资源环境科技发展态势分析平台

We aim to identify leading indicators of a currency crisis in Viet Nam based on an early warning system for the period 1996–February 2016. We found that global financial shocks (e.g., regional and global financial crises, and unexpected changes in monetary policy of the largest economies such as the United States and the People’s Republic of China), and domestic credit growth rate are leading indicators of a currency crisis in Viet Nam in three models. Deficits in trade balance, international reserves, and overvaluation of the dong are also good indicators. In addition, a model in which a currency crisis or turbulence in the foreign exchange market is defined based on the exchange market pressure and parallel market premium, with window length of 2 months, outperformed for predicting a currency crisis in Viet Nam. Empirical results suggested that the probability of predicting a true currency crisis was 77.5%.

WORKING PAPER NO: 686