新兴经济体债务危机预警指标选择及贡献度分析——基于面板Logit及BP_Adaboost模型的比较  

Analysis of the Early Warning Index Selection and Contribution of Emerging Economies' Debt Crisis Based on Panel Logit and BP_Adaboost Model

作　　者：郑国忠[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005

出　　处：《国际经贸探索》2014年第6期4-14,共11页International Economics and Trade Research

基　　金：国家自然科学基金项目(71371161);国家青年科学基金资助项目(71101121)

摘　　要：基于面板Logit及BP_Adaboost模型分析新兴经济体债务危机预警指标体系构建及不同指标的贡献度,实证表明:单指标危机预警效果较差;相对于经典的KLR模型的指标体系而言,包含国内、中间及外在冲击三种因素的DIE指标体系预警效果更佳;非参数法虽有助于提高样本内准确率,但难以明晰变量关系及政策分析运用;危机关于国内因素及中间因素反应更大,做好本国经济稳定健康发展是首要,外部冲击有短期传染性,但长期非主导因素。The paper makes an analysis of the construction of the early warning index system for the emerging economies＇ debt crisis and its contribution of different index based on panel Logit and BP_Adaboost model. The empirical results show that： the single index crisis warning effect is poor; relative to the classic KLR index system, the index system including domestic, intermediate and external-shock factors （DIE） has a better warning effect; nonparametric methods help to improve the sample accuracy, but it＇s hard to identify the relationship between variables and use them in policy analysis. There are more crisis responses to the domestic factors and intermediate factors, so to make the development of domestic economy stable and healthy is the primary task, and the external- shock factors have a short-term contagion effect,.but they are non-dominant in the long term.

关 键 词：债务危机 面板Logit BP_Adaboost模型 预警 

分 类 号：F831.59[经济管理—金融学]