货币危机早期预警系统  

Research on Currency Crisis Early Warning Systems

作　　者：冯芸[1] 吴冲锋[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200052

出　　处：《系统工程理论方法应用》2002年第1期8-11,共4页Systems Engineering Theory·Methodology·Applications

基　　金：国家自然科学基金项目 ( 79970 0 2 7);国家杰出青年科学基金 ( 70 0 2 5 30 3) ;上海市科技启明星跟踪项目( 99QMH14 0 7);教育部跨世纪优秀人才基金

摘　　要：提出基于综合指标的多时标预警流程 ,对预警流程进行逐层细化和扩充 ,将整个流程划分为长期、中期和短期预警三个层次 ,根据形势变化引入了多时标和扩充观测指标集的方法 ,尽可能提高系统洞察市场变化的能力 ,以适应不同波动状态下的监测与预警需求。在预警指标的选取上从三个层次构造预警指标体系 ,并将新的预警机制应用于 1 997年亚洲货币危机的实证研究。结果表明 。This paper points out that traditional early warning procedures are oversimple and differences in average lead time of leading indicators are neglected. Aiming at those problems, a multi-time-scale early warning system is designed, in which the early warning procedure is divided into three levels, long-term, mid-term and short-term level, so that to meet different early warning demands in different situations. Accordingly, the leading indicators are divided into three levels too. The multi-scale early warning system is applied to the Philippine Currency crisis of 1997. Conclusions show that the system has better early warning capability.

关 键 词：货币危机 预警系统 先行指标 规测指标集 

分 类 号：F820.5[经济管理—财政学]