货币危机早期预警系统及运行效果:一个文献综述

Early Warning System of Monetary Crisis and its Operating Results: A Literature Review

货币危机早期预警系统是一国金融安全建设的主要内容之一。国际学术界对早期预警系统的研究分两个时期:在前 1997时期主要有KLR、FR、STV和刘遵义主观概率模型;在后 1997时期主要有IMF发展的KLR和DCSD模型以及一些私人投资银行开发的模型。目前,早期预警系统的研究范围和方法已经大大拓宽。从这些模型对亚洲金融危机和“样本外”的预报效果看,DCSD模型效果较好。

Early warning system of monetary crisis is an important component of the financial security construction of a country. The study of the early warning system in the international academia can be divided into two periods: In the pre-1997 period, there are such models as KLR, FR, STV and Liu’s subjective probit model; in the post-1997 period, there are mainly the KLR and DCSD models developed by the IMF and models developed by some private investment banks. At present, the scope and method of the research has been widened. By comparing the prediction of the Asian Financial Crisis and the “out-of-sample” by these models, it is found that the DCSD model performs better than others.