Journal of Macroeconomics, 31 4. رستم زاده، مهدی 1390. Focus on European Economic Integration, Issue 1. Exchange rate forecasting, techniques and Applications. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. This paper found that global financial shocks e. The results of this system indicate that the probability of staying in high volatility exchange rate regime, the probability of transition from high to low volatility, the probability of transition from low to high volatility and the probability of staying in low volatility exchange rate regime are 0.
Second generation models of currency crises. The early warnings of banking crises: nteraction of broad liquidity and demand deposits. Exchange rate volatility is important because it is an index of investment uncertainty in each economy. It has also raised the question whether financial interconnectedness-a possible source of systemic risk-can serve as an early warning indicator of crises. بدین منظور با برآورد مدل مارکوف سوئیچینگ گارچ، نوسانات نرخ ارز بازار آزاد مدل سازی شد. The benefit of correctly calling more currency crises needs to be traded off against the cost of issuing more false alarms and of implementing corrective policies prematurely. Two different definitions for currency crises are used to evaluate whether they induce different results in the analysis.
مرزبان، حسین، اکبریان، رضا، و جواهری، بهنام 1384. رساله دکترای علوم اقتصادی دانشگاه مازندران. Working Paper 5789, National Bureau of Economic Research. Could the current crisis have been anticipated by exploiting this relationship? The anatomy of these episodes suggests that crises occur as the economy enters a recession, following a prolonged boom in economic activity that was fueled by credit, capital inflows, and accompanied by an overvalued currency. Description: 1 online resource 26 pages : color illustrations. تحقیقات اقتصادی، تابستان 1384، 69، 181-216. The E-mail message field is required.
Rational and self-fulfilling balance of payments crises. Greater prudence allows the policymaker to correctly call more crisis episodes, but this comes at the cost of issuing more false alarms. We also consider the complications that arise in calibrating the indicators as a result of cross-border exposures, so prominent in the current episode. Journal of International Economics, 87 2. Predicting currency crises: The indicators approach and an alternative. Scandinavian Journal of Economics, 98. Leading indicators of currency crises for emerging countries.
Logit Fixed Effects Regression: Coefficient Estimates; Table 2. On the relation between the expected value and the volatility of the nominal excess return on stocks. مجله علمی پژوهشی شریف، 43، 99-104. Contagious currency crises: First tests. Journal of International Economics, 41. Journal of Finance, 48, 1779— 1801. It has also raised the question whether financial interconnectedness -- a possible source of systemic risk -- can serve as an early warning indicator of crises.
In the wake of the Mexican and Asian currency turmoil, the subject of financial crises have come to the forefront of academic and policy discussions. Deficits in trade balance, international reserves, and overvaluation of the dong are also good indicators. Quarterly Journal of Economics, 116 2. In contrast, few consistent correlations link regime transitions like flotations or fixings to macroeconomic or political variables. The twin crises: The causes of banking and balance of payments problems. Currency crashes in emerging markets: An empirical treatment.
به کارگیری مدل میانگین متحرک خودرگرسیون انباشته فازی به منظور پیش بینی نرخ ارز. با برآورد این مدل، ماتریس احتمالات انتقال دو وضعیت پرنوسان و کم نوسان ارزی محاسبه می شود. Our results indicate that increases in a country's own connectedness and decreases in its neighbors' connectedness are associated with a higher probability of banking crises after controlling for macroeconomic fundamentals. International macroeconomics and finance, Oxford: Blackwell Publishers, 71. Federal Reserve Bank of St.
Principles of forecasting: A handbook for researchers and practitioners Vol. Comparing parametric and non-parametric early warning systems for currency crises in emerging market economies. A model of balance of payments crises. Journal of Asian Economics, 15. On determinants of currency crises: The role of model uncertainty. The views expressed in the paper are those of the author and do not necessarily represent the views of the Banking Academy of Vietnam as well as the State Bank of Vietnam. Our findings suggest that financial interconnectedness has early-warning potential, especially for the 2007-2010 wave of systemic banking crises.
Journal of Money, Credit and Banking, 11. هدف از این مقاله معرفی یک الگوی هشدار پیش از وقوع نوسانات شدید در بازار ارز کشور است. Our findings suggest that financial interconnectedness has early warning potential, especially for the 2007-2010 wave of systemic banking crises. Comparing Parametric and Non-parametric Early Warning Systems for Currency Crises in Emerging Market Economies Fabio Comelli , 2014, vol. خاشعی، مهدی، و بیجاری، مهدی 1386. Assessing fiscal sustainability: A cross-country comparison. Can leading indicators assess country vulnerability? Predicting emerging market currency crashes.