货币升值视角下的我国货币危机预警模型的构建

Abstract

在现有的大部分关于货币危机预警系统的文献中,都将货币危机与货币大幅贬值联系起来,但货币大幅贬值往往发生在货币大幅升值之后。本文尝试在货币升值视角下,对我国货币危机构建一个预警模型,并分别对信号分析法和三元lOgIT模型的预测能力进行实证分析。结果表明,工业企业增加值同比增速、出口额同比增速和企业存款这三个指标对升值视角下的我国货币危机的预测能力较强;信号分析法的预警效果更好,但lOgIT模型在研究经济变量对危机影响的相对重要性上又具有优势,因此,在我国货币危机的预警和防范中,应将这两种方法结合起来使用。

In most of the existing literatures concerning about the warning system of currency crisis,they related currency crisis with currency deep depreciating.But currency deep depreciating often happened after currency deep appreciating.This article tried to construct a warning model for China's currency crisis in the perspective of currency appreciating and has done empirical analysis about the predicting ability of signal analysis and ternary logit model.The result shows that increment speed of value added for industrial enterprise year-to-year,increment speed of export year-to-year and deposits of enterprises have strong ability in predicting chinese currency crisis in the perspective of appreciating;Signal analysis is better than ternary logit model in predicting,while logit model has advantage in studying the relative importance of economic variables influencing crisis.So we need to combine the two methods in the warning and precaution of chinese currency crisis.