Markov Chains in Predictive Models of Currency Crises: With Applications to Southeast Asia

應用馬可夫轉換模型來預測金融危機：亞洲金融危機的實證研究

Roberto S. Mariano；Abdul G. Abiad；Bulent N. Gultekin

馬可夫轉換模型 ； 亞洲金融危機 ； 匯率的動態關係 ； 危機預警 ； 金融危機的預測 ； 信號理論 ； Markov regime switching models ； currency crises in Southeast Asia ； Asian financial crisis ； exchange rate dynamics ； currency crisis prediction ； early warning systems ； signaling approach

經濟論文叢刊

31卷4期（2003 / 12 / 01）

401 - 437

英文

有鑑於東南亞貨幣危機的爆發，本文提出一個新的預警模型與月頻率的危機預測指標。我們應用可變轉換機率的馬可夫轉換模型來分析印尼、馬來西亞、菲律賓與泰國等國貨幣對美元之匯率，以避免現有若干方法上的缺失。更詳細的說，本文的模型為匯率月變動率的單變量兩狀態馬可夫轉換模型，轉換機率受到實質有效匯率偏離長期趨勢的幅度，貨幣供給相對於國際準備比率的月變動率及實質國內信用變動率的影響。實證結果顯示本模型大致能在貨幣危機發生前發出警訊，但對每一個國家的精確度則不一樣。例如，本模型成功的預測到泰國1981、1984及1997年的貨幣危機及馬來西亞1997年的貨幣危機，但對印尼與菲律賓1997年的貨幣危機所發出的預警信號則不是很強。

This paper utilizes Markov regime switching models of exchange rate movements to construct predictive models of currency crises in Southeast Asia. The empirical results are based on estimated univariate two-state Markov switching models of monthly percentage changes in nominal exchange rates. Transition probabilities in the Markov chains are affected by real effective exchange rates, money supply relative to international reserves, and real domestic credit. The estimated models for Indonesia, Malaysia, the Philippines, and Thailand prove moderately successful at sending warning signals but the results are not uniform across countries. For some depreciation episodes, like those in 1981, 1984, and 1997 for Thailand and in 1997 for Malaysia, the model provides strong signals, in some cases, several months in advance. But for other episodes, such as in1997 for Indonesia and the Philippines, the model provides at best only weak warning signals.

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