走向新型的財務預警系統【外文翻譯】

1、本科畢業(yè)論文外文翻譯外文文獻譯文標題：走向新型的財務預警系統資料來源:european central bankworking paper seriesmarcel fratzscher作者： matthieu bussiere摘要：木文開發(fā)一個新的預警系統（ews）,他在一個多項式轉化模型的基 礎上預測金融危機。結果表明，早期預警系統都是建立在二項式離散模型的基 礎上，也就是我們所說的危機后的偏見。這種偏見在經濟寧靜的時期出現時， 經濟很大程度上是健全和可持續(xù)的，但當出現危機或者危機后的時期，經濟出 現變量時，通過調整就可以達到一個更可持續(xù)的水平，者可以讓經濟保持到危 機發(fā)生前并與之沒有區(qū)別

2、。我們表明，應用多項對分數模型，它可以允許兩個 或者兩個以上國家之間的對應經濟危機的區(qū)別，這是解決這一問題的有效途徑, 并對預測金融危機的能力構成了顯著改善。實證結果顯示，從1993年至目前出 現32個開放的新興市場，該模型得到應用并正確的預測了在新興市場的大部分 危機。此外，我們推導出關于早期預警系統模型的優(yōu)化設計，在基于他們的對 風險預警程度意料之外的基礎上得出金融危機預警的結果，讓決策者作出最佳 的選擇，關鍵字：財務預警系統；二項式離散信賴模型；貨幣危機早期預警系統； 危機預測非技術性總結：在過去的十年，在新興市場經濟體系出現大量金融危機（emes）時，經 常會對經濟，社會和政治后果產生

3、毀滅性的打擊，。這些金融危機，在許多情況 下并不局限于個別經濟，也傳染性的蔓延到其他市場。因此，國際金融機構開 發(fā)預警系統（ews）模型，目的是確定并預防新興市場經濟的弱點和漏洞，并 最終預測這一類事件。木文的目的是提出一種新的預警系統模型，在現有的財 務預警經濟模型經行改善。首先，開發(fā)不同的實證方法，就是我們所說的對危 機后的偏見糾正。如果出現這種偏差，模型無法區(qū)分寧靜的時期的經濟模式。 當在危機后或者是危機后恢復的時期，經濟基木面在很大程度上是健全的和可 持續(xù)的。但當經濟發(fā)牛變量時，通過調整去達到一個更加可持續(xù)的水平或更穩(wěn) 定的增長路徑。我們表明，這種區(qū)別，使用三個制度（一個寧靜的政權危機

4、前 的制度，一個支柱性經濟出現危機的制度和一個危機后經濟出現恢復制度）和 一個多項式對分數模型構成一個預警系統模型，使對財務危機的預測能力大幅 改善。介紹：引言在過去的十年看到大量的新興市場經濟體（emes）出現金融和經濟 的危機吋，他對社會和政治造成的后果往往是毀滅性的。這些金融危機，在許 多情況下并不局限于個別經濟，也會傳染性的蔓延到其他市場。特別是1994 至1995年度的拉美危機和1997-98年的亞洲金融危機影響了廣泛的國家集團， 并作為一個整體對國際金融體系的系統性產生了很大的影響。因此，國際組織 和私營部門機構已經開始開發(fā)早期預警系統（ews）模型，該模型的預測主要 以個別國家何

5、時可能會受到金融危機影響的目的經行研究。國際貨幣基金組織 已率先投入emes開發(fā)并在早期預警系統模型的經行了重犬努力，卡明斯基， lizondo和reinhart （1998）和berg和pattillo （1999）都著有對其極其具有影 響力的論文。但也有許多屮央銀行，如美國聯邦儲備委員會（kamin公司，迅 達和薩穆埃爾，kamin和巴布森學院）和德意志銀行（schmitz）以及學術界 和各種私營部門機構，近年來也致力去發(fā)展風險預警模型。預警系統模型可以 有重大價值的決策者，使他們能夠發(fā)現潛在的經濟弱點和漏洞，并可能采取先 發(fā)制人的措施，以減少遇到危機的風險。然而，這些模型已被證明只是在低

6、調 的研究以及在預測危機中執(zhí)行。本文的目的是開發(fā)一種新的預警系統模型顯著 三種方式，提高現有風險預警模型。首先，也是最重要的是，本文認為，現有 的預警系統模型的一個主要弱點是，就是我們所說的危機后的偏見。這種偏見 意味著這些模型無法區(qū)分寧靜的時期。經濟基本面在很大程度上是健全和可持 續(xù)的，就是一個寧靜的經濟制度和所謂的支柱型產業(yè)出現危機的時期和危機后 恢復的吋期。當經濟發(fā)生變量吋，通過一個調整過程可以達到一個更可持續(xù)的 水平或增長路線。我們表明可以使用多項對分數模型對三個制度經行區(qū)別（一 個寧靜的政權危機前的制度，一個支柱性產業(yè)出現危機的制度和危機解決后恢 復的制度）構成預警系統模型的預測能力

7、的大幅改善。外文文獻原文title:towards a new early warning system offinancial crisesmaterial source : european central bankworking paper series author: matthieu bussiere marcel fratzscherabstractthis paper develops a new early warning system (ews) model for predicting financial crises, basedon a multinomial logi

8、t model. it is shown that ews approaches based on binomial discrete-dependentvariable models can be subject to what we call a post-crisis bias. this bias arises when no distinction is made between tranquil periods, when economic fundamentals are largely sound and sustainable, and crisis/post-crisis

9、periods, when economic variables go through an adjustment process before reaching a more sustainable level or growth path. we show that applying a multinomial logit model, which allows distinguishing between more than two states, is a valid way of solving this problem and constitutes a substantial i

10、mprovement in the ability to forecast financial crises. the empirical results reveal that, for a set of 32 open emerging markets from 1993 till the present, the model would have correctly predicted a large majority of crises in emerging markets. moreover, we derive general results about the optimal

11、design of ews models, which allows policy-makers to make an optimal choice based on their degree of risk-aversion against unanticipated financial crises.keywords: currency crises; early warning system; crisis prediction.non-technical summarythe last decade saw a large number of financial crises in e

12、merging marketeconomies (emes) with oftendevastating economic, social and political consequences. these financial crises were in many cases not confined to individual economies but spread contagiously to other markets as well. as a result, international financial institutions have developed early wa

13、rning system (ews) models, with the aim of identifying economic weaknesses and vulnerabilities among emerging markets and ultimately anticipating such events.the aim of this paper is to present a new ews model that significantly improves upon existing models. first, the paper develops a different em

14、pirical methodology that corrects for what we call a post-crisis bias. this bias arises if models fail to distinguish between tranquil periods, when economic fundamentals are largely sound and sustainable, and postcrisis/recovery periods, when economic variables go through an adjustment process befo

15、re reaching a more sustainable level or growth path. we show that making this distinction by using a multinomial logit model with three regimes (a tranquil regime, a pre-crisis regime, and a post-crisis/recovery regime) constitutes a substantial improvement in the forecasting ability of ews models.i

16、ntroductionthe last decade saw a large number of financial crises in emerging market economies (emes) with often devastating economic, social and political consequences. these financial crises were in many cases not confined to individual economies but spread contagiously to other markets as well. i

17、n particular the latin american crisis of 1994-95 and the asian crisis of 1997-98 affected a wide group of countries and had systemic repercussions for the international financial system as a whole.as a result, international organizations and also private sector institutions have begun to develop ea

18、rly warning system (ews) models with the aim of anticipating whether and when individual countries may be affected by a financial crisis. the imf has taken a lead in putting significant effort into developing ews models for emes, resulting in influential papers by kaminsky, lizondo and reinhart (199

19、8) and by berg and pattillo (1999b). but also many central banks, such as the us federal reserve (karnin, schindler and samuel, 2001, karnin and babson, 1999) and the bundesbank (schnatz, 1998, 1999), academics and various private sector institutions have developed models in recent years.ews models

20、can have substantial value to policy-makers by allowing them to detect underlying economic weaknesses and vulnerabilities, and possibly taking pre-emptive steps to reduce the risks of experiencing a crisis. the central concern is, however, that these models have been shown to perform only modestly well in predicting crises (berg and pattillo, 1999a).the aim of this paper is to develop a new ews model that significantly improves upon existing models in three ways. f