| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 98 === The advantages of establishing a common currency area or common currency basket peg within the regional countries which have similar levels of economic development are lower trade cost, lower probability of suffering currency crisis, lower unusual vibration of exchange rate and better economic growth. Therefore, in recent years Asian countries are persistently implementing the Asia regional integration.
The reasons for the currency crisis are financial over-liberalization, economic bubble, the over-leverage of government debt, the ineffective monetary policy and financial supervision capacity, making short-term capital become hot money. With effective information collection and analysis architecture and suitable macroeconomic economic indicators, we can assess the vulnerability of national economies and establish the early warning models to reduce the likelihood of suffering currency crisis.
In this paper we adopt the Logit model, Probit model, Support Vector Machines (SVM) model and Bayesian networks model to analyze the relationship between the Asian Currency Unit (ACU) and the currency crisis from 1992 to 2009. By so doing, we try to find out the better exchange market pressure (EMP) indicators, early warning system (EWS) models and the key factors.
The empirical results show: firstly, the governments which implement ACU central rate can reduce the probability of currency crisis under all exchange market pressure by an appropriate adjustment of important macroeconomic variables such as foreign reserves and the ratio of government debt to reserves. Secondly, in the model selection, the combination of Logit model and Bayesian networks model gives the best prediction power than any other models. The type I and type II errors for Exchange market pressure index STV(Sachs, J., Tornell, A. and Velasco, A. (1996)) method have the minimum rate and therefore have better early warning capability.
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