经济预警方法研究综述

:1001-4098(2003)02-0064-07黄继鸿1,雷战波1,凌　超2(1.,710049;2.,200433):追溯经济预警系统发展的历史,重点阐述了目前经常使用的经济预警方法,包括景气指数法、ARCH法、基于概率模式分类法、判别式分析法和人工神经网络预警方法,最后指出对经济进行预警应该注意的问题和进一步深入研究的方向。:经济预警;预警方法:F201:A191888,2030,,20501937,21,2060,1961,,:;;,;!2070,,,,,,2080,1988,,1988,,,1988,DICI;1989,35,13,13,9,DI,;,,,1990,,,,,,,1992,,[1,2]2090,,,212(116)　　　　　　系　统　工　程　　　　　　　　　　Vol.21,No.220033SystemsEngineeringMar.,2003:2002-12-20:(79970012);(59990470-4):(1978-),,,,:,;(1962-),,,,,:,,,,801　经济预警的主要方法,,(1),:,;;;[3],,,tDItDIt=Ii=1wiI[xitxi,t-1]100(1),{xit},w,II=0,0.5,1,xitxi,t-1xit=xi,t-1xitxi,t-1(2),Ci(t),t=2,3,,N,i=1,2,,ICi(t)=xit-xi,t-1,200(xit-xi,t-1)/(xit+xi,t-1),xit0xit0(3)V(t)Ai=Nt=2Ci(t)/(N-1)(4)Si(t)=Ci(t)/Ai(5)R(t)=Ii=1wiSi(t)(6)V(t)=R(t)/FF=Nt=2R(t)Nt=2P(t)(7),R(t)P(t),FI(t)()I(t)=I(t-1)[200+V(t)]/[200-V(t)],I(1)=100(8)!Ti=(mCLi/CKi-1)100(9),CLiCKi{xi,t},mG=Ii=1Ti/I(10)652,:∀V(t)=V(t)+(G-T)(11)I(t)=I(t-1)[200+V(t)]/[200-V(t)],I(1)=100(12)CI(t)=I(t)/C0(13)C0(2)ARCHARCH,,ARCH,ARCH,ARCH,ARCH,{yt},tt,ARCH(q)Yt=bXt+t(14)t/t-1N(0,2t)(15)2t=!0+!12t-1+!22t-2++!q2t-q(16),t,Yt(15)t=ett,etb2t(){yt}(t=1,2,,N){yn1},{yn2},{yn3}(n1+n2+n3=N)sk1=N1n=1yn1/N1+n1n1+n2(y-n2-y-n1)(17)sk2=N1n=1yn1/N1-n1n1+n2(y-n2-y-n1)(18)CI,,;,,;;(3),,;,Bayes:p(x/∀i)p(x/∀j)p(∀j)p(∀i)Lji-LjjLij-Lii,x∀i(19)p(x/∀i)∀i;p(x/∀j)∀j;p(∀i)∀i;p(∀j)∀j;Lij∀i∀j,Lii,Lji,LjjLij.lij=p(x/∀i)p(x/∀j),;#ij=p(∀j)p(∀i)Lji-LjjLij-Lii,Bayes:lij#ij,x∀i;lij#ij,x∀j;lij=#ij,,∀idi(x)=lnP(∀i)-0.5ln∃i-0.5{(x-mi)t∃-1i(x-mi)},i=1,2,,M(20),x;∃i∀i∃i;mi∀i;662003di(x)∀i;p(∀i)∀i;M∃i∃j,ij,∀i;∃i=∃j,i=j,di(x)=lnP(∀i)-0.5ln∃i-0.5xt∃-1ix+mti∃-1-0.5mti∃-1mi(21),,(21)Zg(X)=C(1)gx1+C(2)gx2++C(n)gxn+C0g+lnqg,g=1,2,,M(22)C(1)gC(2)gC(n)g=S-1Xg=s11x-(1)g+s12x-(2)g++s1nx-(n)g+s21x-(1)g+s22x-(2)g++s2nx-(n)g+sn1x-(1)g+sn2x-(2)g++snnx-(n)gCig=ni=1sijx-(i)gC0g=-0.5ni=1nj=1sijx-(i)gx-(j)gS:X=(x1,x2,,xn)Zg(X)G,,Z*g(X)=max1gm{Zg(X)},X∀*,,,,,(4),Z=!1X1+!2X2++!nXn(23),Z,X1,X2,,Xn,,!1,!2,,!n,,,(5):();,;;!,,,,,,,ANN,ANN[18-20],BP,,ANN:ANN,;,ANN,Logistic[30][3]ARMA,:672,::,,,,[31-34][35]:logistic,,,,:,,,,,,2　经济预警应该注意的问题(1),,:;;;!,;∀,,,(2),,,,,,,,,,,(3),,,,,3　结束语,:(1),,,()(),(2),,,,,,(3),,:[1],.[M].:,1993.682003[2].[J].,1994,(1):3337.[3],,.[J].,1991,(8):2333.[4].[J].,1997,15(6):1720.[5]HonohanP.Bankingsystemfailuresindevelopingandtransitioncountries:diagnosisandprediction[J].Eco-nomicNotesbyMontedeiPaschisienaSpa,2000,29(1):83109.[6].[J].,1998,16(3):15.[7].ARCH[J].,1998,(4):5556.[8]NikanderIO,ElorantaE.Projectmanagementbyearlywarnings[J].InternationalJournalofProjectManage-ment,2001,19:385399.[9]AltmanEI,LorisB.Afinancialearlywarningsystemforover-the-counterbroker-dealers[J].TheJournalofFinance,XXXI(4):12011218.[10]PettwayRH,SinkeyJF.Establishingon-sitebankexaminationpriorities:anearlywarningsystemusingaccountingandmarketinformation[J].TheJournalofFinance,XXXV(1):137151.[11]Sharma,MahajanV.Earlywarningindicatorsofbusinessfailure[J].JournalofMarketing,1990,44:8089.[12],,.[J].,1998,(8):610.[13],,.[J].,1999,(9):4148.[14]VillaniM.Bayesianpredictionwithcointegratedvectorautoregressions[J].InternationalJournalofForecasting,2001,17:585605.[15].[J].,2000,(6):3840.[16]AltmanE.Financialratio,discriminantanalysisandthepredictionofcorporatebankrupt[J].JournalofFinancial,1958,123(24):589609.[17]AltmanEI,HaldemanR.Zetaanalysis:anewmodeltoidentifybankruptcyriskofcorporations[J].JournalofBankingandFinance,1977,(9):2954.[18]YaonY,SwlesCT.Acomparisonofdiscriminantanalysisversusartificialneuralnetworks[J].JournalofPeratiaResearchSociety,1993,44:5160.[19]AltmarE,MarcoG,etal.Corporatedistressdiagnosis:comparisonsusinglineardiscriminantanalysisandneuralnetworks[J].JournalofBankingandFinance,1994,(18):505529.[20]JoH,HanI.Bankruptcypredictionusingcase-basedreasoning,neuralnetworksanddiscriminantanalysis[J].ExpertSystemswithApplication,1997,13(2):97108.[21],.[J].,2002,5(3):8690.[22]YangBA,LiLX,JiH,XuJ.Anearlywarningsystemforloanriskassessmentusingartificialneuralnet-works[J].Knowledge-BasedSystems,2001,14:303306.[23]BrockettPL,CooperWW,GoldenLL,PitaktongU.Aneuralnetworkmethodforobtaininganearlywarningofinsurerinsolvency[J].TheJouralofRiskandInsurance,1994,61(3):402424.[24]KolariJ,CaputoM,WagnerD.Traitrecognition:analternativeapproachtoearlywarmingsystemsincommer-cialbanking[J].JournalofBusinessFinance&accounting,1996,23(9-10).[25]Aziz,Emanuel,Lawsom.Bankpredicition:aninvestigationofcashflowbasedmodels[J].Journalofmanagementstudies,1988:419437.[26],.BP[J].,1998,18(4):136141.[27]AnnaH.Usingneuralnetworkforclassificationtasks:someexperimentsondatasetsandpracticaladvice[J].JournalofOperationResearchSociety,1992,43:215226.[28]LacherRC,CoatsPK,SharmaSC,FantLF.Aneuralnetworkforclassifyingthefinancialhealthofafirmc692,:[J].EuropeanJournalofOperationalResearch,1995,85:5365.[29],,,.[J].,2000,(4):4245.[30],,.[J].,2002,(3):5661.[31],.[J].,1999,17(5):3337.[32]BusteloP.Noveltiesoffinancialcrisesinthe1990sandthesearchfornewindicators[J].EmergingMarketsReview,2000,1:229251.[33]BurkartO,CoudertV.Leadingindicatorsofcurrencycrisesforemergingcountries[J].EmergingMarketsRe