臺灣博碩士論文加值系統

本研究使用二元分量迴歸模型與Probit模型和Logit模型探討當國家的匯率劇幅度變動時所引發的匯率危機，以三種方法分別加以比較，並找出哪些變數能夠反應出匯率危機之發生。實證結果顯示，通貨膨脹率、股價指數、進口比例、出口/GDP、海外直接投資、GDP成長率、貿易條件、衍生性金融商品、國內信用/GDP對金融危機有顯著影響，Logit模型其預警能力在樣本外資料集確實優於Probit模型與二元分量模型所做的分析。另外，發現衍生性金融商品和海外直接投資這兩個變數也呈現高度顯著，可間接解釋此次金融海嘯的發生與此兩變數有關。

This research is trying to construct leading indicators for currency crisis by probit model, logit model and binary regression quantile. The empirical results show that the Inflation rate, Stock price index, Import growth rate, Export/GDP, Direct investment abroad, GDP growth rate, Terms of trade changes, Financial derivatives and Domestic credit/GDP have significant effects on the occurrence of currency crisis. The Logit model is greater than the Probit model and the Binary Regression Quantiles with this certain. In this paper, the Financial derivatives and the Direct investment abroad are useful for leading indicators of currency crises in recent years. Indirectness can be found out global financial tsunami is in close relation with these two parameters.

Contents
Abstract..................................................Ⅰ
Contents..................................................Ⅲ
List of Tables............................................Ⅳ
List of Figures...........................................Ⅴ
Chapter 1 Introduction....................................1
Chapter 2 Data and Methodology............................6
2.1 Data..................................................6
2.2 The Definition of a crisis............................8
2.3 Probit Model.........................................13
2.4 Logit Model..........................................13
2.5 Binary Regression Quantiles Model....................14
2.6 Relative Operation Characteristic....................17
Chapter 3 Empirical Results..............................19
3.1 Empirical Results of Probit Model....................19
3.2 Empirical Results of Logit ..........................20
3.3 Binary Regression Quantiles..........................21
3.4 Performance of Respective Indicators.................24
Chapter 4 Conclusions....................................26
References...............................................28


List of Tables
Table 1 Expected Sign of Leading Indicators...............7
Table 2 Currency crisis of emerging country..............10
Table 3 Cross classifies table...........................17
Table 4 Empirical result of Probit Model.................20
Table 5 Empirical result of Logit Model..................21
Table 6 Binary Regression Quantiles......................23


List of Figures
Figure 1 Identification of Currency Crises: Exchange Rate Pressure Index and Crisis Threshold......................11
Figure 2 ROC curve.......................................18
Figure 3 Without the Financial derivatives and Direct investment abroad variables..............................24
Figure 4 Input the Financial derivatives and Direct investment abroad variables..............................25

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