The Nonlinear Dynamics of Foreign Reserves and Currency Crises
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香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

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摘要A new early-warning system for international currency crises is developed in this paper. The existing crisis indicators in the literature are essentially static. We examine the relationship between the dynamics of foreign reserves and currency crises. It is shown that rapid reserve depletion is a prominent feature before the collapse of the exchange rate system. The results from our threshold autoregressive model suggest that when the Reserves-to-Short-Term External Debt falls by more than http://aims.cuhk.edu.hk/converis/portal/Publication/29.1%, or if the Reserves-to-Mhttp://aims.cuhk.edu.hk/converis/portal/Publication/2 ratio drops by more than http://aims.cuhk.edu.hk/converis/portal/Publication/24.3% within six months, the likelihood of a crisis increases. Our model provides clear warning signals for policy makers to take actions before the reserves have reached a critical value that heralds the arrival of a full-blown crisis.

着者Chong TTL, He Q, Hinich MJ
期刊名称STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/2008
月份1
日期1
卷号1http://aims.cuhk.edu.hk/converis/portal/Publication/2
期次4
出版社BERKELEY ELECTRONIC PRESS
国际标準期刊号1081-18http://aims.cuhk.edu.hk/converis/portal/Publication/26
语言英式英语

Web of Science 学科类别Business & Economics; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS