货币危机早期预警系统

Research on Currency Crisis Early Warning Systems

提出基于综合指标的多时标预警流程 ,对预警流程进行逐层细化和扩充 ,将整个流程划分为长期、中期和短期预警三个层次 ,根据形势变化引入了多时标和扩充观测指标集的方法 ,尽可能提高系统洞察市场变化的能力 ,以适应不同波动状态下的监测与预警需求。在预警指标的选取上从三个层次构造预警指标体系 ,并将新的预警机制应用于 1 997年亚洲货币危机的实证研究。结果表明 。

This paper points out that traditional early warning procedures are oversimple and differences in average lead time of leading indicators are neglected. Aiming at those problems, a multi-time-scale early warning system is designed, in which the early warning procedure is divided into three levels, long-term, mid-term and short-term level, so that to meet different early warning demands in different situations. Accordingly, the leading indicators are divided into three levels too. The multi-scale early warning system is applied to the Philippine Currency crisis of 1997. Conclusions show that the system has better early warning capability.