基于时间序列分析金融开放性衡量方法研究.pdfVIP

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FinancialOpenness:HowtoMeasureIt?

LijianSun

EconomicSchoolofFudanUniversity

sunlijian@online.sh.cn

Inthispaper,weexamineinterestratedeterminationinthetwopolarcases

relatedtothedegreeoffinancialopennessoftheeconomybyintroducingatime-

varyingparameterestimationbasedontheKalmanfiltertechnique.Beingshortofdata

on,thestrictempiricalanalysisismainlybasedonKorea,Indonesia,Thailand,

andMexico,whichhaveallthenecessarydataandeachcountryallexperienced

currencycrises.Wepresentanalternativeempiricalmeasurementofunobserved

expectederatebyestimatingaunivariateSARIMAmodel,incontrasttoa

perfectforesightmethodbyusingtheactualdepreciationrateinpreviousstudy.

Basedontheempiricalresults,thepapershowstheregionaldifferencesinthe

liberalizationapproachesweenEastAsiaandMexico.Furthermore,thepaper

presentsaremarkablereasonwhythedifferentscenariooffinancialliberalizationis

alsounabletokeeptheseAsiancountriesfromlarge-scalespeculativeattackson

foreigncurrencyinthesecondhalfof1997,whichhavebeenobservedinMexicoin

late1994,unfortunately.

Ourempiricalestimatesoffinancialopennessstronglysupporttheviewthat

cannotemploythesequencemodelontheeconomicliberalizationproposedby

Mckinnon(1993).Takingthefactofineffectivecapitalcontrolsintoaccoun