دوفاکتوی رژیم نرخ ارز و بحران ارز: آیا رژیم ثابت با آزادسازی حساب سرمایه واقعا بیشتر در معرض ابتلا به حملات سوداگرانه است؟

This paper empirically examines whether de facto exchange rate regimes affect the occurrence of currency crises in 84 countries over the 1980–2001 period by using the probit model. We employ the de facto classification of Reinhart and Rogoff (2004) that allows us to estimate the impact of relatively long-lived exchange rate regimes on currency crises with much greater precision. We find that pegged regimes significantly decrease the likelihood of currency crises compared with floating regimes. By using the combined data of exchange rate regimes and the existence of capital controls, we also find interesting evidence that pegged regimes with capital account liberalization significantly lower the likelihood of currency crises compared with other regimes. These results are robust to a wide variety of samples and models. From the standpoint of the macroeconomic policy trilemma, we can conjecture that pegged regimes with capital account liberalization are substantially less prone to speculative attacks because they can enhance greater credibility in their currencies by abandoning monetary policy autonomy.

The choice of exchange rate regimes is one of the most important topics in international economics that has been studied and debated over recent decades. This topic has gained momentum following the major currency crises in the 1990s (e.g., the European Monetary System (EMS) crisis in 1992–1993, the Mexican crisis in 1994–1995, and the Asian crisis in 1997–1998). In a world with increasingly integrated capital markets, what sort of exchange rate regime is sustainable?1 Which types of exchange rate regimes are more prone to crises? Do pegged regimes indeed have a higher risk of currency crises than floating regimes? To answer these questions, some empirical studies have investigated the links between exchange rate regimes and currency crises by using various dataset and methods. The main previous studies were conducted by Ghosh et al., 2003, Bubula and Ötker-Robe, 2003, Rogoff et al., 2004, Husain et al., 2005 and Haile and Pozo, 2006. Ghosh et al. (2003) estimate the occurrence of currency crises under alternative exchange rate regimes from 1972 to 1999 by using the data of the IMF de jure classification, and they find that the probability of crises is the highest for floating regimes.2 Bubula and Ötker-Robe (2003) examine the link between exchange rate regimes and currency crises in IMF member countries from 1990 to 2001 by estimating the logit models based on the data of the de factoBubula and Ötker-Robe (2002) classification.3 They indicate that the bipolar view of exchange rate regimes holds in the sense that the probability of currency crises is significantly higher for intermediate regimes than for both hard pegs and floating regimes. Rogoff et al., 2004 and Husain et al., 2005 estimate the probability of currency crises under different types of exchange rate regimes from 1970 to 2000 by using the data of the de factoReinhart and Rogoff (2004) classification. According to their results, managed floating has the highest probability of currency crises.4 Haile and Pozo (2006) investigate whether exchange rate regimes affect the incidence of currency crises in 18 developed countries from 1974 to 1998 by estimating probit models based on the data of the IMF classification and the de factoLevy-Yeyati and Sturzenegger (2005) classification.5 They find that while the probability of currency crises is significantly higher for pegged regimes than for other regimes when the IMF classification is used, there is no significant link between exchange rate regimes and currency crises when the Levy-Yeyati and Sturzenegger (2005) classification is used. Judging from the above, however, these previous studies provide a more mixed view of the impact of exchange rate regimes on the occurrence of currency crises. Therefore, it is very useful to investigate which types of exchange rate regimes are more susceptible to speculative attacks and currency crises and which exchange rate regimes can avoid currency crises. Accordingly, this paper empirically examines whether de facto exchange rate regimes affect the occurrence of currency crises in 84 countries from 1980 to 2001 by using the probit model. We employ the de facto classification of Reinhart and Rogoff (2004) as the data of actual exchange rate regimes. Using the data of Reinhart and Rogoff (2004) allows us to estimate the impact of relatively long-lived actual exchange rate regimes on currency crises with much greater precision, because Reinhart and Rogoff (2004) treat high-inflation countries as another category and their data have a relatively longer duration of exchange rate regime compared with other de facto data. In the context of currency crises, it is often claimed that one of the major ingredients of the environment leading to currency crises is pegged regimes. It is said that pegged regimes may promote excess capital inflows by minimizing the exchange rate risk for international investors. Hence, it is conventional policy wisdom that pegged regimes are universally more prone to currency crises. Are pegged regimes really more vulnerable to currency crises, as is commonly assumed? This paper will provide an answer to this question. Moreover, it is often claimed that in particular, adopting the combined policy of pegged regimes and liberalization of capital flows is an underlying contributing factor behind the outbreak of currency crises experienced in recent years (e.g., Radelet and Sachs, 1998). It is said that pegged regimes under liberalized capital accounts contribute to excessive capital inflows compared with other regimes, and they are susceptible to sharp capital flow reversals induced by some shocks.6 Therefore, it is conventional view that pegged regimes under liberalized capital accounts increase the risk of currency crises. Are pegged regimes with capital account liberalization really more prone to currency crises? The main purpose of this paper is to answer this question. Accordingly, we first investigate whether pegged regimes are really more prone to currency crises than floating regimes by using the de facto regimes of Reinhart and Rogoff (2004). We then examine the connection between exchange rate regimes under restricted or liberalized capital flows and currency crises by using the combined data of exchange rate regimes and the existence of capital controls. Policymakers in any open economy face the macroeconomic policy trilemma (also known as the impossible trinity) when they choose an exchange rate regime (Obstfeld and Taylor, 2004). The macroeconomic policy trilemma is the hypothesis in international economics that it is impossible to achieve all three of the following objectives simultaneously: (1) a fixed exchange rate, (2) free international capital mobility, and (3) monetary policy autonomy toward domestic goals. Therefore, a crucial insight of the trilemma is that policymakers need to consider the choice of policy stance toward capital flows simultaneously when they choose their exchange rate regime. It is important to explicitly take into account the existence of capital controls. Accordingly, by applying the macroeconomic policy trilemma, we empirically examine whether pegged regimes under no capital controls that have no monetary policy autonomy significantly increase or decrease the probability of currency crises compared with pegged regimes under capital controls, floating regimes under no capital controls, and floating regimes under capital controls. By doing so, we can indirectly investigate the link between the degree of monetary policy autonomy and the incidence of currency crises. Moreover, in this analysis, we verify whether pegged regimes with capital account liberalization are really more prone to speculative attacks and currency crises. The paper is organized as follows. Section 2 will present the methodology of identifying currency crises and the data of exchange rate regimes and capital controls. Section 3 will present an empirical methodology for the probit model of currency crises. Section 4 will examine whether pegged regimes really have a higher risk of currency crises than floating regimes by estimating the probit model. Section 5 will examine the link between exchange rate regimes under restricted or liberalized capital flows and currency crises by using the combined data of exchange rate regimes and the existence of capital controls. Section 6 will present a summary and concluding remarks. Finally, Appendix A will detail currency crisis episodes, and Appendix B will show the result of estimating the effect of capital controls on the likelihood of currency crises.

In this paper, we empirically examine whether de facto exchange rate regimes affect the occurrence of currency crises in 84 countries from 1980 to 2001 by using probit models. We employ the de facto classification of Reinhart and Rogoff (2004) as actual exchange rate regimes. By using the data of Reinhart and Rogoff (2004), we estimate the impact of relatively long-lived actual exchange rate regimes on currency crises with much greater precision. We find that floating regimes significantly increase the probability of currency crises compared with pegged regimes. That is to say, pegged regimes significantly decrease the probability of currency crises compared with floating regime. We then investigate the link between exchange rate regimes under restricted or liberalized capital flows and the occurrence of currency crises by using the combined data of exchange rate regimes and the existence of capital controls. We find that pegged regimes with no capital controls significantly lower the likelihood of currency crises compared with pegged regimes with capital controls, floating regimes with no capital controls, and floating regimes with capital controls. We also find that for all countries, the probability of currency crises increases with becoming greater monetary policy autonomy. These results are robust to a wide variety of samples and models. The findings are in contrast to the conventional policy wisdom that pegged regimes under capital account liberalization are universally more prone to speculative attacks and currency crises. From the viewpoint of the macroeconomic policy trilemma, pegged regimes with no capital controls abandon monetary policy autonomy and have strict discipline for macroeconomic policy. Therefore, we can reasonably conclude that pegged regimes with capital account liberalization are substantially less prone to speculative attacks because they can enhance greater credibility in their currencies by maintaining strict discipline for monetary and macroeconomic policies.