An Expectation-Based Model to Identify Currency Crisis

摘要：

The change between the exchange rate and the interest rate difference was independent one another in the traditional model for identifying currency crisis. The time series of exchange market press constructed based on this model was autocorrelation. Employing the cover arbitrage model, a new model is built in which the expectation exchange rate instead of the exchange rate and the interest rate difference.The exchange risk press index (RPI) based on the new model thinks of the inter-effect of the exchange rate and the interest rate difference,and its time series is stationary and serially uncorrelated. The currency crisis periods are defined by the foreign exchange market pressure index, and carried on detailed analysis for the crisis circumstance of Thailand currency crisis during 1977-2006, and the periods of currency crisis were defined by the index also have a better performance.

关键词： Autocorrelation Currency crisis Expectation exchange rate Speculative attack.

作者: Yin Yu Baoan Yang Shuqiong Fang

作者单位: PhD. Candidate, School of Management DongHua University ShangHai,China School of Management DongHua University ShangHai ,China

会议类型: 国际会议

会议名称: 2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)

会议地点: 上海

会议语种:英文

页码: 2733-2740

在线出版日期: 2007-10-19（万方平台首次上网日期，不代表论文的发表时间）