Dynamic Count Models of Financial Contagion with Applications to Global Banking and Currency Crises

金融传染的动态计数模型及其在全球银行业和货币危机中的应用

• 批准号: DP140102137
• 负责人: Prof Vance Martin
• 金额: $ 18.04万
• 依托单位: The University of Melbourne
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2014
• 资助国家: 澳大利亚
• 起止时间: 2014-01-01 至 2017-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP140102137
• 关键词: Dynamic; Count; Models; Financial; Contagion

An international model of contagion and interconnectedness is developed and applied using annual time series on banking and currency crises in developed and emerging countries. The model represents a new class of multivariate dynamic count models that allows for important dynamical interactions to capture the transmission of financial crises across national and international asset markets. The properties of the models are investigated as well as the development of new estimation methods based on simulation techniques. An important implication of the approach is that it can be used as an early warning signal of future crises, thereby providing an input into the design of future policy on crisis management.

利用发达国家和新兴国家银行和货币危机的年度时间序列，开发并应用了一个传染和相互关联的国际模型。该模型代表了一类新的多变量动态计数模型，允许重要的动态相互作用，以捕捉金融危机在国内和国际资产市场的传播。的模型的属性进行了研究，以及新的估计方法的基础上模拟技术的发展。这一方法的一个重要意义是，它可以用作未来危机的预警信号，从而为未来危机管理政策的设计提供投入。