A bi-annual forecasting model of currency crises
A bi-annual forecasting model of currency crises
复制标题
货币危机双年度预测模型
DOI：
10.1080/13504851.2019.1613492
复制
发表时间：
2019
影响因子：
1.6
通讯作者：
Kinkyo Takuji
中科院分区：
文献类型：
--
作者：
Hiroyasu Uemura;Shinji Tahara;武田友加;Masahiko Hattori and Yasuhito Tanaka;Kinkyo Takuji
本研究提出一种新的方法，结合随机森林和离散小波变换（DWT），以建立一个半年的货币危机预测模型。所提出的模型可以达到相当高的准确度，在预测危机，并表明，DWT的每月真实的汇率和外汇储备可以作为可靠的预测。每个国家发生危机的预测概率通过地图可视化，这表明2018年下半年各地区的危机风险大幅增加。
This study proposes a novel approach that combines random forests and discrete wavelet transform (DWT) to construct a bi-annual forecasting model of currency crises. The proposed model can achieve a reasonably high level of accuracy in predicting crises and demonstrates that the DWT of monthly real exchange rates and foreign reserves can serve as reliable predictors. The predicted probability of crises in individual countries is visualized through a map, which indicates that the risk of crises has increased substantially across regions in the second half of 2018.