亞洲金融風暴是否為自我實現預言？

Are Currency Crises Self-Fulfilling?

10.29688/MHJ.201002.0008

梁雪富(Sheue-Fuh Liang)；詹蕙綺(Hui-Chi Chang)

金融危機 ； 自我實現預言 ； 馬可夫模型 ； Currency crisis ； Self-fulfilling speculation ； Markov-switching models

明新學報

36卷1期（2010 / 02 / 01）

87 - 99

繁體中文

1997年亞洲金融風暴由泰國開始爆發，迅速演變為區域性的金融風暴，本研究是以兩狀態馬可夫模型探討亞洲金融風暴是否為自我實現預言使得金融危機發生。由本文可知，亞洲各國在金融危機發生前存在多重均衡。而在自我實現預言部分，泰國、菲律賓、南韓在亞洲金融風暴時確有自我實現預言的存在。而在估計金融危機時，馬可夫模型的表現比一般傳統的線性模型要佳。

In 1997, the Asia currency crisis spread out from Thailand. Most Asia countries' currencies devalued. This study uses the Markov-switching model to investigate if the Asia currency crisis was self-fulfilling. In this study, we show that the crisis can not only be explained by the macroeconomics, and in particular Thailand, Philippine and South Korea were proven to be self-fulfilling in 1997, we also show that the Markov-switching model is the better model than linear model.

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