金融市場壓力指標之建置與應用－－東亞八國於此波金融海嘯之表現

Construction and Application of the Index of Financial Market - Pressure: How the Eight East-Asian Countries React to the Financial Tsunami

在全球化的國際金融體系下，資金快速移動所引發的系統性風險大幅攀升，連帶使得本波金融海嘯的影響層面既大且深。但若重新檢視其內涵，可以清楚發現其對不同區域的影響程度有著明顯的差異；特別是歐美各國災情慘重，而東亞各國受傷程度卻相對輕微，箇中原因頗值推敲。有鑑於此，本文參考陳南光、張光亮（2002）及von Hagen and Ho（2007）之作法，嘗試重建東亞國家外匯及貨幣市場壓力指標（index of market pressure），藉以評估金融海嘯對東亞諸國的衝擊程度。值得一提的是，在建立外匯市場壓力指標時，我們不同於陳南光、張光亮（2002）將利率變數直接差分之作法，而是採取實務上普遍採用的利差（interest rate differential）定義，重新詮釋指標。換言之，本文特別將國內外利差視為貨幣當局吸引資本流入或減少資本外移的政策手段，以修正既有的外匯市場壓力指標。藉由重新定義的危機指標，將更能精確反映一國遭逢金融危機時的壓力程度。

Due to the growing capital mobility internationally, the financial tsunami happened since 2007 has evoked great impact on the global financial system. However, Asian countries, compared to the United States and European countries, suffered less in this financial crisis. In view of this different level of impact, it is worth of discussing. Therefore, based on the methodology used in Chen and Chang（2002）and von Hagen and Ho（2007）, this article is trying to reconstruct the index of market pressure for the purpose of estimating the degree of impact. Instead of first difference of interest rate used in Chen and Chang（2002）, we build the index by interest rate differential, which is mostly used in practical analysis. In other words, it is assumed that the monetary authorities use interest rate differential as a policy tool to control the capital movement within countries. By the new definition applied in the construction of new index of market pressure, the degree of pressure under financial crisis can be more precisely estimated.