輸入されたものか、自家製か? 1992-3年のEMS危機

というNBER論文をアイケングリーンらが上げている。原題は「Imported or Home Grown? The 1992-3 EMS Crisis」で、著者はBarry Eichengreen(UCバークレー)とAlain Naef(フランス銀行)。

The 1992-3 crisis in the European Monetary System was a decisive event in Europe’s monetary history. It underscored the fragility of pegged exchange rates between national currencies and, in so doing, reinforced the commitment of members of the European Union to complete the transition to monetary union.
But there is a decided lack of consensus, even now, three decades after the event, about the causes of the crisis and consequently its implications. A first class of explanation, points to problems of economic policy and performance in countries whose currencies were attacked. Sterling was overvalued at the parity at which it entered the Exchange Rate Mechanism (ERM). Italian debts and deficits were too large. Banking systems were insolvent in the Scandinavian countries that shadowed the system.
A second explanation emphasizes the fragility of exchange rate pegs in an environment of high capital mobility. A capital outflow, whatever its causes, can produce the problems of economic policy and performance that cause a currency to come under attack, leading its defense to be abandoned. For example, when Denmark rejected the Maastricht Treaty in a referendum on June 2, 1992, casting doubt on the prospects for monetary union, capital flowed out of other ERM members. In response, Britain was forced to raise interest rates, weakening its housing market and competitiveness. Interest rate rises increased Italy’s debt-service costs and weakened the budget. They aggravated Scandinavia’s banking crises. The outflow, even if its causes were incidental, increased the costs of maintaining ERM parities, leading governments to throw in the towel.
German interest rates figure in both of these stories. Starting with reunification in 1990, the Federal Republic ran large budget deficits, supplementing the incomes of former East Germans and upgrading infrastructure in the region. The Bundesbank, concerned that those deficits would fuel inflation, raised policy rates in response. This drew funds toward Germany and away from its EMS partners, in turn requiring higher interest rates of the latter to stem the outflow.
By comparison, economists and historians have paid less attention to a third class of explanation that we highlight here. This is that ERM parities were destabilized by events outside Europe. Dollar weakness was associated with flows from the greenback to the Deutschmark, the closest substitute for the U.S. currency as it was offering Europe’s largest and most liquid securities market at the time (Giavazzi and Giovannini 1989). The Deutschmark therefore rose against other ERM currencies, placing the latter at risk of breaching their bilateral divergence margins. This phenomenon of a weak dollar leading to a strong Deutschmark and intra-ERM tensions was noticed prior to the crisis; it was known as “dollar-Deutschmark polarization.” The implication was that the EMS crisis was imported, at least in part, not home grown.
We use new archival evidence on foreign exchange market intervention recently declassified by the Bank of England and available in its archive. We collect daily data from 14 European countries, summing up to more than 500,000 daily observations spanning the period 1986-1995. While our data offers intervention in various currencies, we mainly focus on interventions in Deutschmark. We use those intervention data, together with exchange rates and interest rates, to construct a daily measure of exchange market pressure, shown above. That series allows us to pinpoint when and where the 1992-3 crisis was most intense. It shows that pressure on EMS currencies started building well before the Danish referendum, usually presented as the starting point of the crisis. It points to a fateful interview by Bundesbank President Schlesinger prior to the September 1992 French referendum on the Maastricht Treaty as the event triggering the most acute phase of the crisis.
一方、経済学者と歴史学者は、本稿で取り上げる第三のタイプの説明にあまり関心を払ってこなかった。それは、ERMのパリティが欧州外の出来事で不安定化した、というものである。ドルの弱さはドルからマルクへの資金流出と結び付いていた。マルクは、当時欧州で最大かつ最も流動性の高い証券市場を提供していたため、米通貨に最も近い代替となっていた(Giavazzi and Giovannini 1989*1)。そのためマルクは他のERM通貨に比べて増価し、他の通貨が二通貨間の乖離の限度を突破するリスクが生じた。弱いドルが強いマルクとERM内の緊迫につながるというこの現象は、危機前には認識されていた。それは「ドルとマルクの二極化」として知られていた。これが意味するところは、EMS危機は、少なくとも部分的には輸入されたものであり、自家製のものではない、ということである。