哈佛大学肯尼迪学院教授Frankel的论文之三 Currency Crashes in Emerging Markets

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发展中经济体的货币危机：实证分析，Currency Crashes in Emerging Markets:Empirical Indicators ，发表于January 15, 1996，by Jeffrey A. Frankel and Andrew K. Rose. Abstract: We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic factors, external and foreign. Crashes tend to occur when: output growth is low; the growth of domestic credit is high; and the level of foreign interest rates are high. A low ratio of FDI to debt is consistently associated with a high likelihood of a crash.

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关键词：Emerging currency frankel Markets crashes Jeffrey Rose Andrew frankel