歐元危機之領先指標_以KLR警訊模型

Abstract

2009年以來，整個歐元區一直飽受經濟衰退，此次的金融危機的時間和嚴重程度，卻讓市場措手不及。現今不少相關預警系統的文獻，主要在於系統化預測金融危機研究。當中最為人所知的“訊號預警系統”方法是由Kaminsky，Lizondo和Reinhart（KLR）提出。[領先指標的貨幣危機，國際貨幣基金組織工作人員論文第45號，1998年，1-48頁]。本文檢測KLR方法是否可在較早的時間點預測到歐元區的金融危機。使用了一系列廣泛的指標證明，KLR方法對於預測歐元區危機具有某程度上的預警能力。

Despite the fact that whole the Euro area has been suffering from recession since 2009, the timing and severity of the recent financial crisis surprised most observers. There is an extensive literature on early warning systems, which claim to be apt for a systematical prediction of financial crises. One of the most prominent “early warning system” approaches was first developed by Kaminsky, Lizondo, and Reinhart (KLR) [Leading Indicators of Currency Crises, International Monetary Fund Staff Papers No. 45, 1998, pp. 1–48]. This paper analyzes whether the KLR approach could have predicted the Eurozone financial crisis at an earlier point in time. Using a broad set of indicators, it is shown that the forecasting quality of this approach is fairly good in the case of Eurozone area.