文章基本信息

标题：An evaluation of leading indicators of currency crises
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作者：Chi-Wei Su ; Hsu-Ling Chang ; Meng-Nan Zhu 等
期刊名称：African Journal of Business Management
印刷版ISSN：1993-8233
出版年度：2010
卷号：4
期号：15
页码：3321-3331
语种：English
出版社：Academic Journals
摘要：This study tries to construct leading indicators for currency crisis using probit model, logit model and binary quantile regression. 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 better than the probit model and binary regression quantiles which is certain, and the Financial derivatives and Direct investment abroad are useful for leading indicators of currency crises.
关键词：Currency crises;binary quantile regression;probit model;logit model