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首页> 外文期刊>The Singapore economic review >A REGIME SWITCHING ANALYSIS OF INDONESIA'S EXCHANGE MARKET PRESSURE
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A REGIME SWITCHING ANALYSIS OF INDONESIA'S EXCHANGE MARKET PRESSURE

机译：印尼交易所市场压力的制度转换分析

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摘要

This paper examines the extent to which the Indonesia's currency crisis can be accounted for by macro and micro economic fundamentals by employing Markov-switching approach under cross-generation crisis models. In order to represent the speculative attack in the economy, the study utilized one of the measures that is most widely adopted to signal the breakup of a crisis, the Exchange Market Pressure Index (EMPI). This paper found the following. First, liquidity (DC), real exchange rate (RER2) and ratio of banking credit to GDP (BCred) were found to significantly influence the EMPI, indicating that the behavior of EMPI has the characteristic that is predicted by the first, second, and third generation of crisis model found to significantly influence the EMPI, indicating that the behavior of EMPI has the characteristic that is predicted by the first, second and third generation of crisis models. Second, the LR test showed that regime switching dynamic model is more robust than ordinary dynamic model in explaining the EMPI, suggesting that speculative attacks tend to have the characteristics of multiple equilibria. Third, the transition probability matrix results showed that the tranquility regime was more persistent than the volatile regime.
机译：本文研究了在跨代危机模型下采用马尔可夫转换方法，可以用宏观和微观经济基本原理解释印度尼西亚货币危机的程度。为了代表经济中的投机性攻击，该研究采用了最广泛用来表示危机破裂的一种措施，即外汇市场压力指数（EMPI）。本文发现以下内容。首先，发现流动性（DC），实际汇率（RER2）和银行信贷对GDP的比率（BCred）显着影响EMPI，这表明EMPI的行为具有第一，第二和第二预测的特征。已发现第三代危机模型对EMPI有显着影响，表明EMPI的行为具有第一代，第二代和第三代危机模型所预测的特征。其次，LR测试表明，在解释EMPI时，体制切换动态模型比普通动态模型更健壮，这表明投机攻击倾向于具有多重均衡的特征。第三，过渡概率矩阵结果表明，平静状态比波动状态更持久。

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