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Early Warning Model Of Exchange Crisis And The Empirical Research In China

Posted on:2005-08-13Degree:MasterType:Thesis
Country:ChinaCandidate:X Y MuFull Text:PDF
GTID:2156360122499698Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Since the 1990s, exchange crisis in varying degrees has taken place in a lot of countries. Compared with crisis in the eighties, the produce mechanism of crisis become mort complicated, the suddenness and destruction of crisis are stronger to some extent, and the radiation range is very wide, so every country in the world pays more and more attention to the study on early warning model of exchange crisis. There has been four kinds of main early warning models of exchange crisis at present, namely "signal" approach, probit model, cross-county regression model and subjective probability method. In our country, as our country joins WTO, the financial market will be opening to the outside world gradually, and the liberalization degree of capital account will be raised constantly too, so the risk of exchange crisis will be crescent. Therefore, after Asian financial crisis in 1997, the study on crisis of our country increased gradually. But there is few empirical research of early warning model of exchange crisis in our country. In this paper, we used multinomial logit method to set up early warning model of exchange crisis of our country. In chapter one of this paper, we mainly introduced the development of exchange crisis theory at present. Krugman proposed the first generation model in 1979, and this model maintained that the main reason of crisis was the deterioration of economic "fundamentals". The first generation model explained the exchange crisis of Mexico quite well, but it could not explain pound crisis of European Monetary System in 1992. So Obstfeld put forward the second generation model in 1994. The second generation model holds that because of the existence of the multiple equilibrium, the crisis may take place too in a situation that fundamental has not worsened obviously, and in this way the crisis has the nature of self-fulfilling. After Asian crisis in 1997, a lot of scholars thought this crisis was a kind of new-type crisis in nature, so they put forward the third generation model. This generation modes is not still very ripe, and it mainly includes moral hazard hypothesis and international mobility insufficient hypothesis. In chapter two, we mainly introduced the four kinds of early warning methods of exchange crisis at present. Kaminsky's signal approach is to monitor a set of leading indicators of exchange crisis, and to predict whether crisis will occur according to whether these indicators exceed their thresholds. Frankel's probit model uses discrete choice model to estimate the probability of crisis. The characteristic of this model is that the dependent variable is an attribute variable, and its value is 1 when crisis occurs, and its value is 0 when crisis does not occurs. According to the distribution of error term, discrete choice model is divided into probit model and logit model. Sachs' cross-country regression model pays attention to countries in difference areas at the same time. This model introduces two dummy variables, and they represent that the exchange reserve is high or low and the fundamental is strong or weak separately. Liu Zunyi's subjective probability method is to compute subjective probabilities of crisis of a set of countries according to the behaviors of economic and financial indicators in these countries. Then we can compare these countries and know which country is easy to suffer from crisis. The prediction ability of all these kinds of early warning methods of exchange crisis mentioned above has certain restriction, so some scholars have expanded these kinds of methods. Developing country studies Division of International Monetary Fund put forward DCSD model. This method combines the merits of signal approach, which considers the prediction ability of monthly indicators with the comprehensiveness of probit model, which considers more variables. Eichengreen used logit model to predict crisis, then Bussiere expanded the binary logit model to multiple logit model. This paper referred to Bussiere's model to set up the early warning model of ex...
Keywords/Search Tags:Empirical
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