Discussing Exchange Rate Risk of Different Ratings and Geographic Areas with Currency Crisis Warning System
Date Issued
2009
Date
2009
Author(s)
Yang, Zhi-Wei
Abstract
In this thesis, I try to find the substantial macro-factors which result in currency crisis, and to build a currency crisis warning model based in these macro-factors. Furthermore, I dividend all of the sample countries into several groups, according to geographic zones and ratings, and discuss whether the influential macro-factors would be different and the relationship. Therefore, all of the data are downloaded from IFS database, IMF, and WDI, World Bank. Meanwhile, I select 59 countries as samples by referring to local and international theses. The period is from 1980 to 2007. The frequency of data is yearly.n the empirical results, I discover that the GDP Growth Rate is substantial and the same as the hypothesis merely in the sample of the countries with rating above BBB+. What is more, the Consumer Price Index Growth Rate has decent capacity of explaining in all kinds of the samples. Among them, the sample of countries above BBB+ shows the best capability of explaining. Also, the Consumption to GDP is an unsubstantial macro-factor whichever I adopt. However, the Difference between Saving to GDP and Investment to GDP holds good explaining abilities whichever I use, and the sample of America shows the most powerful one. In terms of Incremental Capital Output Ratio, the empirical result is opposite to the hypothesis. Next, in view of the Loan for Private Sector, this empirical research discovers the sample of the countries below BBB appears an adverse effect, compared with the hypothesis. On the other hand, Current Account to GDP presents the same empirical outcome as the hypothesis in all samples. Moreover, in terms of Anti-Flow Foreign Capital, the hypothesis is tenable only in the countries with unstable financial systems. What is more, the Export to GDP appears reverse conclusions. Furthermore, the influence of Financial Surplus or Deficit is identical. n view of the Pseudo R-square, this research will detect better ones if all of the countries are divided into several small groups. In terms of the model, the outcomes of the Probit models are more substantial than the ones of the Logit models slightly.
Subjects
Currency Crisis
Exchange Rate Risk
Waning System
Ratings
Macroeconomic Factors
Type
thesis
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