早期发现货币危机的宏观经济指标脆弱性分析——以1991-2019年印尼经济为例

IF 1.3 Q3 ECONOMICS

Journal of International Commerce Economics and Policy Pub Date : 2021-02-22 DOI:10.1142/S179399332150006X

H. Sutrisno, D. Sari, R. Handoyo

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引用次数: 1

摘要

本研究的目的是通过探讨宏观经济变量的脆弱性来检测印尼的货币危机。利用外汇市场压力指数对阈值进行建模，确定危机期。使用信号分析方法确定早期指标;因此，每个宏观经济变量的脆弱性水平是已知的，并用于确定领先指标。结果表明，信号分析方法和Herrera-Garcia方法是最好的检测模型。此外，结论是信号分析方法在检测危机方面比埃雷拉-加西亚方法更好。

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Vulnerability Analysis of Macroeconomic Indicators for Early Detection of Currency Crisis: Case Study of Indonesian Economy on 1991–2019

The purpose of this study is to detect the currency crisis in Indonesia by exploring the vulnerability of macroeconomic variables. The Exchange Market Pressure Index was used to determine the crisis period by modeling the threshold value. Early indicators were determined using the signal analysis approach; therefore, the vulnerability level of each macroeconomic variable is known and used to determine the leading indicators. The result showed that the Signal Analysis and Herrera–Garcia approaches are the best detection models. Furthermore, it was concluded that the Signal Analysis approach was better in detecting crises compared to the Herrera–Garcia approach.

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来源期刊

Journal of International Commerce Economics and Policy ECONOMICS-

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： Journal of International Commerce, Economics and Policy (JICEP) is a peer-reviewed journal that seeks to publish high-quality research papers that explore important dimensions of the global economic system (including trade, finance, investment and labor flows). JICEP is particularly interested in potentially influential research that is analytical or empirical but with heavy emphasis on international dimensions of economics, business and related public policy. Papers must aim to be thought-provoking and combine rigor with readability so as to be of interest to both researchers as well as policymakers. JICEP is not region-specific and especially welcomes research exploring the growing economic interdependence between countries and regions.