A new approach to modeling early warning systems for currency crises: Can a machine-learning fuzzy expert system predict the currency crises effectively?

Chin-Shien Lin, Haider Khan (), Ruei-Yuan Chang and Ying-Chieh Wang

Journal of International Money and Finance, 2008, vol. 27, issue 7, 1098-1121

Abstract: This paper presents a hybrid causal model for predicting the occurrence of currency crises by using the neuro fuzzy modeling approach. The model integrates the learning ability of the neural network with the inference mechanism of fuzzy logic. The empirical results show that the proposed neuro fuzzy model leads to a better prediction of crisis. Significantly, the model can also construct a reliable causal relationship among the variables through the obtained knowledge base. Compared to neural network and the traditionally used techniques such as logit, the proposed model can thus lead to a somewhat more prescriptive modeling approach based on determinate causal mechanisms towards finding ways to prevent currency crises.

Keywords: Currency; crises; Neuro; fuzzy; Inductive; learning; Signal; approach; Logit (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261-5606(08)00081-8
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A New Approach to Modeling Early Warning Systems for Currency Crises: can a machine-learning fuzzy expert system predict the currency crises effectively? (2006)
Working Paper: A New Approach to Modeling Early Warning Systems for Currency Crises: can a machine-learning fuzzy expert system predict the currency crises effectively? (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:27:y:2008:i:7:p:1098-1121

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().