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題名 | 國際貨幣危機預警指標之選取與績效之評估=The Selection and Performance Evaluation of Leading Indicators of Currency Crises |
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作者 | 龔尚智; 李宗培; | 書刊名 | 輔仁學誌. 法管理學院之部 |
卷期 | 29 1999[民88.] |
頁次 | 頁1-19 |
分類號 | 561.74 |
關鍵詞 | 貨幣危機; 預警指標; Gurrency crisis; Leading indicators; |
語文 | 中文(Chinese) |
中文摘要 | 本文探討90年代全球三大貨幣危機的原因及預警指標的績效評估,包括92-93年的歐洲貨幣機制匯率穩定危機,94、95年的墨西哥貨幣危機,和97年的亞洲金融風知文中雖整理過去有關貨幣危機的理論及實證文獻。 為克服 Kaminsky,Lizondo,and Reinhart (1998)選取單一變數作為預芒挹標的缺點,本文利用多憫理數建立不同的綜合指標。實證結果顯示:(1)大部份國家綜合指標的績效優於或至少不亞於單一指標。(2)由於各國經濟結構不同,以相同單一指標預測各國貨幣危機不太恰當。(3)有些單一變數其影響綜合指標預測能力甚強,有些則相反,國此在組合粽合揖標時,對支配變數的選取要特別謹慎。 |
英文摘要 | This paper exammes the causes of currency crises during the 1990s, which includes ERM crises in 1992-1993, Mexico currency crisis in 1994-1995, and Asian financial crises in 1997. This paper also reviews the theory and empirical evidence on currency crises. Composite indicators are presented in this paper to solve the problems of single indicator adopted by Karoinsky, Lizondo, and Reinhait (1998). The empirical results indicate: (1) The performance of composite indicators are better or at least not worse than that of single indicators. (2) It is inappropriate to use a common indicator to predict the currency crises of different countries. (3) The predicting performance of some composite indicators are strongly influenced by some single variables. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。