中国外汇风险的识别和动态预警研究

Research on the Identification and Dynamic Early Warning Model of Foreign Exchange Risk in China

本文采用极值分位数的估计方法和动态Logit预警模型来识别和预测中国的外汇风险。其中用极值分位数的估计方法替代传统的偏离均值若干倍标准差的方法来识别中国的外汇风险,并以此为基础,选取代表宏观经济、金融体系和国外冲击三方面的24个指标构建中国外汇风险动态预警模型。所采用的动态Logit预警模型不仅考虑了基本面对外汇风险的影响,而且加入了动态性因素,即考虑了外汇风险的自回归特性。从实证结果来看,极值分位数的估计方法较客观地识别了外汇风险,动态Logit预警模型无论在样本内还是在样本外的预测能力都比静态Logit模型有了较大的提高,我国的汇率改革没有对外汇风险产生显著影响。

The paper uses the method of estimating extreme quantile and the dynamic Logit early warning model to identify and predict the foreign exchange risk in china, which was identified by utilizing the method of estimating extreme quantile instead of the traditional method of several variance deviation from mean value. On the basis of the foreign exchange risk identified, the dynamic early warning model of foreign exchange risk in china was made by choosing 24 indicators which represent macro-economy, financial system, and foreign shocks. The dynamic Logit model not only took into account the effect of fundamental factors, but was added with dynamic factor, namely autoregressive character of foreign exchange risk. The empirical result showed that the method of estimating extreme quantile identified the foreign exchange risk objectively, and the forecasting ability of dynamic Logit model in sample improved greatly than that of static Logit model, as well as outside of sample.