The Application of Proportional Hazard Model in Warning System of Financial Crises

• Main Authors: Huey-Ling Liou, 劉惠鈴
• Other Authors: Tsoyu-Calvin Hsu
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/69253768773614094219

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 91 === In view of the financial crises which cause serious damage to economy and society, it is necessary to build a warning model to predict the potential financial crises in advance. This paper employs empirical data from in 31 countries from America, Asia, Europe, Middle East and Africa in 1990-1997. We employ Cox and Oakes’s (1984) proportional hazard model (PHM) to construct the warning model with one or two years before potential financial crises. Empirical results of this study show that the nominal rate change and consumer prices could be used as leading indicators of crises in model 1. Model 2 suggests that the change of real exchange rate, reserves and consumer prices could be used as leading indicators of crises. The accurate rate of model 1 and model 2 are 88% and 82%, respectively, showing that the PHM model has a moderate to high prediction capability.