改革措施，使國家從金融封閉整合入世界資本市場。俄羅斯面臨著外資大量流入金融市場，然而總體經濟面卻在財政與貨幣政策相互矛盾的狀況下，實質經濟依舊無法發展起來，而金融體質嚴重惡化的情況。俄羅斯的案例也同樣證明本論文的論點，一個新興市場國家資本帳的開放必須有其先決條件且循序漸進的開放。一國能否將國際資金導入對於實質產業有所助益的直接投資，是新興市場國家所面臨的重要課題。不然，資本自由化先決條件的不足而快速地實施自由化，將只是加速金融危機的到來。
This research has included the financial crises of Mexico, Asia and Russia, mainly expecting to conclude the general causes for the financial crises of emerging market economies in the 1990s. First, the paper reviews the three types of theoretical literature on financial crises, including predictable and unpredictable causes. This thesis tries to refer to the predictable economic fundamental part as internal factors, and the unpredictable, international capital mobility as external factors. When an emerging market country is engaged in economic structural reform or economic transition, and when the capital-market architecture and the system of financial-sector supervision and regulation are not sound, if the country liberalize financial market and allow large-scale foreign capital to inflow into domestic financial system, then short-term, speculative international capital will deteriorate financial structure and the economic fundamentals will become worse. When the environment of unpredictable international capital changes, on the one hand, the withdrawal of foreign capital impacts the vulnerable financial sector, and on the other hand, the unhealthy economic fundamentals will become seriously worse. At the same time, the government takes measures to raise interest rates and to sell foreign currency to defend the pegged exchange rate, which will seriously weaken the banking system, causing the bankrupt and the crisis of illiquidity. As a result, the confidence of investors will crash down and the native financial institutions will collapse, and this gives rise to the financial crisis in large scale. After the presumption of this research, we take Mexican and Asian financial crises for example. We try to give corresponding cases for contrast. In Mexican crisis, we take Chile as a contradistinctive group. In five Asian country crises (Indonesia, Korea, Malaysia, Philip, and Thailand), we take China, Singapore, and Taiwan as a contradistinctive group. After proving our model, we try to take Russia as a case study because of the special nature of economic transformation of Russia. The policy of drastic structural economic reform has made Russia step from the financial isolation to the integration into World’s capital market. Russia faces the large-scale foreign capital inflow in the financial market, while the real economy can not recover and domestic financial institutions become structurally weak because of the contradiction of the fiscal and monetary policy. The case of Russia also shows us the argument of this thesis--capital-account liberalization of an emerging market must depend on its prerequisites and steadiness of liberalization. When a nation can make proper use of the capital, conducting foreign investment to real economy is the important challenge of an emerging market. Otherwise, the capital-account liberalization will speed up the coming of financial crisis.參考文獻 中文部分： 江時學，1997，《拉美發展模式研究》，經濟管理出版社。 吳玉山，2000，《俄羅斯轉型1992~1999"》，台北：五南圖書出版公司。 沈中華，2000，《40分鐘學會匯率危機預測》，台北：新陸書局。 李宗賓，1999，「亞洲銀行體系的財務透明度」，《國際金融參考資料》，44：11-17。 李長久，1998，「東亞模式與拉美模式的比較」，拉丁美洲研究，5：11-18。 保田圭司 著，歐莫泊 譯，1999，《熱錢》，台北：財訊出版社。 姚清瀛，1999，「資本自由化與金融危機」，《國際金融參考資料》，44：152-156。 殷乃平，1999，「從亞洲金融危機看我國的金融問題」，《金融財務》，1月第一期，頁27。 馬惠千，1994，「資本流入與資本帳的開放—兼論東協三國的經驗與對我國的啟示」，《中央銀行季刊》，16（3）：52-59。 劉遵義 著，林忠譯 譯，1998，「東亞貨幣危機」，《中央銀行季刊》，20(1):24-27。 蔡明君著，1998，《避險基金理論與投資策略》，台北：財訊出版社。 薛琦，1998，「金融自由化與金融風暴」，中美經濟合作策進會， 4月16日演講稿。 「從亞洲貨幣危機看印尼經濟」，1998，《國際經濟情勢週報》，1225：1-21。 「由俄羅斯財經現況探討其金融危機發生背景」，1998，《國際經濟情勢週報》，1255：6-14。 英文部分： Agenor, Pierre-Richard , Marcus Miller, David Vines, and Axel Weber. 1999. The Asian Financial Crisis: Causes, Contagion and Consequences. Cambridge: Cambridge University press. Akerlof, and Romer. 1994. “Rooting: The Economic Underworld of Bankruptcy for Profit.” NBER Working Paper No. 1869. 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"Bank Runs, Liquidity, and Deposit Insurance." Journal of Political Economy, 91: 401-419. Dornbusch, Rudiger, and Alejandro Werner. 1994. “Mexico. Stabilization, Reform, and No Growth,” Brookings Papers on Economic Activity, No.1:253-297. Dubik, Mikhail. 1994. “Leading Banks From New Policy Group,” The Moscow Times, December 9. RIU Country Report: Russia , various issues. Edward, Sebastian. 1989. Real Exchange Devaluation and Adjustment: Exchange Rate Policies In Developing countries, Cambridge: MIT Press. Eichengreen, Barry, Andrew Rose, and Charles Wyplosz. 1995. “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks”, Economic Policy, 21: 249-312. Eichengreen, Barry, Andrew Rose, and Charles Wyplosz. 1996. “Contagious Currency Crises” NBER Working Paper , No.5681. Cambridge: National Bureau of Economic Research. “Ekonomicheskoe razvitie Rossii v 1997 godu”, 1998, Voprosy Ekonomiki, No.3, pp.136-147. Esquivel, Gerardo, and Felipe Larrain. 1998. “Explaining Currency Crises,”Cambridge: Harvard Institute for International Development, June. Frankel, Jeff, and Andrew Rose. 1996. “Currency Crashes in Emerging Markets: An Empirical Treatment”, International Finance Discussion Paper, No.534. Washington: Board of Governors of the Federal Reserve. Garber, Peter, and Subir Lall. 1996. “Derivative Products in Exchange Rate Crises,” Paper prepared for the Federal Reserve Bank of San Francisco`s conference on Managing Capital Flows and Exchange Rates: Lessons from the Pacific Basin, San Francisco, CA, September 26-27. Gerlach, Stefan, and Franf Smets. 1994. “Contagious Speculative Attacks.”CEPR Discussion Paper No.1055. London: Centre for Economic Policy Research. Glick, Reuven, and Andrew K. Rose. 1998. “Contagion and Trade: Why are Currency Crises Regional?” Pacific Basin Working Paper Series Working Paper No. PB98-03. Federal Reserve Bank of San Francisco. Glick, Reuven, and Ramon Moreno. 1999. “Money and Credit, Competitiveness, and Currency Crises in Asia and Latin America,” Pacific Basin Working Paper Series Working Paper, No. PB99-01. Goldfaji, Ilan, and Vlades Rodrigo O. 1996. “The Aftermath of Appreciations,” NBER Working Paper No.5650 .Cambridge: National Bureau of Economic Research. Goldstein, Morris, and Carmen Reinhart. 1998. Forecasting Financial Crises: Early Warning Signals for Emerging Markets. Policy Analyses In International Economics. Washington: Institute for International Economics. Goldstein, Morris, and John Hawkins. 1998. The Origins of the Asian Financial Turmoil. Reserve Bank of Australia Research Discussion Paper No.980. Sydney: Reserve Bank of Australia. Goldstein, Morris, Graciela L. Kaminsky, and Carmen M. Reinhart. 2000. Assessing Financial Vulnerability—An Early Warning System for Emerging Markets. Policy Analyses In International Economics. Washington: Institute for International Economics. Goldstein, Morris, and Philip Turner. 1996. “Banking Crises In Emerging Economies: Origins and Policy Option” Bank for International Settlements Economic Papers, No.46. Basle, Switzerland. Goldstein, Morris, and Philip Turner. 1996. “Banking crises in Emerging Economies: Origins and Policy Options.” BIS Economic Papers, No.46. Basle: Bank for International Settlements. Goldstein, Morris. 1998. The Asian Financial Crisis: and Systemic Implications, Policy Analyses In International Economics No. 55. Washington: Insstitute for International Economics. Hoffmaister, Alexander, and Carlos A. Vegh. 1994. “Disinflation and the Recession-Now-Versus-Recession-Later Hypothesis: Evidence from Uruguay.” IMF, July. Hunter, William C., and David Marshall. 1998. “Financial Derivatives, Systematic Risk, and Central Banking,” presented at the “International Coference on the Conduct of Monetary Policy” at Taipei, June 1998. International Financial Statistics, various issues. IMF. 1998. World Economic Outlook, May. Washington: International Monetary Fund IMF. 1998a. Toward A Framework for Financial Stability. Washington: International Monetary Fund IMF. 1998b. International Capital Markets: Developments, Prospects, and Key Policy Issues, September. Washington: International Monetary Fund. IMF. 1998c. World Economic Outlook and International Capital Markets, December. Washington: International Monetary Fund. IMF. 1998d. “Russian Federation: Recent Economic Developments”, September. IMF Staff Country Report No.99/100. IMF. 1999, World Economic Outlook, October. Washington: International Monetary Fund IMF. 1999a, “Financial Sector Crisis and Restructuring: Lessons form Asia” Occasional Paper 188, Washington: International Monetary Fund. Internet Center for Corruption Research .“The Transparency International Corruption Perceptions Index 1997.” www.gwdg.de/~uwvw/ Kaminsky, Graciela, and Carmen M. 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Cambridge: Harvard Institute for International Development. Ramos, R. (1997), “Asian bank at risk: solidity, fragility”, Banking Research, Goldman Sachs, September. Rosenberg, Michael R. 1998. “Currency Crisis in Emerging Markets”, Global Fixed Income Research , 21 July. Merrill Lunch. Russian Economic Trends, 1995. vol. 4, no.1, pp. 161-162 Sachs, Jeffery, Aaron Tornell, and Andres Velasco. 1996. “Financial Crises in Emerging Markets: The Lessons form 1995” NBER working Paper, No.5576. The Economist, Dec.23 1995-Jan.5 1996:46-48. Tornell, Aaron. 1999. “Common Fundamentals In the Tequila and Asian Crises, ” NBER Working Paper, No.7139. Cambridge: National Bureau of Economic Research. U.S. Department of the Treasury. 1994 National Treatment Study. World Bank. 1993. Russia: The Banking System In Transition, Report No. 11818-RU, Country Department III, Washington, DC, September 14. 描述 碩士
國立政治大學
俄羅斯研究所資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001030 資料類型 thesis dc.contributor.advisor 吳玉山 zh_TW dc.contributor.advisor Wu, Yu-Shan en_US dc.contributor.author (Authors) 羅任媛 zh_TW dc.contributor.author (Authors) Lo, Jen-Yuan en_US dc.creator (作者) 羅任媛 zh_TW dc.creator (作者) Lo, Jen-Yuan en_US dc.date (日期) 2001 en_US dc.date.accessioned 15-Apr-2016 15:59:02 (UTC+8) - dc.date.available 15-Apr-2016 15:59:02 (UTC+8) - dc.date.issued (上傳時間) 15-Apr-2016 15:59:02 (UTC+8) - dc.identifier (Other Identifiers) A2002001030 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/84842 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 俄羅斯研究所 zh_TW dc.description.abstract (摘要) 本論文的研究含括了墨西哥金融危機、亞洲金融危機與俄羅斯金融危機，主要是希望能歸納出90年代新興市場國家發生金融危機的普遍性原因。首先本論文先探討分析文獻上三大類型的金融危機理論，含括金融危機可預測與不可預測的原因。本論文試圖將可預測的經濟基本面歸為內部因素，不可預測的國際資金變動歸為外部因素。當一新興市場國家正在從事經濟結構改革或經濟轉型，而資本市場架構與金融機構監督機制與規範都尚未健全時，如果該國將金融市場自由化並允許大筆外資流入國內金融體系，則短期、投機性國際資金將會扭曲金融結構，造成經濟基本面的惡化。當不可預測的國際資金環境轉變時，一方面受到資金逆流衝擊著脆弱的金融部門，另一方面已經不健全的經濟基本面將嚴重惡化。此時政府採取的提高利率政策與賣出外匯捍衛本國釘住匯率制，卻會同時嚴重傷及本國銀行體系，促使金融機構面臨倒閉、陷入流動性不足的危機，結果投資者的信心仍然潰散而國內則造成金融體系的崩潰，終而引發全面性的金融危機。在建立了初步的研究假設後，我們以墨西哥金融危機與亞洲金融危機作為驗證。我們的研究案例中將包括危機發生的國家與當時未發生危機的國家作為對照組。在墨西哥危機，我們以智利作為對照組。在亞洲五國危機（印尼、韓國、馬來西亞、菲律賓與泰國），我們以中國大陸、新加坡、台灣作為對照組。在確立了我們的理論模型後，我們以個案研究的方式深入瞭解俄羅斯特殊的轉型經濟體質。俄羅斯激烈的經濟結構改革措施，使國家從金融封閉整合入世界資本市場。俄羅斯面臨著外資大量流入金融市場，然而總體經濟面卻在財政與貨幣政策相互矛盾的狀況下，實質經濟依舊無法發展起來，而金融體質嚴重惡化的情況。俄羅斯的案例也同樣證明本論文的論點，一個新興市場國家資本帳的開放必須有其先決條件且循序漸進的開放。一國能否將國際資金導入對於實質產業有所助益的直接投資，是新興市場國家所面臨的重要課題。不然，資本自由化先決條件的不足而快速地實施自由化，將只是加速金融危機的到來。 zh_TW dc.description.abstract (摘要) This research has included the financial crises of Mexico, Asia and Russia, mainly expecting to conclude the general causes for the financial crises of emerging market economies in the 1990s. First, the paper reviews the three types of theoretical literature on financial crises, including predictable and unpredictable causes. This thesis tries to refer to the predictable economic fundamental part as internal factors, and the unpredictable, international capital mobility as external factors. When an emerging market country is engaged in economic structural reform or economic transition, and when the capital-market architecture and the system of financial-sector supervision and regulation are not sound, if the country liberalize financial market and allow large-scale foreign capital to inflow into domestic financial system, then short-term, speculative international capital will deteriorate financial structure and the economic fundamentals will become worse. When the environment of unpredictable international capital changes, on the one hand, the withdrawal of foreign capital impacts the vulnerable financial sector, and on the other hand, the unhealthy economic fundamentals will become seriously worse. At the same time, the government takes measures to raise interest rates and to sell foreign currency to defend the pegged exchange rate, which will seriously weaken the banking system, causing the bankrupt and the crisis of illiquidity. As a result, the confidence of investors will crash down and the native financial institutions will collapse, and this gives rise to the financial crisis in large scale. After the presumption of this research, we take Mexican and Asian financial crises for example. We try to give corresponding cases for contrast. In Mexican crisis, we take Chile as a contradistinctive group. In five Asian country crises (Indonesia, Korea, Malaysia, Philip, and Thailand), we take China, Singapore, and Taiwan as a contradistinctive group. After proving our model, we try to take Russia as a case study because of the special nature of economic transformation of Russia. The policy of drastic structural economic reform has made Russia step from the financial isolation to the integration into World’s capital market. Russia faces the large-scale foreign capital inflow in the financial market, while the real economy can not recover and domestic financial institutions become structurally weak because of the contradiction of the fiscal and monetary policy. The case of Russia also shows us the argument of this thesis--capital-account liberalization of an emerging market must depend on its prerequisites and steadiness of liberalization. When a nation can make proper use of the capital, conducting foreign investment to real economy is the important challenge of an emerging market. Otherwise, the capital-account liberalization will speed up the coming of financial crisis. en_US dc.description.tableofcontents 封面頁 證明書 謝詞 摘要 目次 圖目錄 表目錄 第一章 緒論 第一節 研究的動機與目的 第二節 研究的範圍與方法 第一項 研究範圍 第二項 研究方法 第三節 研究架構與章節安排 第二章 文獻分析與理論架構 第一節 經濟基本面因素 第一項 第一代危機模型 第二項 各項基本面因素 第三項 小結 第二節 自我實現的預期與傳染機制 第一項 自我實現的預期 第二項 傳染機制 第三節 金融體制面 第四節 基本理論與假設 第一項 金融革新與全球性市場的影響 第二項 基本假設 第三章 墨西哥與亞洲金融危機的比較 第一節 內部因素 第一項 兩種不同的經濟發展模式 第二項 兩次相同的經濟基本面缺失 第三項 經濟基本面的各項指標評比 第二節 外部因素 第一項 兩次危機前國際經濟環境的轉變 第二項 兩次危機外資對新興市場國家的衝擊程度 第三項 外資衝擊金融市場的各項指標評比 第三節 小結 第四章 1998年俄羅斯金融危機 第一節 經濟轉型改革 第一項 經濟改革概況（92-98年） 第二項 財政政策 第三項 貨幣政策 第二節 內部因素 第一項 金融部門 第二項 各項指標評比 第三節 外部因素 第一項 危機前國際經濟環境的轉變 第二項 外資對於俄羅斯的衝擊程度 第四節 小結 第五章 結論 附錄 附錄一 1995年新興市場國家對於外國資金的控制 附錄二 1998年俄羅斯金融危機大事記 文獻參考 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001030 en_US dc.subject (關鍵詞) 金融危機 zh_TW dc.subject (關鍵詞) 新興市場國家 zh_TW dc.subject (關鍵詞) 經濟轉型 zh_TW dc.subject (關鍵詞) 經濟基本面 zh_TW dc.subject (關鍵詞) 外資 zh_TW dc.subject (關鍵詞) 資本帳自由化 zh_TW dc.subject (關鍵詞) financial crisis en_US dc.subject (關鍵詞) emerging market economies en_US dc.subject (關鍵詞) economic transition en_US dc.subject (關鍵詞) economic fundamentals en_US dc.subject (關鍵詞) foreign capital en_US dc.subject (關鍵詞) capital-account liberalization en_US dc.title (題名) 新興市場國家金融危機成因之研究—以俄羅斯為案例 zh_TW dc.title (題名) The Research on the Causes of Financial crises in the Emerging-Market Economies -- the Case Study of Russia en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分： 江時學，1997，《拉美發展模式研究》，經濟管理出版社。 吳玉山，2000，《俄羅斯轉型1992~1999"》，台北：五南圖書出版公司。 沈中華，2000，《40分鐘學會匯率危機預測》，台北：新陸書局。 李宗賓，1999，「亞洲銀行體系的財務透明度」，《國際金融參考資料》，44：11-17。 李長久，1998，「東亞模式與拉美模式的比較」，拉丁美洲研究，5：11-18。 保田圭司 著，歐莫泊 譯，1999，《熱錢》，台北：財訊出版社。 姚清瀛，1999，「資本自由化與金融危機」，《國際金融參考資料》，44：152-156。 殷乃平，1999，「從亞洲金融危機看我國的金融問題」，《金融財務》，1月第一期，頁27。 馬惠千，1994，「資本流入與資本帳的開放—兼論東協三國的經驗與對我國的啟示」，《中央銀行季刊》，16（3）：52-59。 劉遵義 著，林忠譯 譯，1998，「東亞貨幣危機」，《中央銀行季刊》，20(1):24-27。 蔡明君著，1998，《避險基金理論與投資策略》，台北：財訊出版社。 薛琦，1998，「金融自由化與金融風暴」，中美經濟合作策進會， 4月16日演講稿。 「從亞洲貨幣危機看印尼經濟」，1998，《國際經濟情勢週報》，1225：1-21。 「由俄羅斯財經現況探討其金融危機發生背景」，1998，《國際經濟情勢週報》，1255：6-14。 英文部分： Agenor, Pierre-Richard , Marcus Miller, David Vines, and Axel Weber. 1999. 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