Early warning systems for currency crises: A multivariate extreme value approach

Phornchanok Cumperayot; Roy Kouwenberg

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Early warning systems for currency crises: A multivariate extreme value approach

机译：货币危机预警系统：多元极值方法

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We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974-2008, we find that nearly all pairs of variables are asymptotically independent: in the limit, extreme values of economic indicators are not followed by severe currency crashes. Our findings may explain the poor performance of existing early warning systems for currency crises. However, we do find that economic variables with stronger extremal association with the exchange rate have better crisis prediction performance, both in-sample and out-of-sample.

机译：我们应用极值理论来评估三种货币危机措施与通常用于预测危机的18个经济指标之间的尾部依赖关系。在1974年至2008年期间对46个国家/地区的汇总样本中，我们发现几乎所有变量对都是渐近独立的：在极限情况下，经济指标的极值并没有紧随其后的货币暴跌。我们的发现可能可以解释现有的货币危机预警系统的不良表现。但是，我们确实发现，与变量极端相关的经济变量在样本内和样本外都具有更好的危机预测性能。

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来源
《Journal of International Money and Finance》 |2013年第9期|151-171|共21页
作者
Phornchanok Cumperayot; Roy Kouwenberg;
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作者单位

Chulalongkorn University, Faculty of Economics, Bangkok 10330, Thailand;

Mahidol University, College of Management, 69 Vipawadee Rangsit Rd., Bangkok 10400, Thailand,Erasmus University Rotterdam, Erasmus School of Economics, 3000 DR Rotterdam, The Netherlands;

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正文语种 eng
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关键词
Currency crises; Crisis prediction; Extreme value theory; Emerging markets;

机译：货币危机;危机预测;极值理论;新兴市场;

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Early warning systems for currency crises: A multivariate extreme value approach

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