使用SWARCH模型检测印尼金融危机的真实汇率指标(2.3)

S. Sugiyanto, E. Zukhronah, Dewi Retnosari
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引用次数: 0

摘要

1997年年中袭击亚洲的金融危机始于泰国的金融危机,然后蔓延到印度尼西亚。印尼金融危机的影响非常严重,因此需要建立危机检测系统。金融危机检测系统可以通过对实际汇率等宏观经济指标的简单监测来实现。过高的实际汇率有可能引发危机。结果表明,1990年1月至2013年6月的实际汇率存在异方差效应,存在结构性变化,可以采用SWARCH模型(2,3),ARMA(1.0)为条件平均模型,ARCH(3)为模型条件方差。1998年2月的SWARCH(2,3)模型的推断概率值为1,1998年7月的概率值为0.9968 / 0.5,表明该时期处于危机的高波动状态。基于实际汇率指标的SWARCH模型(2.3)能够捕捉到1998年2月和7月的高度波动情况,作为1997年亚洲金融危机的影响。关键词:Deteksi, krisis keuangan, nilai tukar riil, SWARCH
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Deteksi Krisis Keuangan di Indonesia Berdasarkan Indikator Nilai Tukar Riil Menggunakan Model SWARCH (2,3)
The financial crisis that hit Asia in mid-1997 began with the financial crisis in Thailand which then spread to Indonesia. The impact of the financial crisis in Indonesia is so severe that a crisis detection system is needed. The financial crisis detection system can be done by simple monitoring of macroeconomic indicators such as real exchange rate. Excessive real exchange rate is predicted to have a great chance of crisis.The result shows that the real exchange rate from January 1990 to June 2013 has heteroscedasticity effect and there are structural changes so it can be modeled using SWARCH model (2,3) with ARMA (1.0) as conditional average model and ARCH (3) as model conditional variance. The inferred probabilities value of the SWARCH (2,3) model in February 1998 of 1 and July 1998 of 0.9968 over 0.5 indicates that the period is in a high volatile condition indicating a crisis. The SWARCH model (2.3) based on the real exchange rate indicator was able to capture the high volatile conditions in February 1998 and July 1998 as the impact of the 1997 Asian financial crisis.Keywords : Deteksi, krisis keuangan, nilai tukar riil, SWARCH
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