Warning of Financial Crises Based on Proportional Hazard Model
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摘要:
针对金融危机预警,FR、STV、KLR和DCSD 4种模型对数据有特殊要求,造成应用上的困难,预测能力不足的问题.在Cox and Oakes基于存活分析提出的等比例危险模型(PHM)的基础上,利用31个样本国家的年度数据资料,采用13个相关预警变量,构建金融危机前一年的PHM预警模型,并进行实证分析,提出一种的金融危机预警模型.通过对预测期间17个测试国进行的模型预警效果检验,认为该模型预警能力较佳.
Abstract:
Four main warning models including FR, STV, KLR, and DCSD are used to study and construct the warning system of financial crises, and these models having some particular require to data makes it difficult to apply and insufficiency of forecasting ability. Using proportional hazard model brought forward by Cox and Oakes, the paper constructs an early-warning model of financial crises, and demonstrates 13 variables one -year before financial crises. The verifying of this model deems it good to warn the financial crises.