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首页> 外文期刊>The Singapore economic review >IDENTIFICATION AND PREDICTION OF CURRENCY CRISIS: MARKOV SWITCHING-BASED APPROACH
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IDENTIFICATION AND PREDICTION OF CURRENCY CRISIS: MARKOV SWITCHING-BASED APPROACH

机译：货币危机的识别与预测：基于Markov交换的方法

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摘要

This paper investigates ways of identifying and predicting currency crises in world-wide markets, with special focus on 1997 and 2008 currency crises. A novel Markov switching method is proposed for identifying currency crisis based on two states model, the turmoil state and tranquil state, which is the most suitable model considering the balance between model performance and computational demand. Compared with previous Markov switching currency crisis studies, the contribution of this paper comes from several ways. First, the dependent variable is different. While other papers use the exchange rate directly or the estimation of devaluation probability, this study uses the market pressure index calculated from nominal exchange rate and foreign reserves. Secondly, we allow different volatilities in different states, whereas other papers assume the same volatility in two states. Thirdly, our transition probabilities are constant rather than time-varying. The model shows evidence of state switching before crisis in many different currency markets. Lastly, we compare the Markov switching method with the widely used probit model which proposed an early warning system in terms of forecasting performance, and the empirical results show that the novel Markov switching method performs better than the probit model.
机译：本文调查了识别和预测全球市场货币危机的方法，特别关注了1997年和2008年货币危机。提出了一种新颖的马尔可夫切换方法，用于根据两个状态模型，动荡状态和平静状态来识别货币危机，这是考虑模型性能和计算需求之间的平衡的最合适的模型。与以前的马尔可夫交换货币危机研究相比，本文的贡献来自几种方式。首先，从属变量是不同的。虽然其他论文直接使用汇率或估算贬值概率，但本研究采用了由名义汇率和外资储备计算的市场压力指数。其次，我们允许不同州的不同挥发性，而其他文件在两种州呈现相同的波动。第三，我们的过渡概率是恒定的，而不是时变。该模型显示了许多不同货币市场危机之前的状态切换的证据。最后，我们将Markov交换方法与广泛使用的概率模型进行比较，这提出了预测性能的预警系统，并且经验结果表明，新的马尔可夫开关方法比探测模型更好地执行。

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