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首页> 外文期刊>European Journal of Operational Research >Developing an early warning system to predict currency crises
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Developing an early warning system to predict currency crises

机译：开发预警系统以预测货币危机

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The purpose of this paper is to develop an early warning system to predict currency crises. In this study, a data set covering the period of January 1992-December 2011 of Turkish economy is used, and an early warning system is developed with artificial neural networks (ANN), decision trees, and logistic regression models. Financial Pressure Index (FPI) is an aggregated value, composed of the percentage changes in dollar exchange rate, gross foreign exchange reserves of the Central Bank, and overnight interest rate. In this study, FPI is the dependent variable, and thirty-two macroeconomic indicators are the independent variables. Three models, which are tested in Turkish crisis cases, have given clear signals that predicted the 1994 and 2001 crises 12 months earlier. Considering all three prediction model results, Turkey's economy is not expected to have a currency crisis (ceteris paribus) until the end of 2012. This study presents uniqueness in that decision support model developed in this study uses basic macroeconomic indicators to predict crises up to a year before they actually happened with an accuracy rate of approximately 95%. It also ranks the leading factors of currency crisis with regard to their importance in predicting the crisis.
机译：本文的目的是开发一种预测货币危机的预警系统。在这项研究中，使用了涵盖土耳其经济1992年1月至2011年12月期间的数据集，并使用人工神经网络（ANN），决策树和逻辑回归模型开发了预警系统。财务压力指数（FPI）是一个汇总值，由美元汇率，中央银行的外汇储备总额和隔夜利率的百分比变化组成。在这项研究中，FPI是因变量，而32个宏观经济指标是自变量。在土耳其危机案例中进行了测试的三个模型给出了明确的信号，它们预测12个月前的1994年和2001年危机。考虑到所有这三个预测模型的结果，预计土耳其的经济在2012年底之前不会发生货币危机。在实际发生前一年，准确率约为95％。它还在预测危机的重要性方面对货币危机的主要因素进行了排名。

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