| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 92 === This paper investigates the possibility of an early warning system against currency crises. It starts by using conventional definition for currency crises and built-up an early warning system that monitors economic fundamentals. Empirical analysis using a dataset of 20 developing countries over the period of 1970-2000 is made to test this system. Rolling window schemes are conducted to simulate this time-series crises predicting event, and a Kuipers scores valuation method is used to evaluate the system’s forecasting ability. Results suggest that the proposed early warning system has achieved some measure of success, however, not necessary all countries are to adopt this early warning system without any prior analysis. Cost function for decision makers are also studied, and policymakers who is in charge of warning issuing seem to act best to warn against currency disturbances rather than just currency crises.
|
|---|
