Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approach
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Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approach
UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approachOPMENT ECONOMICSDeterminants of currency crises in emerging economies in 1996-2005: An Early Warning System approachA thesis submitted in partial fulfillment of the requirements for the degree ofMaster of Arts in Development EconomicsBy Trương Hồng TuấnThesis supervisor: Dr. Vũ Thành Tự AnhHo Chi Mi Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approachnh city, October 2009CertificationI declare that the thesis hereby submitted for the Master degree at the Vietnam-Netherlands Programme for M.A in DevLuận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approach
elopment Economics is my own work and has not been previously submitted by me at another university for any degree. I cede copyright of the thesis in UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approachctTheories of currency crisis consisted of 4 generations of models suggest that economic and institutional variables can be employed in early warning system models to predict currency crisis for the purpose of prevention policy. This study incorporates 5 variables from Berg and Pattillo (1999b) mode Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approachl (Real exchange rate overvaluation, Foreign reserves loss, Export growth, Current account deficit, Short-term external debt/Foreign reserves) and addLuận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approach
itional Domestic credit growth, 6 institutional variables adopted from Worldwide Governance Indicators (Kaumann et al., 2008) (Voice and AccountabilitUNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approachmodel with dataset of 15 emerging market economies in the period 1996:01-2005:09. The new finding is the high statistical significance of the variable ‘Voice and Accountability’ (represents freedom of speech, free media and ability to participate in selecting government of a country citizen) on redu Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approachcing probability of currency crisis. ‘Regulatory Quality’ (measures government ability to implement efficient policies promoting private sector develoLuận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approach
pment) also shows its statistical significance at a lower level in the model. This study also reconfirms other studies that Domestic credit growth andUNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approachTheories of currency crises - A brief review of the literature7Chapter 3Typical early warning systems and empirical currency crisis models -A brief review of the literature18Chapter 4Methodological issues - Empirical framework27Chapter 5Empirical results36Chapter 6Policy implicationsand conclusion40 Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approachNotes42References42Appendix 1 Specification of 05 empirical currency crisis models45Appendix 2 I X)git regression results by Eviews (Probability of cuLuận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approach
rrency crisis) 47 Appendix 3 Robustness test of the result by running logit regression on regions 50Page 4 of 52Chapter 1Introduction1.1statement of tUNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approach high unemployment rate and loss of development momentum. In the Asian crisis in 1997-98, Thailand lost 10.5% of GDP, Indonesia 13.1% & Malaysia 7.4%.In May 2008, Morgan Stanley issued a report on Vietnam named “Beyond the tipping point”, comparing Vietnam then with Thailand in 1997 and warning a 38 Luận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approach% -55% depreciation of VND against USD in the next 12 months.In June 2008, State bank of Vietnam widened trading band for foreign exchange (USD) fromLuận văn thạc sĩ UEH determinants of currency crises in emerging economies in 1996 2005, an early warning system approach
1% to 2%. In November 2008, it raised the band to 3% and in March 2009 to 5%. Domestic credit growth rate is 50% in 2007, 34% in 2008 and estimated 30UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELOUNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELOGọi ngay
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