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1
Solomon, Raphael Haim Reuven. "Every bank run need not cause a currency crisis. models of twin crisis with imperfect information." The Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc_num=osu1054309457.
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SROUR, SOLANGE. "CURRENCY CRISES AND CURRENCY BOARDS: A MODEL RELAXING THE CLASSICAL PPP ASSUMPTION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2001. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=14076@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORO principal objetivo da dissertação é analisar crises de realinhamento da taxa de câmbio real. O modelo desenvolvido relaxa a hipótese da PPP, que é usual nos modelos de crises cambiais, e assume que o desequilíbrio da taxa de câmbio é derivado de choques exógenos no balanço de pagamentos. Este tipo de abordagem permite explicar crises que não são derivadas da adoção de políticas inconsistentes com o regime cambial fixo e sim resultado do processo de ajuste da economia. Um aspecto fundamental do modelo é a importância do grau de comprometimento do governo em relação ao câmbio fixo. A adoção de regimes de câmbio fixo com altos custos de saída, como o currency board, pode ser racionalizada através de um modelo simples como o apresentado.
The main objective of this dissertation is to analyze real exchange rate realignment crises. The model developed abandons the PPP hypothesis, which is common in the exchange rate crises models, and assumes that disequilibrium of the exchange rate is derived from exogenous shocks at the balance of payments. This type of approach allows us to explain crises that are not derived from the adoption of policies that are inconsistent with the fixed parity, but result from the process of adjusting the economy. A fundamental aspect of the model is the importance of the degree of commitment of the government in respect to the parity. The adoption of regimes of fixed exchange rate with high costs of exit, as currency boards, can be rationalized through a simple model as the one presented below.
3
Špecián, Petr. "Interpretace fenoménu moderní měnové krize v rámci širších teoretických modelů ekonomiky." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-10443.
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The thesis is dealing with currency crisis phenomenon and its explanation within the wider framework of theoretical economics. It contains an analysis of present "mainstream" understanding of the currency crisis, an outline to the approaches to its modelling and also a brief historical overwiev. This thesis uses an analysis and also an application of relevant theories of L.Mises and J.M.Keynes to achieve its main objective. Finally it comes to the integration of currency crisis into the context of general economic course of events.
4
Miyake, Adriana Keiko. "A economia brasileira ao longo da década de 1990 e a crise cambial de 1999: um estudo econométrico baseado nos modelos de primeira e segunda geração." Pontifícia Universidade Católica de São Paulo, 2006. https://tede2.pucsp.br/handle/handle/9289.
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Previous issue date: 2006-06-20Conselho Nacional de Desenvolvimento Científico e Tecnológico
As transformações ocorridas nas últimas décadas na economia internacional provocaram graves crises monetárias e fmanceiras em diversos países, resultando em crises cambiais e no abandono do regime de câmbio fixo. O aumento do poder do capital financeiro sobre o produtivo, decorrente da maior abertura e da desregulamentação dos mercados financeiros, foi um dos fatores que aumentou a vulnerabilidade de economias menos preparadas para essas mudanças, como foi o caso de muitos países em desenvolvimento. Ainda, a abertura comercial ocorrida nesses países expôs seu setor produtivo à crescente concorrência externa de grandes empresas multinacionais. Aliada a esses fatores, a forma com que a política foi conduzida por seus respectivos governos contribuiu para a deflagração da cnse. A crise cambial brasileira, ocorrida no início de 1999, acarretou problemas para toda a economia brasileira. Diante disso, este trabalho procurou estudar os fatores que poderiam ser apontados como responsáveis por esse acontecimento, para que, no futuro, situações semelhantes sejam previstas com maior antecedência e para que medidas sejam tomadas para evitar este tipo de desfecho. Foi feito um acompanhamento da economia, ao longo da década de 1990, para se identificar as variáveis que levaram à crise cambial. A partir disso, foi utilizado um instrumental matemático (regressão do tipo Probit) para se chegar a um modelo econométrico que relacionasse essas variáveis à probabilidade de ocorrência de crise. Diferentemente do que ocorreu nos países do leste asiático, que suscitou o desenvolvimento dos modelos chamados de terceira geração, o resultado obtido no caso brasileiro se mostrou em conformidade com aspectos tanto dos modelos de primeira quanto de segunda geração
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Cabrol, Sébastien. "Les crises économiques et financières et les facteurs favorisant leur occurrence." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090019.
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Cette étude vise à mettre en lumière les différences et similarités existant entre les principales crises économiques et financières ayant frappé un échantillon de 21 pays avancés depuis 1981. Nous analyserons plus particulièrement la crise des subprimes que nous rapprocherons avec des épisodes antérieurs. Nous étudierons à la fois les années du déclenchement des turbulences (analyse typologique) ainsi que celles les précédant (prévision). Cette analyse sera fondée sur l’utilisation de la méthode CART (Classification And Regression Trees). Cette technique non linéaire et non paramétrique permet de prendre en compte les effets de seuil et les interactions entre variables explicatives de façon à révéler plusieurs contextes distincts explicatifs d’un même événement. Dans le cadre d‘un modèle de prévision, l’analyse des années précédant les crises nous indique que les variables à surveiller sont : la variation et la volatilité du cours de l’once d’or, le déficit du compte courant en pourcentage du PIB et la variation de l’openness ratio et enfin la variation et la volatilité du taux de change. Dans le cadre de l’analyse typologique, l’étude des différentes variétés de crise (année du déclenchement de la crise) nous permettra d’identifier deux principaux types de turbulence d’un point de vue empirique. En premier lieu, nous retiendrons les crises globales caractérisées par un fort ralentissement ou une baisse de l’activité aux Etats-Unis et une faible croissance du PIB dans les pays touchés. D’autre part, nous mettrons en évidence des crises idiosyncratiques propres à un pays donné et caractérisées par une inflation et une volatilité du taux de change élevéesThe aim of this thesis is to analyze, from an empirical point of view, both the different varieties of economic and financial crises (typological analysis) and the context’s characteristics, which could be associated with a likely occurrence of such events. Consequently, we analyze both: years seeing a crisis occurring and years preceding such events (leading contexts analysis, forecasting). This study contributes to the empirical literature by focusing exclusively on the crises in advanced economies over the last 30 years, by considering several theoretical types of crises and by taking into account a large number of both economic and financial explanatory variables. As part of this research, we also analyze stylized facts related to the 2007/2008 subprimes turmoil and our ability to foresee crises from an epistemological perspective. Our empirical results are based on the use of binary classification trees through CART (Classification And Regression Trees) methodology. This nonparametric and nonlinear statistical technique allows us to manage large data set and is suitable to identify threshold effects and complex interactions among variables. Furthermore, this methodology leads to characterize crises (or context preceding a crisis) by several distinct sets of independent variables. Thus, we identify as leading indicators of economic and financial crises: variation and volatility of both gold prices and nominal exchange rates, as well as current account balance (as % of GDP) and change in openness ratio. Regarding the typological analysis, we figure out two main different empirical varieties of crises. First, we highlight « global type » crises characterized by a slowdown in US economic activity (stressing the role and influence of the USA in global economic conditions) and low GDP growth in the countries affected by the turmoil. Second, we find that country-specific high level of both inflation and exchange rates volatility could be considered as evidence of « idiosyncratic type » crises
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Mounoussamy, Julie. "Fondements théoriques et empiriques des crises monétaires." Thesis, La Réunion, 2017. http://www.theses.fr/2017LARE0026.
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Les crises monétaires sont les premières crises financières de l'histoire économique. Elles se traduisent par l'élimination ou la substitution des monnaies nationales. L'objectif de cette thèse est de poser les fondements théoriques et empiriques des crises monétaires, mais également de proposer un cadre de prévention de ce type de crise qui sévit en zone euro depuis 2008. Les débats économiques et politiques actuels autour des questions de désintégration monétaire témoignent de la persistance et de l'ampleur de la crise, où la légitimité et la souveraineté de la monnaie unique est menacée à moyen long terme. Les divers plans de sauvetage et les politiques d'austérité dans les pays-membres en difficulté ne sont que les conséquences et les coûts directs d'une telle crise. Ces derniers doivent interpeller les autorités de supervision à une plus grande vigilance, ainsi qu'à une politique de prévention plus avisée. L'objectif de cette thèse est double : dans une première partie, nous analysons le concept, les fondements historiques et théoriques des crises monétaires, puis dressons une typologie de celles-ci. Dans une seconde partie, nous apportons une contribution empirique relative aux déterminants des crises monétaires en zone euro et proposons un outil de prévention des crises monétaires, grâce à la mise en place d'un système d'alerte avancée (Early Warning System), par l'approche économétrique de type logit multinomial. Pour ce faire, la détection et la mesure des mésalignements des taux de change réels à l'intérieur de la zone euro est cruciale, puisqu'il constitue l'indicateur premier des crises monétaires. L'estimation des taux de change d'équilibre permettent ainsi d'apprécier la sur ou sous-évaluation des monnaies, indispensable à la mise en place d'un système d'alerte avancée, à des fins de prévention des crises monétairesMonetary crises are the first financial crises in economic history, which result in the elimination or substitution of national currencies. The aim of this thesis is to study the theoretical and empirical foundations of monetary crises. Furthermore, a framework for the prevention of such crises, raging in the Euro zone since 2008, is provided. The current economic and political debates about this issue reflect the persistence and the extent of this crisis, in which the Euro's legitimacy and sovereignty is threatened in the medium term. The various rescue plans and austerity policies in troubled member states are direct consequences and costs of this crisis. Consequently, supervisory authorities need to be more vigilant in strengthening their prevention policy. The purpose of this thesis is twofold: in the first part, we analyze the concept, the historical and theoretical foundations of monetary crises, and then develop a typology of them. In the second part, we provide an empirical contribution on the determinants of monetary crises in the euro area and propose a tool for preventing currency crises by setting up an Early Warning System, through the econometric approach of the multinomial logit model. As the primary indicator of monetary crises, the detection and measurement of real exchange rate misalignments within the euro area is decisive. The equilibrium exchange rates estimation allows the assessment of currency over- or undervaluation, which is essential for the implementation of an early warning system
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DE, SANTIS ROBERTA, and SANTIS Roberta DE. "Trade as international transmission mechanism of shocks: The case of Central Eastern European Countries." Doctoral thesis, La Sapienza, 2005. http://hdl.handle.net/11573/916890.
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Wood, Emily Nicole. "Analysis of SIS Patch Model and Development of a Modified SEIR Patch Model Applied to the Current Opiate Crisis." The Ohio State University, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=osu15952391082538.
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Ndiritu, Gachiri Charles. "An Application of Multiple Regression in Exchange Rate Arrangements." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_1863_1263418792.
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This project "
An application of multiple regression in exchange rate arrangement"
focused on the processes followed by different countries when choosing an exchange rate regime for currency stabilization. It analyses the consequences faced by emerging markets as a result of changes in volatility of developed countries&rsquo
currencies (American Dollar, Japanese Yen, EURO, British Pound and the Canadian Dollar).
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Roelf, Nicholas Louis. "Decentralising the South African Police Service: Does South Africa's current public safety crisis and the de facto decentralising of policing necessitate a critical evaluation of its present policing model?" Master's thesis, Faculty of Law, 2021. http://hdl.handle.net/11427/33014.
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Violent crime in South Africa has reached epidemic levels, and something needs to be done about it as a matter of urgency. While the huge socio-economic inequalities in South Africa remain the main cause of crime in South Africa, the focus of this dissertation is on the inefficient, ineffective and unaccountable South African Police Service (SAPS), and how its failings have contributed to the public safety crisis South Africa is faced with presently. In this dissertation I suggest that, given South Africa's current public safety crisis, institutional reform of SAPS is needed in order to adequately address this social ill and argue that it is worth revisiting the decentralised policing model proposed under the Constitution of the Republic of South Africa Act 200 of 1993 (Interim Constitution), as a partial solution. The public safety crisis effects every person in South Africa, whether directly or indirectly, however, it is the most vulnerable communities, on the socio-economic margins of the South African society, who suffer the most. The Cape Flats in Cape Town is used as a representative case study to show the failings of South Africa's current centralised policing model, highlighting how SAPS have proven to be ineffective in dealing with violent crime there. As a result of the failings of SAPS people are organising locally to ensure their own safety, including the creation of vigilante organisations. In Cape Town a de facto decentralised police service has been created, which in itself presents a serious problem however also reflects the demand for more localised and nuanced policing in South Africa.
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Souza, Anderson Oliveira de. "O que guia o endividamento externo brasileiro?: entendendo a resposta a choques transitórios e permanentes." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13998.
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A partir de Buiter e Miller (1981), Obstfeld (1983), Sachs (1981), Svensson e Razin (1983) e alguns outros, a abordagem intertemporal da conta-corrente passou a receber atenção crescente da literatura. Desde então os estudos empíricos não são unânimes em atestar sua validade e, dessa forma, a evidência empírica tem sido mista. Mais recentemente, Corsetti e Konstantinou (2009) caracterizam empiricamente a dinâmica conjunta da conta-corrente, ativos e passivos externos a valor de mercado e produto líquido para os EUA no período pós Bretton Woods. Ao contrário da maioria das outras publicações, Corsetti e Konstantinou (2009) são pouco restritivos no que diz respeito às premissas. Neste trabalho buscou-se aplicar a mesma metodologia emprega por Corsetti e Konstantinou (2009) para analisar o equilíbrio externo do Brasil entre 1990 e 2014, período no qual diversos choques afetaram a economia brasileira. São identificados os componentes transitórios e permanentes para a dinâmica conjunta das quatro variáveis básicas da restrição intertemporal da economia, ou seja: Consumo, Produto Líquido, Ativos externos e Passivos externos. O presente trabalho sugere que existem evidências da validade da abordagem intertemporal da conta-corrente para o Brasil, mesmo a análise sendo feita em uma amostra em que estão presentes choques significantes que afetaram a economia brasileira.
Since Buiter and Miller (1981), Obstfeld (1983), Sachs (1981), Svensson and Razin (1983), and some others, the inter-temporal approach of the current account started receiving increasing attention in the literature. Over the past years empirical studies have not been unanimous in attesting its validity and empirical evidence has presented mixed results. More recently, Corsetti and Konstantinou (2009) empirically characterize the joint dynamics of the current account, foreign assets and liabilities valued at market and net output of the US, in the post Bretton Woods period. Unlike most other publications, Corsetti and Konstantinou (2009) are not very restrictive regarding the assuptions made. In this dissertation, the same methodology employed by Corsetti and Konstantinou (2009) is used to analyze the external balance of Brazil between 1990 and 2014, period for which several shocks have affected the Brazilian economy. Temporary and permanent components are identified for joint dynamics of four basic variables of intertemporal constraint of the economy, consumption, net output, external assets and external liabilities. This study suggests that there is evidence of the validity of the intertemporal approach to current account to Brazil, even the analysis being made on a sample where significant shocks were found and for sure affected the Brazilian economy.
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ZWART, Sanne. "Coordination, Expectations and Crises." Doctoral thesis, 2007. http://hdl.handle.net/1814/7767.
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Defence date: 15 October 2007Examining board: Prof. Giancarlo Corsetti, EUI, Supervisor ; Prof. Bernardo Guimaraes, London School of Economics ; Prof. Karl Schlag, EUI and Universitat Pompeu Fabra ; Prof. Eric Van Damme, Tilburg University
no abstract available
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Marques, David André Antunes. "Will it really be different this time?: a financial crises forecasting model." Master's thesis, 2021. http://hdl.handle.net/10071/24329.
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In this dissertation, we studied a model with different variable with the aim to reach a model
with higher accuracy to predict financial crisis. For this study, we used a binary logit panel data.
Our research has a time range between 1970 and 2019 for more than 60 counties. According
to the nature of each type of crisis, we selected different variables. We have found evidence
that each model has good predictive signals once we estimate different situations of crisis in
different countries. Our currency crises model can correctly estimate 9.55% of the currency
crises. We find strong evidence that exchange rate type and political level plays an important
role to predict currency crises. Our Banking Crises model can correctly predict 10.32% of the
banking crises. Regarding our empirical studies, we find strong evidence that real gross
domestic product growth rate general gross rate debt and household debt are good predictive
variables of banking crises. Finally, our sovereign debt crisis can correctly predict 8,47% of the
sovereign debt crises. Due to our empirical study, we highlight regulatory quality and real gross
domestic product growth rate the key determinants to predict sovereign debt.Nesta Dissertação estudámos um modelo com diferentes variáveis com o intuito obter um modelo com maior taxa de acerto relativamente a crises financeiras. Para este estudo, usaram-se modelos logísticos binários para dados em painel. A análise feita contempla um horizonte temporal para concebido entre 1970 e 2019 para mais de 60 países do mundo. Cada modelo predicativo contempla variáveis de controlo específicas, de acordo com a natureza de cada tipo de crise. Com este estudo conclui-se que todos os modelos registaram bons sinais para cada tipo de crise e para diferentes países. O nosso modelo de crises monetárias consegue estimar de uma forma correta 9.55% das crises monetárias verificadas. Descobriuse fortes indícios de que o regime de taxas de câmbio e o nível político de um país desempenham um papel fundamental para prever crises monetárias. O modelo de crises bancárias consegue estimar de uma forma correta 10.32% das crises bancárias verificadas. Graças ao estudo empírico desenvolvido, percebeu-se que o crescimento real do produto interno bruto, taxa bruta de débito e o débito das famílias são boas variáveis predicativas de crises bancárias. Por fim, o modelo de crise da divida soberana consegue prever corretamente 8,47% das crises de dívida soberana. Devido ao estudo empírico realizado, destacamos a qualidade de regulação e a taxa de crescimento real do produto interno bruto como principais determinantes para prever dividas de crise soberana.
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SHENG, HUANG CHE, and 黃哲聖. "Identifying Currency Crises- An application of Markov-switching model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/01425623948791959510.
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碩士國立中正大學
國際經濟研究所
92
We apply the Markov-switching models to the identification of currency crises in a sample of 138 IMF member countries. We try three specifications: a simple switching model in which the two states have different mean and variance, a model with autoregressive mean, and a GARCH switching model in which conditional mean and conditional variance are allowed to vary. Using monthly data ranging from 1970 to 2003, we compare the results of crises classification with Hadi’s outlier detection method. We find that regime-switching models can identify most well-known crisis episodes, but they tend to identify too much crises, and the results are not robust to different model specifications. We discuss potential reasons that lead to the unsatisfactory performance of the regime-switching models in currency crises identification.
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Chang, Hsiao-Pu, and 張孝菩. "Wage Indexation and the Second Generation Model of Currency Crises." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/58211417860465713501.
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碩士輔仁大學
經濟學研究所
101
Based on the model developed by Obstfeld (1996), this thesis sets up a second-generation model of currency crises featuring wage indexation which is regarded as an exogenous variable. In a situation that purchasing power parity holds, we investigate how wage indexation will affect both the probability of abandoning the policy of a fixed exchange rate and central banker’s optimal choice of exchange rate regime. Our analysis finds that a higher wage indexation tends to decrease the expected rate of devaluation and increase central banker’s endurance for speculative shock. These facts will lower the probability for central banker to abandon the policy of fixed exchange rate. Furthermore, for the optimal choice of exchange rate regime, our numerical simulations show the following results: (1) the central banker is more willing to choose flexible exchange rate regime when either wage indexation or the variability of shock is higher; (2) the central banker is more willing to choose fixed exchange rate regime when either the extent of social distortion or the extent placed by the central banker on output stabilization relative to inflation stabilization is higher
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"A simple model for financial aid in currency crisis." 2008. http://library.cuhk.edu.hk/record=b5896821.
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Wong, Kin Ming.Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 38-39).
Abstracts in English and Chinese.
Abstract --- p.i
Abstract (Chinese Version) --- p.ii
Acknowledgement --- p.iii
Table of Contents --- p.iv
List of Important Notations --- p.vi
List of Table and Figures --- p.vii
Chapter 1. --- Introduction --- p.1
Chapter 2. --- Literature Reviews --- p.5
Chapter 2.1. --- Economic Fundamentals Models --- p.5
Chapter 2.2. --- Self-fulfilling Models --- p.6
Chapter 2.3. --- Contagious Currency Crises --- p.8
Chapter 3. --- The Model --- p.11
Chapter 3.1. --- Output Stability and Price-level Stability Tradeoff --- p.11
Chapter 3.2. --- Realignment Cost --- p.15
Chapter 3.3. --- Speculative Attack and Its Size --- p.15
Chapter 4. --- A Two-Stage Game for Exchange Rate Policy Decision --- p.19
Chapter 4.1. --- The Game --- p.19
Chapter 4.1.1. --- Policy Response of the Domestic Central Bank --- p.20
Chapter 4.1.2. --- Policy Decision of the Foreign Central Bank --- p.21
Chapter 4.2. --- Special Features of the Game --- p.22
Chapter 4.2.1. --- "Export Sensitivity, Adjusted Inflation-Output Stability Preference and Policy Response" --- p.23
Chapter 4.2.2. --- Speculative Attack through the “Weakest Link´ح --- p.25
Chapter 5. --- Financial Aid in Currency Crisis --- p.28
Chapter 5.1. --- The Game with Financial Aid --- p.28
Chapter 5.2. --- Policy Response of the Domestic Central Bank --- p.30
Chapter 5.3. --- Policy Decision of the Foreign Central Bank --- p.31
Chapter 5.4. --- Financial Aid Decision of the Domestic Central Bank --- p.32
Chapter 6. --- Concluding Remarks --- p.36
Chapter 7. --- References --- p.38
Chapter 8. --- Appendices --- p.40
Chapter 8.1. --- Change in Price Level and Exchange Rate --- p.40
Chapter 8.2. --- Optimization of Depreciation Rate --- p.41
Chapter 8.3. --- Social Loss for Unilateral Devaluation --- p.42
Chapter 8.4. --- Social Loss under Foreign Unilateral Devaluation --- p.43
Chapter 8.5. --- Social Loss for Competitive Devaluations --- p.44
Chapter 8.6. --- Impact of Ø on λ1 --- p.45
Chapter 8.7. --- Optimization Benefit under different foreign policy --- p.46
Chapter 8.8. --- The Complete Two-Country Game with Financial Aid --- p.47
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Fai, Wong Kin, and 黃健輝. "Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/ekka4y.
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碩士國立暨南國際大學
經濟學系
91
This thesis tries to evaluate the Probit model which is proposed by Frankel and Rose in 1996 for predicting currency crises. The idea is try to answer the question：If we had been using the Probit model in late 1996, how well armed would we have been to predict the Asian currency crisis and the South-America currency crisis? Furthermore, we utilized the Logit model and Markov switching model to predict currency crisis, and compared the performance with the Probit model. This study focuses on the empirical analysis of 8 crisis countries from 1990 to 2003. According to the empirical results, we ended up with the following conclusions： Logit model has the best performance for predicting currency crises.
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Hsiao, Wen-Yi, and 蕭文宜. "The Study of Relationship between Central Rate of Asian Currency Unit and the Currency Crises Warning Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/26c3nk.
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碩士中原大學
企業管理研究所
92
ABSTRACT After Robert Mundell advocatedregional integration, the establishment of Europe Union has brought lots of benefits (such as avoid from the unstable exchange rate between countries, arise the amount of international trade, and so on… ) to Europe. Ten countries also added to the Europe Union, which made its members from 15 to 25 in 2004. The result once again proved the necessarity of regional integration and also reaffaimed that using signal currency unit in an area is better than using different currencies within a domain. Some international organizations, such as Association of Southeast Asian Nations (ASEAN), Asia Pacific Economic Cooperation (APEC), Asian Monetary Fund(AMF) and East Asian Monetary Fund, have had the same opinion about integrated economics; and , from the success of Europe currency unit, the supporters have much confidence that Asian currency unit can also be made. This research adopted the period from 1992.3.2. to 2003.9.30, using Ordered Probit and Ordered Logit models to examine the relationship between different exchange rate, different thresholds and different models. The result is, under all the thresholds, using ACU central rate can reduce the probability of currency crisis in Asia comparing to exchange rate changes. Besides, inflation index and real interest rate can be the early warning indicators to currency crisis in the cases of ACU central rate and exchange rate; on the other hand, since these two variables have high marginal effects, they can also be valueable tools for policy makers when they think over the policy of controlling currency crisis. As to the thresholds, Speculative Pressure Index, which formed by exchange rate, interest rate and international reserves ( weights : 0.5、0.3、0.2 ) and another threshold, Exchange Rate Pressure Index, which formed by ACU rate and international reserves, both can well distinguish the volatility of currency crisis.
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Wang, Ying-Chieh, and 王盈傑. "An Application of Expert System with Learning Capability on Currency Crises Warning Model." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/26019530687492335235.
Full textAbstract:
碩士靜宜大學
會計學系研究所
91
This research is using neuro fuzzy to construct a warning system for the currency crises based on the results of Kaminsky and Reinhart’s signal approach. Fifteen variables are used as the explanatory variables to analyze twenty countries. The empirical results show that the weighted score approach is superior to probability approach, and the neuro fuzzy approach is the best among these methods. In addition to the prediction accuracy, the insight from neuro fuzzy is different from that of the past research, which provides a new direction to explain the crises.
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Yang, Ching-Ping, and 楊淨萍. "The Study of Relationship between Asian Currency Unit and the Currency Crises Warning Model- Using Exchange Market Pressure Index." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/97702642009228240467.
Full textAbstract:
碩士中原大學
企業管理研究所
98
The advantages of establishing a common currency area or common currency basket peg within the regional countries which have similar levels of economic development are lower trade cost, lower probability of suffering currency crisis, lower unusual vibration of exchange rate and better economic growth. Therefore, in recent years Asian countries are persistently implementing the Asia regional integration. The reasons for the currency crisis are financial over-liberalization, economic bubble, the over-leverage of government debt, the ineffective monetary policy and financial supervision capacity, making short-term capital become hot money. With effective information collection and analysis architecture and suitable macroeconomic economic indicators, we can assess the vulnerability of national economies and establish the early warning models to reduce the likelihood of suffering currency crisis. In this paper we adopt the Logit model, Probit model, Support Vector Machines (SVM) model and Bayesian networks model to analyze the relationship between the Asian Currency Unit (ACU) and the currency crisis from 1992 to 2009. By so doing, we try to find out the better exchange market pressure (EMP) indicators, early warning system (EWS) models and the key factors. The empirical results show: firstly, the governments which implement ACU central rate can reduce the probability of currency crisis under all exchange market pressure by an appropriate adjustment of important macroeconomic variables such as foreign reserves and the ratio of government debt to reserves. Secondly, in the model selection, the combination of Logit model and Bayesian networks model gives the best prediction power than any other models. The type I and type II errors for Exchange market pressure index STV(Sachs, J., Tornell, A. and Velasco, A. (1996)) method have the minimum rate and therefore have better early warning capability.
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Li, JiaYing, and 李佳穎. "Leading Indicators of Currency Crises-The Integration of Signal Extraction Approach and Panel Logit Model." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/26361261709800991240.
Full textAbstract:
碩士東吳大學
國際貿易學系
90
Recent currency crises such as the 1992-1993 crisis in Europe, the 1994-1995 peso crisis in Latin America, and the 1997-1998 financial crisis in Asian have drawn worldwide attention about constructing an early warning system. The main purpose of this paper is that we integrate the signal extraction approach and panel logit model of quantitative analysis to see whether the forecasting ability can be improved. We follow three stages for our empirical study to construct a composition probability indicator for each country. In the first stage, we find some indicators according to the suggestion of related literature, and then we employ signal extraction approach to obtain some appropriate indicators. In the second stage, we use these selected indicators to calculate the probabilities of the monthly occurrence of currency crises by panel logit model. Finally, we compute the optimal threshold of the composition probability of the happening of currency crisis for each country. The results show that the predict ability of our integration is in average better than traditional method. In average, our early warning system is better than signal extraction approach. Besides, we calculate threshold probability of individual country and provide these probability values for predict currency crises. We also take Taiwan for example to verify the effectiveness of our composite indicator. There is about 70% correct prediction, and our composite probability indicators are proven to be useful.
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Huang, Tsui-Hua, and 黃翠華. "Swarm Intelligence in Constructing Investment Strategies, Financial Crisis Warning and Currency Issuance Volume Forecasting Models." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/89816185703866196974.
Full textAbstract:
博士國立臺灣科技大學
管理研究所
105
To enhance management efficacy and maximize utilities, more effective forecasting methodologies are required in the context of continued economic and technological developments. Due to its computing power, versatility, learning capability and fault tolerance, the neural network has been widely used in finance, electronic engineering and medicine since their inception in 1957. Neural networks are advantageous in that they do not require presumptions typically seen in multivariate analyses and have the ability to handle different data types. Due to the advances in computing technologies and computer networks, the swarm intelligence has become an important technology for problem solving. Algorithms mimicking ants, birds, bees and fruit flies have been developed to seek the optimal solution to a problem. This thesis refers to three studies to illustrate the contribution of swarm intelligence algorithms to the fields of finance and economics. In the first study entitled "A Mutual Fund Investment Method Using Fruit Fly Optimization Algorithm and Neural Network", an investing strategy was constructed in two stages. In the first stage, the data envelopment analysis (DEA), Sharpe ratio and Treynor ratio were used to select mutual fund portfolios. In the second stage, the Fruit Fly Optimization Algorithm, General Regression Neural Networks and traditional regression models were used to predict the closing net asset value (NAV) of a mutual fund based on the closing NAV of the previous day. Several experiments were conducted to compare the prediction accuracies and the accumulated return rates of different investment strategies. The results indicated that the investment portfolio constructed by Sharpe ratios outperformed the other portfolios. Furthermore, the investment prediction model built with the fruit fly optimization was superior to the other models. The second study is on "Constructing ZSCORE-based Financial Crisis Warning Models Using Fruit Fly Optimization Algorithm and General Regression Neural Network". First, the Fruit Fly Optimization Algorithm (FOA) was used to adjust the values of the coefficients of parameters in the ZSCORE model (FOA_ZSCORE model). Then, the difference between the forecasted value and the actual value of the dependent variable was calculated. Afterwards, the Generalized Regression Neural Network model (GRNN model), with the spread parameter optimized by the FOA (FOA_GRNN model), was used to forecast the difference to improve the forecasting accuracy. Various models, including ZSCORE, FOA_ZSCORE, FOA_ZSCORE+GRNN, and FOA_ZSCORE+FOA_GRNN, were trained and tested. The results showed that FOA_ZSCORE+FOA_GRNN model offered the highest prediction accuracy comparing to the others models. The third study is on "Swarm Intelligence and Neural Network in Constructing Prediction Models for Currency Issuance Volume: the US Experience". In this study, the Artificial Bee Colony Algorithm (ABCA) and Particle Swarm Optimization (PSO) were used to optimize the GRNN in constructing a predicting model for the volume of issuance of the United States. The constructed models include ABCA+GRNN, PSO+GRNN, GRNN and Multiple Regression. The experiments showed that the GRNNs optimized by the ABCA and the PSO, respectively, outperformed the non-optimized GRNN and the Multiple Regression model. The above three studies suggest that swarm intelligence algorithms can improve the prediction accuracy of a forecasting model. Managers in different industries can use the information as a reference to improve management efficiency and generate operational warnings. Governments can refer to the predictions of the volume of the currency issuance to promote efficiency in cash operation in their central banks. Finally, investors can utilize the swarm intelligence algorithm to construct investment strategies.
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Oh, Hwa-Seok. "Identifying the role of macroeconomic fundamentals in the 1997 Asian currency crisis an application of the currency crisis model to Thailand, Indonesia, the Philippines, and Korea /." 2000. http://catalog.hathitrust.org/api/volumes/oclc/47796605.html.
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"Trade balance, exchange rates and Asian financial crisis." 1999. http://library.cuhk.edu.hk/record=b5889886.
Full textAbstract:
Lam Man Ling.Thesis (M.Phil.)--Chinese University of Hong Kong, 1999.
Includes bibliographical references (leaves 78-81).
Abstracts in English and Chinese.
ABSTRACT CHINESE --- p.iv
ENGLISH --- p.v
ACKNOWLEGEMENT --- p.vi
LISTS OF TABLES --- p.vii
LISTS OF ILLUSTRATIONS --- p.viii
LISTS OF APPENDICES --- p.xi
CHAPTER
Chapter ONE --- INTRODUCTION --- p.1
Chapter TWO --- LITERATURE REVIEW --- p.4
Chapter 2.1 --- The Arguments for the Existence of the J- Curve --- p.4
Chapter 2.2 --- The Arguments against the Existence of the J-Curve --- p.7
Chapter THREE --- THE STUDY OF J-CURVE EFFECT ON THE TRADE BALANCE --- p.10
Chapter 3.1 --- The Methodology and Model --- p.10
Chapter 3.2 --- Data Description --- p.14
Chapter 3.3 --- Empirical Analysis on VAR Models by Using Level Data --- p.15
Chapter 3.3.1 --- The Combinations of Variables in Twelve Models --- p.15
Chapter 3.3.2 --- Empirical Results Analysis on Both Univariate and VAR Approach --- p.19
Chapter 3.3.3 --- Individual Model Description --- p.22
Chapter 3.4 --- Empirical Analysis on VAR Models by Using Differenced Data --- p.28
Chapter 3.4.1 --- Augmented Dickey-Fuller (ADF) and Zivot-Andrews (ZA) Unit Root Test --- p.28
Chapter 3.4.2 --- The Comparison of Empirical Results on Using the Level and Differenced Data --- p.33
Chapter 3.5 --- The Comparison of the Elasticity at Means of Japan and Singapore by Using the Previous Empirical Results --- p.35
Chapter FOUR --- THE PATTERN OF POST-ASIAN FINANCIAL CRISIS TRADE BALANCE --- p.39
Chapter 4.1 --- Hong Kong --- p.40
Chapter 4.2 --- Indonesia --- p.41
Chapter 4.3 --- Japan --- p.42
Chapter 4.4 --- Malaysia --- p.44
Chapter 4.5 --- The Philippines --- p.45
Chapter 4.6 --- Singapore --- p.46
Chapter 4.7 --- South Korea --- p.48
Chapter 4.8 --- Taiwan --- p.49
Chapter 4.9 --- Thailand --- p.50
Chapter FIVE --- CONCLUSION --- p.52
APPENDICES --- p.53
ILLUSTRATIONS --- p.67
BIBLIOGRAPHY --- p.78
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Pappoe, Naakorkoi. "Statistical problem with measuring monetary policy with application to the current crisis." Thesis, 2010. http://hdl.handle.net/2152/ETD-UT-2010-05-1127.
Full textAbstract:
This report reviews the 2007 financial crisis and the actions of the Federal Reserve. The Full Employment Act of 1946 and the "Humphrey-Hawkins" Act guides the Fed's actions. These two laws outline the long-term goals of the monetary policy framework the Fed uses; however, the framework lacks principles for achieving the mandated long term goals such as reliable, complete data. This report looks at the use of model-based forecasting and gives recommendations for principles which will strengthen the preexisting monetary framework.text