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assessing financial vulnerability an early warning system for emerging markets phần 4

Trong nền kinh tế Châu Á mới nổi, một số tác giả đã lập luận đảm bảo tiềm ẩn và rõ ràng trách nhiệm của các tổ chức tài chính quan trọng trong thúc đẩy dòng vốn ròng tư nhân lớn vào khu vực vào những năm 1990. Những người khác đã nhấn mạnh rằng các | Institute for International Economics http www.iie.com w Figure 2.1 Mexico real exchange rate 1970-96 average of the sample 100 We can also define the noise-to-signal ratio N S as N S B B D A A C 2.5 It may be the case that an indicator has relatively few false alarms in its track record. This could be the result of the indicator issuing signals relatively rarely. In this case there is also the danger that the indicator misses the crisis altogether it does not signal and there is a crisis . In this case we also wish to calculate for each indicator the proportion of crises accurately called PC C A C . 2.6 In the next chapter we employ these concepts to provide evidence on the relative merits of a broad range of indicators in anticipating crises. 32 ASSESSING FINANCIAL VULNERABILITY Institute for International Economics http www.iie.com 3 Empirical Results The signals approach was applied to the indicators around the dates of the 29 banking and the 87 currency crises. In what follows we first compare our results for the 15 monthly indicators to those presented in Kaminsky and Reinhart 1999 and reproduced in table 3.1. In addition to presenting our in-sample findings this exercise allows us to gauge robustness of the signals approach since the results reported here are derived from a larger sample of countries 25 versus 20. 1 Moreover in this chapter we report results for many of the indicators that have been stressed in the financial press surrounding the coverage of the Asian crisis. The Monthly Indicators Robustness Check Tables 3.1 and 3.2 summarize the in-sample performance of the monthly indicators along the lines described in chapter 2 and presented in Kaminsky Lizondo and Reinhart 1998 and Kaminsky 1998 . Table 3.1 covers banking crises and table 3.2 presents the results for currency crises. The variables are shown in descending order based on their marginal predictive power. For banking crises for instance the real exchange rate has the greatest predictive .