Early warning systems for currency and systemic banking crises in Vietnam

IF 2.2 3区经济学 Q2 ECONOMICS

Post-Communist Economies Pub Date : 2021-08-20 DOI:10.1080/14631377.2021.1965362

D. Ha, Phuong Nguyen, D. K. Nguyen, A. Sensoy

引用次数: 0

Abstract

ABSTRACT This paper introduces a new early warning system (EWS) for currency and systemic banking crises in emerging and frontier emerging markets, which combines the methods of Signal, Logit/Probit, BMA, and 2SLS. We apply this framework to the case of Vietnam, a fast-growing and leading frontier emerging market. Using data covering the period from January 2002 to December 2016, our EWS suggests a low crisis probability for the 2017–2018 period. The empirical results also reveal the importance of eight key indicators, namely securities index, real effective exchange rate, exports, M2/reserves, bank deposits, reserves, M2 multiplier and the impact of the 2008–2009 global financial crisis in the success of the new EWS. Our results support the earlier findings on i) the impact of dollarisation on currency crises and ii) the impact of the global financial crisis on both currency and systemic banking crises in Vietnam.

查看原文本刊更多论文

越南货币和系统性银行危机预警系统

本文结合Signal、Logit/Probit、BMA和2SLS等方法，提出了新兴市场和前沿新兴市场货币和系统性银行危机预警系统(EWS)。我们将这一框架应用于越南这个快速增长的领先前沿新兴市场。根据2002年1月至2016年12月的数据，我们的EWS显示，2017-2018年期间发生危机的可能性较低。实证结果还揭示了证券指数、实际有效汇率、出口、M2/外汇储备、银行存款、外汇储备、M2乘数以及2008-2009年全球金融危机对新经济体系成功的影响等8个关键指标的重要性。我们的研究结果支持了先前关于1)美元化对货币危机的影响和2)全球金融危机对越南货币和系统性银行危机的影响的研究结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Post-Communist Economies ECONOMICS-

CiteScore

4.90

自引率

18.20%

发文量

期刊介绍： Post-Communist Economies publishes key research and policy articles in the analysis of post-communist economies. The basic transformation in the past two decades through stabilisation, liberalisation and privatisation has been completed in virtually all of the former communist countries, but despite the dramatic changes that have taken place, the post-communist economies still form a clearly identifiable group, distinguished by the impact of the years of communist rule. Post-communist economies still present distinctive problems that make them a particular focus of research.