International Financial Statistics
Exchange Rate Based Stabilization, ERBS , ,
ERBS
, ,
ERBS
ERBS
Exchange Rate Based Stabilization, ERBS 30
, ,
2
1970 1980 ERBS ERBS
ERBS
1
2 0
ERBS ,
1 ERBS
1994 Mexico, 1998 Brazil, 2001 Argentina
ERBS ERBS
, Brazil Argentina
ERBS
ERBS , ,
ERBS ERBS
International Financial Statistics, IMF.
Mexico 1993 1995
0 100 200 300 400 500 600 700
200 0 1
2000 7
200 1 1
200 1 7
200 2 1
200 2 7
Argentina 2000 2002
0 50 100 150 200 250 300 350 400 450 500
1997 M1
1997M7 1998
M1 1998
M7 1999M1
1999 M7
Brazil 1997 1999
, ,
ERBS
Kaminsky and Reinhart 1999 76 18
1996 20 ,
30 1995 50
Atkeson and Rios-Rull 1996 1995 ERBS
Calvo and Vegh 1993 ERBS
ERBS
International Financial Statistics, IMF.
-1 0 1 2 3 4
1993 Q3
1993 Q4
1994 Q1
1994Q2 1994
Q3 199
4Q4 1995
Q1 1995
Q2
Index=1 in 1993Q3
Mexico 1993Q2 1995Q2
-1 0 1 2 3 4 5 6 7 8 9 10 11
2000 Q1
2000Q2 2000
Q3 2000
Q4 2001
Q1 2001
Q2 2001
Q3 200
1Q4 2002
Q1 2002
Q2 2002
Q3 2002
Q4
Index=1 in 1993Q3
Argentina 2000Q1 2002Q3
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
1997 Q2
1997 Q3
1997 Q4
1998 Q1
1998 Q2
1998 Q3
1998 Q4
1999Q1 1999
Q2 1999
Q3 1999Q4
Index=1 in 1993Q3
Brazil 1997Q2 1999Q4
Mexico, Brazil,
Argentina 2
ERBS
Calvo 1986 Calvo and Vegh 1993 ERBS
imperfect credibility hypothesis ERBS
Singh and Subramanian 2008
Calvo sudden stops, sudden reversal
ERBS ERBS
ERBS
2 3
4 5
ERBS
ERBS
Calvo 1986 Calvo and Vegh 1993
imperfect credibility hypothesis ERBS
ERBS ERBS
ERBS
ERBS ERBS
boom-bust cycle
Calvo ERBS
ERBS ERBS
ERBS
Mendoza and Smith 2002 ERBS
Aiyagiri and Gertler 1999 Mendoza 2000
fire-sell
Singh and Subramanian 2008 ERBS ERBS
T* ERBS
ERBS
T*
Singh and Subramanian 2008
ERBS ,
IMF International Financial Statistics IFS ERBS
ERBS
tranquil period ,
, ,
ERBS
OECD
1975 2001 IFS
OECD ERBS
IFS 33
3
1
3 33 Argentina, Bahamas, Bangladesh, Bolivia, Brazil, Chile, Colombia, El Salvador, Ethiopia, Guatemala, Hong Kong, India, Indonesia, Israel, Jordan, Korea, Mexico, Myanmar, Nepal, Pakistan, Panama, Papua New Guinea, Peru, Philippines, Seychelles, Sri Lanka, Sudan, Suriname, Thailand, Tonga, Vanuatu, Venezuela, Zimbabwe.
5 Frankel and Ros 1996 Milesi-Ferreti and Razin 1998
25 ,
2 1
1 ERBS
3 ERBS Easterly 1996 Hamann 2001 ,
alvo and Vegh 1999 ERBS IFS
ERBS 5 9
Argentina, Brazil, Iceland, Israel, and Mexico 4 4 1, 2, 3
IRES
5 , 10
1 0 indicator
function 5
IASSET
5 10
1 0
IRRATE
50ppt 1 0
4 Calvo and Vegh 1999 ERBS
ERBS 3
Argentina 1979Q4-1980Q4, 1986Q2-1986Q4, 1992Q1-2001Q4 Brazil 1986Q3 Mexico 1989Q2- 1994Q4 Iceland 1984Q3 Israel 1986Q2-1986Q4 1990Q3-1991Q1, 1992Q2-1998Q3
5 IRES
5
1 0 IRES2
10 1
0 IRES3
CPI 6 ERBS
ICRED
10 7
50
8 50
IPORT
40 80 1
0 8 ICRED IPORT
, ,
GDP
PT_GDP IRES, IASSET, IRRATE
DINTR
ERBS , ,
6 25ppt 1 ,
100ppt 1
7 Calvo and Vegh 1999
4ppt
20
8 30
60 1 0 IPORT2
IRES, IASSET, IRRATE , 1 probit
ERBS
, ,
1 IRES probit
1 i ICRED IRES
ii iii IPORT
iv v ICRED IPORT
2 ERBS 2, 3,
1, 2, 3 4
iii , v 3 4 IPORT IRES
i 2 IPORT IRES
vi 4 ICRED IPORT , ii iv
2 3
1
3 IASSET probit
1 i ICRED
IASSET ii iii IPORT
iv v ICRED IPORT
4 ERBS 2, 3,
4 IASSET iii ,
IRES
(i) (ii) (iii) (iv) (v)
dP/dx dP/dx dP/dx dP/dx dP/dx
0 219 0 225 0 224 0 221 0 223
12 043 12 866 14 483 15 148 13 423
ICRED 0 017
0 894
IPORT 0 016 0 028
0 435 0 780
IPORT*ICRED 0 094 0 094
2 154 1 812
PT_GDP 1 945 2 375 1 755 2 048 2 544
2 112 2 532 2 290 2 652 2 745
DINTR 0 001
1 637
598 588 653 641 581
79 77 87 84 75
Pseudo R2 0 031 0 031 0 012 0 017 0 035
LR chi-squared statistics 15 462 16 210 7 254 10 997 19 401
[p-value] [.001] [.001] [.027] [.004] [.000]
probit probit slope derivatives 100
z IRES 1
0 IPORT
ICRED PT_GDP
GDP , DINTR
3 ,
, 10, 5, 1
v 3 4 IPORT IASSET
i 2 IPORT IASSET
ii , iv , vi 2, 3, 4 ICRED IPORT
5 IRRATE
probit 1
i ii ICRED IPORT IRRATE
2 2 3 3 4 4
IRES (ERBS) (ERBS)
(i) (ii) (iii) (iv) (v) (vi)
dP/dx dP/dx dP/dx dP/dx dP/dx dP/dx
0 227 0 236 0 199 0 191 0 236 0 233
5 165 5 039 8 868 9 142 13 279 13 680
IPORT 0 268 0 048 0 034
3 097 0 992 0 920
IPORT*ICRED 0 170 0 133 0 078
1 982 2 182 1 504
PT_GDP 2 331 1 594 3 986 4 309 1 566 1 616
1 642 1 240 3 042 3 248 1 832 1 928
DINTR 0 002 0 002 0 000 0 000 0 001 0 001
1 711 1 536 1 189 1 005 1 820 1 694
85 85 279 273 592 585
11 11 32 31 79 77
Pseudo R2 0 133 0 132 0 038 0 046 0 025 0 029
LR chi-squared statistics 12 678 6 882 14 801 18 874 12 873 14 431
[p-value] [.005] [.076] [.002] [.000] [.005] [.002]
probit probit slope derivatives 100
z IRES 1
0 IPORT
ICRED PT_GDP
GDP , DINTR
3 ,
, 10, 5, 1
iii ICRED IPORT
6 iii , v 3 4 IPORT IRRATE
i 2 IPORT IRRATE
ii , iv , vi 2, 3, 4 IASSET
dP/dx dP/dx dP/dx dP/dx dP/dx
0 247 0 252 0 249 0 246 0 248
10 349 11 870 12 077 12 494 12 283
ICRED 0 008
0 394
IPORT 0 072 0 026
1 527 0 424
IPORT*ICRED 0 080 0 097 0 156
1 214 1 878 2 510
PT_GDP 0 125 0 069 0 074 0 075 0 014
0 261 0 144 0 161 0 162 0 029
DINTR 0 000 0 000 0 000
0 997 0 924 0 847
468 462 482 485 459
90 89 92 93 89
Pseudo-R2 0 009 0 014 0 009 0 008 0 026
LR chi-squared statistics 3 171 5 316 3 840 3 601 9 296
[p-value] [.366] [.150] [.279] [.165] [.026]
probit probit slope derivatives 100
z IASSET
1 0 IPORT
ICRED PT_GDP
GDP , DINTR
3
, , 10, 5, 1
ICRED IPORT
ERBS
ERBS
, ,
2 2 3 3 4 4
IASSET (ERBS) (ERBS)
70 68 166 164 118 116
dP/dx dP/dx dP/dx dP/dx dP/dx dP/dx
0 239 0 215 0 236 0 240 0 251 0 248
4 114 3 928 7 047 7 500 11 890 12 350
IPORT 0 227 0 025 0 064
1 814 0 338 1 373
IPORT*ICRED 0 287 0 144 0 149
2 467 1 734 2 439
PT_GDP 1 272 2 077 0 037 0 012 0 050 0 002
0 841 1 303 0 072 0 024 0 106 0 004
DINTR 0 000 0 000 0 000 0 001 0 000 0 000
0 327 0 311 0 515 0 600 0 935 0 859
85 85 211 209 466 463
17 17 40 39 89 89
Pseudo-R2 0 039 0 091 0 002 0 024 0 013 0 025
LR chi-squared statistics 3 330 6 919 0 429 3 378 4 883 8 930
[p-value] [.344] [.075] [.934] [.337] [.181] [.030]
probit probit slope derivatives 100
z IASSET
1 0 IPORT
ICRED PT_GDP
GDP , DINTR
3
, , 10, 5, 1
ERBS
ERBS
, ,
IFS
ERBS , ,
IRRATE
dP/dx dP/dx dP/dx
0 216 0 228 0 223
14 030 15 545 16 068
ICRED 0 014
0 871
IPORT 0 035
1 030
IPORT*ICRED 0 099
2 383
PT_GDP 0 341 0 451 0 630
0 716 0 895 1 093
605 595 585
64 63 60
Pseudo R2 0 003 0 002 0 013
LR chi-squared statistics 1 610 1 788 6 129
[p-value] [.447] [.409] [.047]
probit probit slope derivatives 100
z IRRATE 1
0 IPORT
ICRED PT_GDP
GDP , DINTR
3 ,
, 10, 5, 1
ERBS
ERBS
2 2 3 3 4 4
IRRATE (ERBS) (ERBS)
77 75 173 171 125 123
dP/dx dP/dx dP/dx dP/dx dP/dx dP/dx
0 225 0 194 0 227 0 215 0 227 0 223
5 784 5 689 10 742 10 904 15 460 16 017
IPORT 0 156 0 061 0 030
1 901 1 356 0 892
IPORT*ICRED 0 190 0 136 0 096
2 799 2 680 2 315
PT_GDP 0 631 1 562 0 471 0 798 0 500 0 674
0 618 1 406 0 847 1 072 0 961 1 149
89 89 283 275 599 589
9 9 29 27 64 61
Pseudo R2 0 042 0 168 0 007 0 043 0 002 0 012
LR chi-squared statistics 3 508 9 262 2 412 7 853 1 707 5 968
[p-value] [.173] [.010] [.299] [.020] [.426] [.051]
probit probit slope derivatives 100
z IRRATE 1
0 IPORT
ICRED PT_GDP
GDP , DINTR
3 ,
, 10, 5, 1
121 742 1 02 705 8697
02 704 8599 E-mail [email protected]
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9286.
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Empirical Regularities, NBER Working Paper No. 6620.
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