An Expectation-Based Model to Identify Currency Crisis

摘要

The change between the exchange rate and the interest rate difference was independent one another in the traditional model for identifying currency crisis. The time series of exchange market press constructed based on this model was autocorrelation. Employing the cover arbitrage model, a new model is built in which the expectation exchange rate instead of the exchange rate and the interest rate difference.The exchange risk press index (RPI) based on the new model thinks of the inter-effect of the exchange rate and the interest rate difference,and its time series is stationary and serially uncorrelated. The currency crisis periods are defined by the foreign exchange market pressure index, and carried on detailed analysis for the crisis circumstance of Thailand currency crisis during 1977-2006, and the periods of currency crisis were defined by the index also have a better performance.