Early Warning System of Currency Crisis Based on Exchange Market Pressure: The Case of Vietnam

2015 ◽  
Author(s):  
Pham Thi Hoang Anh
Keyword(s):  
Early Warning ◽  
Early Warning System ◽  
Currency Crisis ◽  
Warning System ◽  
Exchange Market ◽  
Exchange Market Pressure ◽  
Market Pressure

scholarly journals Measuring the accuracy of currency crisis prediction with combined classifiers in designing early warning system

2014 ◽  
Vol 101 (1-3) ◽  
pp. 85-103 ◽  
Author(s):  
Nor Azuana Ramli ◽  
Mohd Tahir Ismail ◽  
Hooy Chee Wooi
Keyword(s):  
Early Warning ◽  
Early Warning System ◽  
Currency Crisis ◽  
Warning System

scholarly journals FUNDAMENTAL EKONOMI, CONTAGION EFFECT DAN KRISIS ASIA

2003 ◽  
Vol 1 (2) ◽  
pp. 1-27
Author(s):  
Endy Dwi Tjahjono
Keyword(s):  
Early Warning ◽  
Early Warning System ◽  
Currency Crisis ◽  
Warning System ◽  
Contagion Effect ◽  
Financial Account ◽  
Regional Surveillance

Tujuan dari paper ini meneliti faktor-faktor yang menyebabkan timbulnya krisis Asia saat ini. Ada 2 faktor yang dibahas dalam paper ini, yaitu faktor fundamental ekonomi dan efek penularan (contagion effect). Hasil penelitian menyimpulkan bahwa terdapat perbedaan yang jelas antara fundamental ekonomi negara yang terkena krisis dengan negara yang tidak terkena krisis. Perbedaan tersebut terutama terletak pada perilaku defisit transaksi berjalan, pinjaman luar negeri, financial account, cadangan devisa, perbankan, dan kegiatan ekspor-impor.Untuk memperkuat analisa kondisi fundamental ekonomi negara-negara tersebut, dalam paper ini dicoba pendekatan ‘early warning system currency crisis’ yang dikembangkan oleh Kaminsky dan Reinhart. Hasilnya menunjukkan bahwa menjelang terjadinya krisis mata uang terjadi gejala overheating di kawasan Asia. Namun, pendekatan tersebut gagal mengidentifikasi terjadinya krisis di Indonesia, serta terjadi banyak ‘bad-signal’ pada beberapa negara yang tidak terkena krisis, seperti Singapore dan Hongkong.Selanjutnya diteliti juga peranan dari contagion effect dalam menimbulkan krisis. Hasil pengujian membuktikan bahwa terjadinya suatu serangan mata uang di suatu negara secara signifikan mempengaruhi pelaku pasar untuk melakukan serangan pada mata uang negara lain. Dengan kata lain, contagion effect memegang peranan sebagai pemicu terjadinya krisis yang dialami negara-negara Asia saat ini.Hasil penelitian ini menggaris bawahi perlunya dilakukan kerja sama yang lebih erat antar negaranegara Asia dalam melakukan regional surveillance. Tujuan dari regional surveillance ini adalah untuk mendeteksi secara dini kemungkinan terjadi krisis di suatu negara dan mencegah terjadinya contagion effect.

scholarly journals Modeling the Financial Crisis in Indonesia

2017 ◽  
Vol 20 (2) ◽  
Author(s):  
Rohmad Fuad Armansyah ◽  
Muhammad Bisyri Effendi
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Warning System ◽  
Secondary Data ◽  
Exchange Market ◽  
Exchange Market Pressure ◽  
Pressure Index ◽  
Prime Rate ◽  
Influential Variable ◽  
Market Pressure

The purpose of this paper is to construct the model of the financial crisis in Indonesia through exchange market pressure index approach by using Multivariate Adaptive Regression Spline. This research used secondary data from the Central Bank of Indonesia from 2005 to 2014, consisting  of 120 observations. The dependent variables is  exchange market pressure index, and the independent variables consist of 11 macro economics variable. This research used the MARS 2.0 software, to build the model. The results shows 53.9% accuracy model of MARS and it obtains the smallest value of GCV that is 1.84, and the international interest rate of US Prime Rate is the most influential variable towards the exchange market pressure index. The results also provide additional knowledge regarding the indicators that can lead to the financial crisis based on the model established by the MARS approach. The implication is that the variable of international interest rate of US Prime Rate through the MARS approach can be an early warning system against the crisis that probably will happen, especially in Indonesia.

scholarly journals Comparing parametric and non-parametric early warning systems for currency crises in Vietnam

2016 ◽  
Vol 19 (3) ◽  
pp. 71-85
Author(s):  
Phuong Thi My Nguyen
Keyword(s):  
Early Warning ◽  
Early Warning System ◽  
Currency Crises ◽  
Currency Crisis ◽  
Warning System ◽  
Early Warning Systems ◽  
Warning Systems ◽  
Study Results ◽  
The Future ◽  
Non Parametric

The purpose of this paper is to compare performances of the parametric and nonparametric early warning systems for currency crises in Vietnam from January 2002 to December 2014. The study results showed that the method parameter effectively than the method parameter in early warning currency crises in Vietnam. Besides, the author also gives a number of recommendations to strengthen the early warning system for currency crisis in Vietnam in the future.

scholarly journals EXCHANGE MARKET PRESSURE PENDETEKSI KRISIS KEUANGAN DI INDONESIA

2015 ◽  
Vol 4 (1) ◽  
pp. 19
Author(s):  
Khairul Azhar ◽  
Hasdi Aimon ◽  
Selli Nelonda
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Foreign Exchange ◽  
Warning System ◽  
Real Effective Exchange Rate ◽  
Exchange Market ◽  
Foreign Exchange Reserves ◽  
Exchange Market Pressure ◽  
Using Data ◽  
Market Pressure

This study aimed to analyze: (1) Probability of Real Effective Exchange Rate, Foreign Exchange Reserves, Export, Import, loan to deposit ratio, Return to the assets of the financial crisis in Indonesia. Using data from the years 1995 to 2014 times series. This research is using Early warning system using econometric approach, through the Exchange Market Pressure (EMP). These results indicate: (1) Real Exchange Rate Efecctive have significant opportunities to the financial crisis. (2) The foreign exchange reserves have significant opportunities to the financial crisis. (3) Exports have significant opportunities to the financial crisis. (4) imports did not have significant opportunities to financial krissi. (5) The loan to deposit ratio has a significant opportunity to the financial crisis. (6) Return to Asset does not have significant opportunities to the financial crisis. (7) Real Efecctive Exchange Rate, foreign exchange reserves, exports, imports, loan to deposit ratio and Return to Asset jointly chance against the financial crisis in Indonesia.Keyword  : Exchange Market Pressure, Early Waring System crises

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