亞洲金融風暴的源起：基本面或傳染？

The Cause of the Asian Crisis: Fundamentals of Contagion?

10.6277/ter.2002.301.1

陳南光(Nan-Kuang Chen)；張光亮(Kuang-Lian Chang)

金融危機 ； 基本面 ； 傳染 ； financial crisis ； fundamentals ； contagion

經濟論文叢刊

30卷1期（2002 / 03 / 01）

1 - 26

繁體中文

本文的主要目的是檢驗亞洲金融危機是因為基本面惡化或是傳染所引起的。首先我們釐清這兩概念之間的分際，然後分別定義代表基本面及傳染的指標來解釋代表金融危機的指標。實證發現事前實質匯率升值和基本面有惡化傾向（金融體質脆弱及外匯存底偏低）對金融危機有顯著的解釋能力。其中金融體質脆弱指標包括銀行對私人部門放款增加率及銀行外債增加率。而外資流入（包括短期外資流入和外人直接投資）及經常帳等總體變數對金融危機都沒有顯著的解釋能力。接著我們分別使用貿易關聯性和金融關聯性代表傳染的傳遞管理，以及用總體經濟類似性代表純粹傳染。我們發現純粹傳染的跡象不顯著，但是一個的危機可透過各國之間金融往來的管道傳染或「外溢」到其他國家。

This paper examines empirically whether the Asian crisis was caused by fundamentals or contagion. We find that overvaluation of exchange rates and deterioration in fundamentals (a fragile financial sector and low foreign reserves) both contributed significantly to the occurrence of the crisis. Capital inflows and current accounts, however, do not have explanatory power. Neither pure contagion, represented by macroeconomic similarity, nor trade linkage is significant, but financial linkage does serve as a contagion channel through which a crisis is transmitted across countries.

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