关于中国外汇风险预警研究——利用三元Logit模型

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.