LectureLecture：CurrencyCrises(国际金融-南开,胡春田).docVIP

PAGE  PAGE 14 Lecture 4：Currency Crises Currency crisis： Banking crisis： Financial crisis： Economic crisis： Social crisis： Political crisis： 文獻上探討金融危機通常指的是狹義的貨幣危機，充其量加上銀行危機。 Speculative attack， How to launch a speculative attack? Mirage of fixed ER（J. of Economic Perspectives，1995， by Obstfeld and Rogoff）。 Fixed system hard or costly to maintain： impossible trinity。 First generation model： Second generation model： Third generation model： Flood Garber Kramer(JIE1996) model：（first generation model） (1) (2) (2a) (2b) (2C) Fixed rate system: ; (2d) =constant Equil.=Constant (2e) System not sustainable。 After collapse, i.e. (3) Redefine 0， and (3a) Solution（conjectured）：： Undetermined coefficient method： Compare coefficients： Const. D: (4a) and IF, no attack; IF, launch attack.。 But when there is perfect foresight and competition, at time of attacking, AT , (4c) (5) (5a) （i.e. ） (5b) Figure1：Money，Domestic credit，and Foreign reserve M M=R+D D D D0 R0 R ΔR T, time i.e.() Policy implication：At T, M drops suddenly。 However，data shows that M is stable during the attack period。. Implication： There is sterilization at the time of collapse。 Problem： current model is inconsistent with a foreseen attack when there is a full sterilization。 Why? If fully sterilized, (3a) become (from (5a)) i.e. if anybody attacks any time, and if there is sterilization, always makes profit. MODIFICATION： Imperfect substitutes of bonds (2) replaced by (8) W： worldwide liquid real wealth (9) 在固定匯率下： (10) （11） B is constant, when , from (10)， System not sustainable，and the economy is pushed to collapsing。 And at the time of collapsing，two options for the authority： Option 1： no sterilization After attack (13) where： Let Plug the above two