金融市場套利模型與投資性攻擊分析─兼論1998年香港政府干預金融市場事件

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(15) ~ iiM!. *. mjii ~ :fIJ t~ MW 19: 1!11Jjt. 7ttFf- ran 1998 1f Wii!: i&JffT ffl ~ lit m~. , 8<0 ' A>O,. ~~x~. ~. efffij. ,. ~. jlt~11w. ~ti. ' ~-. +. #If iJr;r J;:t JI!. 1'- i:l1JIJ ~ Ilk -t fA I!fJ J! it ~ 11 -Ii IN !Ill :1:-11k t. ,.;.,.'. 1. :£ 11 ~ (~88) , r ~ ill fe; f!'. ltiple Equilibria) ~. . ji 73-84. . 2. :£ 11 ~. ~f1j. ,. m~. ill. ~ IlY e~ (~88) ,. (~. 88) •. r fiR m Discussuon Paper, OPE 9904, t'i§lJ ME : cP ¥. 4.IJ[?]e~ (~86) , r~fiRm~Z~p~11itJ. # ~. 0. ~. 1£~f1. ml'. ~ it .$ If. J1 #If $If "if ~ , ~ lli. l. •. APEAM. ~. 7;!f. Mf£. J;!. lm~J' -=--t--tft,te1t. : fi ~. 6. Blanco, H. and P. M. Garber (1986) , "Recurrent Devaluation and Speculative Attacks on the Mexican Peso." Journal ofPolitical Economy, 94, pp. 148-66. A.. Open Economies Review, 7.. J 8. Brock W, A., D. A. Hsieh and B. LeBaron (1993), Nonlinear DynamiCS, Chaos and Instability, Cam. i ~. f~W ~ ~1l:B9 ~.. i. ~tfm~§B3. bridge, MA: MIT Press. g. Buiter, W. H. (1987), "Borrowing to Defend the Exchange Rate and the Timing of and Magnitude of. Speculative Attacks." Journal ofInternational Economics, 23, pp.22 1-39. 10. Calvo, G., L. Leiderrnan and C. M.Reinhart (1993), "Capital Inflows and Real Exchange Rate Ap. preciation in Latin American: The Role of External Factors." IMF StaffPaper, 40, pp.108-50. U. Calvo, G. and C. M. Reinhart (1996), "Capital Flows to Latin America: Is There Evidence of Con. ~~El~tE~. ~i1E1I¥J1&. W i!t f! t1 Jjt ~ ?t tFf J. M. and Schwartz (1996), "Why Clashes between Internal and External Stability Goals End t 7. Bordo, in Currency Crises, 1797-1994.". ~~W.iU~~ ~. ¥J ~ f'F rfi IIIi! il. :fIH~ ~. 5. Bilson, J. F. O. (1979), "Leading Indicators of Currency Devaluations." Columbia Journal of World. t. tl";~~f~jJB9. JJl1f.1t iff Jt. Business, 14, pp.62-76.. J;):f!l' '1£J~, fiji. fffl£I¥J~~'. •. 0. 3. :£ 11 ~ , ~ IZ!l e~. ~~I¥J. J;! J. ""' -e-tH::..;:n:;-4--~A.z:n7.c g!j #A.. 1F ' rSJ &tl: • ~,A\., iIYF t:l WI :7C. ~. ~jZg. f*. tagion Effects?" in Calvo, G, etc. (Ed.), Private Capital Flows to Emerging Markets After the Mexi. '. can CriSis, Washignton: Institute for International Economics, pp.l51-71. 12. Dooley, M., E. Fernandez-Arias and K. Kletzer (1994), "Recent Private Capital Inflows to Developing. Countries: Is the Debt Crisis History?" NBER Working Papers, No.4792. 13. Eichengreen, B., A. Rose and C. Wyplosz (1996), "Speculative Attacks on Pegged Exchange Rates: ,. An Empirical Exploration with Special Reference to the European Monetary System." in Cazoneri,. M. P. Masson and V. Grilli(Ed.), Transatlantic Economic Issues, Cambridge, U.K.: Cambridge Uni versity Press,. , =. 14. Flood, R. and P. Garber (1991), "Linkages between Speculative Attack and Target Zone Models of Exchange Rates." Quarterly Journal ofEconomics, 106, pp.1367-72. ~---------------------------------------------------------------------------------------------------------. ?".. -- 61 .

(16) jc II: ll. iif- "Pi t1 t1 :IfI.. r;g. :h M . liZ. 15. Frank, K. Z. and T. Stengos (1988), "Some Evidence Concerning Macroeconomic Chaos." JauYn"'.. Soochow Jow. No.29 (June :. a/Monetary Economics, 22, pp.423-38.. 16. Frankel, J. and A. Rose (1996), "Currency Crashes in Emerging Markets: An Empirical International Finance Discussion Paper, No.534, Washington: Board of Governos of the Federal serve.. 17. Garber, P. M. and V. U. Grilli (1989), "Bank Runs in Open Economies and the International mission of Panics." Journal 0/ International Economics, 27, pp.165-75.. 18. Kenen, P. (1996), "Analyzing and Managing Exchange-Rate Crises." Open Economies Review, 7, 469-92.. Arbitral Markets ernmentl. 19. Krugman, P. (1997), "Are Currency Crises Self-Fulfilling?" NBER Macroeconomics Annual, bridge, MA: MIT Press.. '10. Liao, S. L. (1997), "Nonlinear Dynamics and Chaos in Foreign Exchange Markets." The 6th. Lt. ence on the Theory and Practice o/Security Markets, Kaohsiung: National Sun Vat-sen 21. Moreno, R. (1995), "Macroeconomic Behavior During Periods of Speculative Pressure or. 1\.t:i1I1~"'.. ment: Evidence from Pacific Basin Countries." Economic Review, Federal Reserve Bank ofSan cisco.. 22. Otker, I. and C. Parzabasioglu (1997), "Likelihood versus Timing ofSpeculative Attacks: A Case dy of Mexico." European Economic Review, 41, pp.837-45. 23. Otker, I. and C. Parzabasioglu (1995), "Speculative Attacks and Currency Crises: The Mexican. . This paper. the expectation. c. el +A. • (J < 0 ' .:t ~. perience." Open Economies Review, 7.. 24. Otker, I. and C. Parzabasioglu (1997), "Speculative Attacks and Macroeconomic dence from Some European Currencies." European Economic Review, 41, pp.847-60.. 25. Ozkan, F. G. and A. Sutherland (1995), "Policy Measures to Avoid a Currency Crisis." Journal, 105, pp.51O-9.. which is lower. to the Multiple E adjusting from h Over-shooting, w. 26. Sachs, J., A. Tornell and A. Velasco (1996), "Financial Crises in Emerging Markets: The Lessons. bubble economy.. 1995." Brookings Papers on Economic Activity, 16, pp.147-215.. '11. Szpiro, G. G. (1994), "Exchange Rate Speculation and Chaos Inducing Intervention." Economic Behavior and Organization, 24, pp.363-8. Sp. - 62.

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