期刊文献+

货币危机预警理论与模型综述 被引量:2

A Review on the Early Warning Theories and Models of Currency Crisis
下载PDF
导出
摘要 货币危机预警是与投机性货币冲击理论的发展密切相关。货币危机预警的主要目的是提早识别危机发生的信号,以便该国能够及时采取适当的措施,减少危机发生的概率,乃至避免危机的发生,或者减少危机发生的强度和烈度。本文对近期货币危机主要预警模型或较新的若干预警模型进行较为详细梳理和评价。 The early warning model of currency crisis is closely related to the development of the speculative currency attacks theory. The main purpose of the early warning model of currency crisis is to distinguish the signal of currency crisis in earlier time to take appropriate measures to reduce the probability of currency crisis, even to avoid crisis or to reduce the intensity of crisis. The paper makes detailed classification and assessment on the early warning theories and models of currency crisis.
作者 石晓烽
出处 《区域金融研究》 2010年第8期34-38,共5页 Journal of Regional Financial Research
关键词 货币危机 预警理论 综述 Currency Crisis Theory of Early Warning Systems Review
  • 相关文献

参考文献16

  • 1Kaminsky, G., Lizonda, S., and Reinhart, C. M. Leading Indicators of Currency Crises [C]. IMF Staff Papers, 1998, 45(1): 1-48.
  • 2Kaminsky, G. and Reinhart, C. The Twin Crises: The Causes of Banking and Balance-of-payments Problems [J]. The American Economic Review, 1999, 89(3): 473-500.
  • 3Kaminsky, G. Varieties of Currency Crises [C]. NBER Working Paper No. 10193, 2003.
  • 4Frankel, J., Rose, A. Currency Crashes in Emerging Markets: An Empirical Treatment [J]. Journal of International Economics, 1997, 41(3-4): 351-366.
  • 5Bussiere, M. and Fratzscher, M. Towards a New Early Warning System of Financial Crises [C]. ECB Working Paper No. 145, May 2002.
  • 6Kumar, M. S., Moorthy, U. and William P. Predicting Emerging Market Currency Crashes [C].IMF Working Paper No. 2002(7).
  • 7Martinez-Peria, Maria Soledad. A Regime Switching Approach to Studying Speculative Attacks: A Focus on EMS Crisis [J].Empirical Economics, 2002, 27(2): 183-222.
  • 8Abiad, Abdul. Early-Warning Systems: A Survey and A Regime-Switching Approach [C]. IMF Working Papers 2003,32 (3).
  • 9张伟.体制转换模型能预测货币危机吗?[J].经济研究,2004,39(7):18-26. 被引量:27
  • 10Fratzscher, M. Financial Market Integration in Europe:On the Effects of EMU on Stock Markets [J].International Journal of Finance & Economics, 2002, 7(3): 165-193.

二级参考文献20

  • 1汉密尔顿 刘明志译 靳云汇主审.《时间序列分析》[M].经济科学出版社,1998..
  • 2Abiad, Abdul, 2003, "Early Warning Systems for Currency Crises : A Survey and a Regime-Switching Approach", IMF Working Paper 03/32 (Washington : International Monetary Fund).
  • 3Aziz, Jahangir, Francesco Caramasza, and Ranil Salgado, 2000, "Currency Crises : In Search of Common Elements", IMF Working Paper 00/67 (Washington: International Monetary Fund).
  • 4Berg, Andrew, Eduardo Borensztein, and Catherine Pattillo,2003, "Assessing Early Warning Systems: How Have They Worked in Practice?" IMF Working Paper (Washington: International Monetary Fund).
  • 5Cecchetti, S C, P Lam, and N C Mark, 1990,"Mean Reversion in Equilibrium Asset Prices", Amefican Economic Review, 80(3).
  • 6Diebold, F X, G C Weinbach, and J H Lee, 1994, "Regime Switching with Time-Varying Transition Probabilities", in Nonstationary Time Series Analysis and Cointegration, ed. by C P Hargreaves; Oxford University Press.
  • 7Edison, Hali J. 2000, "Do Indicators of Financial Crises Work? An Evaluation of Early Warning System". Federal Reserve Board of Governors, International Finance Discussion Papers ; No. 675, pp. 1-74, July.
  • 8Eichengreen, Barry, Andrew Rose, and Charles Wyplosz, 1996, "Contagious Currency Crises: First Tests", Scandinavian Journal of Economics, 98(4), pp.463-84.
  • 9Engel, Charles, and James D Hamilton, 1990,"Long Swings in the Dollar: Are they in the Data, and Do the Markets Know it?" American Economic Review, 80(4), pp. 689-713.
  • 10Filardo, Andrew J. 1994, "Business Cycle Phases and Their Transitional Dynamics" ,Journal of Business and Economic Statistics.

共引文献26

同被引文献19

引证文献2

二级引证文献16

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部