基于状态转换的货币危机预警模型——时变概率马尔可夫转换模型的Griddy-Gibbs取样法和应用被引量：19

Markov Switching Model of Currency Crisis Warning System

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摘要区别于目前基于信号分析的货币危机预警模型,本文采用时变概率马尔可夫状态转换模型来构建货币危机的预警模型。相对于信号模型中主观设定危机的定义和阈值,该模型将危机的识别内生于模型估计中,并通过汇率剧烈波动期的发生概率对货币危机预警,使预警系统更客观。本文的主要贡献为在Bauwens等(2007)基础上改进了Griddy-Gibbs取样法的使用效率,并应用此MCMC方法估计了多个马尔可夫转换模型。对东南亚金融危机的研究证实了状态转换模型的预警能力,并且时变概率马尔可夫转换-GARCH模型揭示了关于汇率波动的更多特性。 Instead of the normal Signal Models, this paper constructs early warning models of currency crisis via time varying Markov Switching models. Com- paring to the subjective definition of crisis and threshold setting in Signal Models, Markov Switching models endogenize crisis identification in model estimation, thus are more objective. This paper improves Griddy- Gibbs Sampling Method of Bau- wens etc （2007）, and estimates Markov Switching models using this method. The result shows that time varying Markov Switching model is able to reveal crises signs successfully. Moreover, MS - GARCH models reveal more interesting features a- bout exchange volatility.

作者朱钧钧谢识予朱弘鑫卢书泉

机构地区复旦大学经济学院

出处《数量经济技术经济研究》 CSSCI 北大核心 2010年第9期118-132,F0003,共16页 Journal of Quantitative & Technological Economics

基金复旦大学(教育部)金融创新研究生开放实验室创新项目基金资助复旦大学研究生创新基金资助上海市重点学科建设项目(编号:B101)的支持

关键词货币危机信号模型状态转换模型 Gibbs取样 Currency Crisis Signal Model Markov Switching Model Gibbs Sampling

分类号 F224.0 [经济管理—国民经济]

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