金融工程與財務管理7-資料下載頁
2025-06-27 07:36本頁面
【正文】 cy Working Paper, 1997, (79)3 Frankel J A, Rose A K. Currency Crashes in Emerging Markets: Empirical Indicators. NBER Working Paper, 1996, (5437)4 Sachs Jeffrey, Tornell Aaron, Velasco Andres. Financial Crises in Emerging Markets: The Lessons From 1995. Brooking Papers on Economic Activity, 1996, (1): 1472155 徐劍剛. 匯率理論及其實證研究. 復旦大學博士學位論文, 20006 任錦堂. 系統(tǒng)辨識. 上海: 上海交通大學出版社, 19897 都興富. 突變理論在經(jīng)濟領域的應用（下冊）：股票分析、多準則決策. 成都: 電子科技大學出版社, 19948 勒內(nèi)?托姆. 突變論：思想和應用. 周仲良 譯. 上海: 上海譯文出版社, 1989 Exchange Rate Dynamic Models for the Transitional PhaseFeng Yun Wu Chongfeng(Institute of Systems Engineering, Shang Hai Jiao Tong University, 200052)Abstract The exchange rate behaviors during currency crises and transitional phase are difficult to be explained by exchange rate theories based on equilibrium and noarbitrage. This paper establishes a linear dynamic model and a cusp catastrophe model, which apply to the Asian Currency Crisis in 19971998. The conclusions show that the equilibrium is asymptotic stable for crisis victims in the transitional phase；After normalization of exchange rate data，two different modes of exchange rate system response to the input are summarized。 Nonlinear cusp catastrophe model simulates the observed behaviors of exchange rate more accurately。 It’s verified that except for Thailand Baht, happened has the catastrophe of currency prices of Philippine, Malaysia, Korea and Indonesia in the transitional phase.Keywords Currency Crises Exchange Rate Dynamic Models Cusp Catastrophe548 /
環(huán)評公示相關推薦
鄂ICP備17016276號-1