基于平衡稳定性的货币危机预警模型及实证研究

Currency crisis warning model and its empirical research based on equilibrium stability theory

以实际汇率变动率、私营部门贷款与GDP比率的变动率、总储备与M2比率构建"介稳球内接三棱椎"预警模型,并基于平衡稳定性理论研究三棱锥的失稳特征,观察对应的货币系统稳定性变动规律,发现几乎所有国家在危机前都处于稳定性平衡,危机时趋于失稳,危机后恢复到稳定性平衡.对1997年亚洲金融危机的实证研究表明新模型优于FR概率模型,STV预警模型和KLR模型.应用新方法,进一步分析当前的经济状况,认为我国货币系统的风险整体可控,给出了上述经济变量的合理区间,并对政府工作提出了相应建议.

This paper constructs a new warning model using the fluctuation rate of the real exchange rate, the growth rate of domestic credit to private sector and the ratio of total reserves to M2. Based on the equilibrium stability theory of rigid bodies, this paper studies the instability characteristics of the triangular pyramid, and also observes the stability change law of the corresponding currency systems. The empirical study of the 1997 Asian financial crisis shows that the new model is superior to FR model, STV model and KLR model. By applying the proposed method, the present economic situation is further analyzed, and some proposals have been suggested.