The Asian currency crises have been introduced by many economists as evidence that almost any country could be vulnerable to speculative attacks and to contagion effects, even with apparently good economic fundamentals. These financial crises have also been interpreted by other economists as rational market reactions to the unsustainability of domestic macroeconomic policies or structural weaknesses. The objective of this paper is to evaluate the relative importance of macroeconomic unsustainability, financial vulnerability, and crisis contagion in a model that explains and predicts the Asian currency crises. Out-of-sample forecasts based on two-stage panel and logit regressions provide evidence of a pure contagion effect, which significantly worsened the crises. They also show that Indonesia was the only one of the six Asian nations examined (India, Indonesia, Malaysia, Philippines, South Korea, Thailand) that was in an unsustainable economic situation, and that the other five nations were only vulnerable to a currency crisis.
Macro-prudential prevention of international financial crises
The new international financial structure tries to modernise emergent financial markers and to reinforce prevention and management's tools of international crises. Crises' prevention isn't restricted to macroeconomic supervision if speculative attacks correspond to financial runs and vulnerability of intenational financial structure : importance of foreign short term finance, concentration of international banking creditors, conversion of high termination date, high volatility of collateral, increasing correlation of asset prices on emergent markets... So prevention macro-prudential policies become interesting to introduce incentives or rules improving systemic risk management.
JEL classification : E44, F33, G15
Résumé Depuis la crise financière, les États et les banques centrales ont engagé un processus de consolidation des systèmes financiers qui s’appuie notamment sur la mise en place d’une réglementation macroprudentielle. Dans la section 1, on définit le contenu des politiques macroprudentielles ainsi que les principes qui en sous-tendent l’adoption. Dans la section 2, on étudie les fondements théoriques qui justifient le recours à ce type de politique. Dans la section 3, les conséquences du paradigme macroprudentiel sur la politique monétaire et le rôle des banques centrales sont examinés. Enfin, la section 4 met en avant le caractère inachevé et encore hypothétique du paradigme macroprudentiel, compte tenu des résistances qu’il suscite.
Résumé Cet article est consacré aux principales leçons qui peuvent être tirées de l’expérience des années quatre-vingt-dix et de la littérature théorique et empirique consacrée au déclenchement des crises de change. En réponse aux insuffisances des modèles de première et de deuxième génération accordant un rôle clé aux fondamentaux macro-économiques, on a assisté à une redéfinition des facteurs de vulnérabilité aux crises en privilégiant l’imperfection des marchés financiers et les risques d’illiquidité bancaire internationale. Les crises de change sont alors indissociables du risque systémique et justifient le projet, encore inachevé, de la nouvelle architecture financière internationale dans le domaine de la prévention et de la gestion des crises. Classification JEL : E 44 ; F31 ; F33 ; G15.
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