Early Warning System of Asset Price - Does Capital Inflow Really Matter?
Date Issued
2015
Date
2015
Author(s)
Yang, Han
Abstract
This study mainly uses the asset price crisis warning system to do the probit regression empirical analysis. The model includes the variables such as current account, capital account, domestic claims on private sector, domestic consumption, domestic investment, effective exchange rate, long-term interest rate and CPI to the warning model. The capital flows shows the international capital flow situation. Different capital flows will affect the development of countries and often have deep relations with the asset price boom or bust. So it is highly concerned in this paper. The key to successfully predict the event is properly select the factor in the model. In this paper we divide the capital inflow variables into 3 different types to do the warning system model analysis: total capital account, capital account asset/liability and capital account investment item. The result shows that domestic claims on private sector, domestic investment, CPI and foreign direct investment (FDI) are highly relationship with asset price boom or bust. Current account can’t properly reflect the asset price boom or bust. Capital account need to breakdown by investment to meet better efficiently prediction.
Subjects
Asset Price
Warning System
Capital Inflow
Probit
SDGs
Type
thesis
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