摘要
本文利用三元Logit模型对我国外汇风险预警进行了实证分析。本文估计了我国外汇风险预警指数,确定了外汇风险预警的临界值,并根据样本内预测结果计算了我国外汇风险预警模型的拟合度。外汇风险预警模型分析表明,我国1991年和1993年前后发生外汇危机的概率非常高,而在1994年汇率体制改革以后发生危机的概率接近于0。目前,一些经济基本面的指标表现良好,发生外汇危机的可能性较小,,但外汇危机预警模型的研究仍然很必要。
This paper is an empirical research of the early warning of foreign exchange risk in China using ternary logit model. In the paper, we estimate the early warning index of foreign exchange risk, give the threshold of early warning of foreign exchange risk and compute the goodness of the early warning model of foreign exchange risk of our country. By the analysis of early warning model of foreign exchange risk, the probability of exchange crisis in 1991 and 1993 was very high, while close to zero after the system reform of exchange rate in 1994. Now with good relevant economic indicators, the probability of crisis in China is very low. But the research of early warning model of foreign exchange is still meaningful and indispensable.
出处
《金融研究》
CSSCI
北大核心
2005年第7期24-32,共9页
Journal of Financial Research
基金
教育部人文社会科学博士点基金项目<我国外汇风险预警模型研究>的资助(项目号:03JB790043)
教育部人文社会科学重点研究基地重大课题<宏观金融风险形成的微观机理:数理模型
计量方法与智能模拟研究>项目(项目号为02JAZJD790008)的资助
