Description
The Sudan currency crisis in 2012 occurred when the Sudanese pound lost 66 percent of its value against
the US dollar. In this article we adopt statistical methods such as the signal approach and econometric
methods such as the Probit Model for identifying and evaluating the currency crisis. We utilize some
economic indicators that have the ability to predict the crisis. We examined the capability of these
indicators in generating an early warning system for Sudan currency crisis. The study confirms that the
incidence of currency crisis in Sudan increases by increase in inflation rate, increase in import percentage
of GDP, rise in claims against the central government, reduction in external reserves and existence of
political crisis. Moreover, the study finds that the most important predictor of currency crisis in Sudan is
decline in external reserves
2214-4625/$ – see front matter © 2015 Holy Spirit University of Kaslik. Hosting by Elsevier B.V. All rights reserved.http://dx.doi.org/10.1016/j.aebj.2015.02.002
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
Contents lists available at ScienceDirect
ScienceDirect
j our nal homepage: www. el sevi er. com/ l ocat e/ aebj
HOSTED BY
Arab Society of
Faculties of Business,
Economic & Political
Sciences
* Alamedine Bannaga. Tel.: 00249911103364;
E-mail address: [email protected]
Peer review under responsibility of Holy Spirit University of Kaslik.
?????? ???? ????????? ?? 2012 : ????? ????? ?
Currency Crisis in Sudan in 2012: An Econometric Analysis
Dr. Alamedin Bannaga*
Univeristy of Sudan for Sciences and Technology – Khartoum - Sudan
A R T I C L E I N F O
Article history:
Received 15 October 14
Received in revised form 14 Feruary
15
Accepted 24 February 15
:?????? ???????
?????? ????
???????
????? ????
????????? ????????
Keywords:
Currency crisis
Sudan
Exchange rate
Empirical evidence
????
?????? ???? ???? ??? ?? ????????? 2012 ???????? ?????? ??? ????? 66 .??????? ?????? ???? ????? ?? ?????? ?? ?? ???????? ?? ?
) ?????? ?????? ??? ?????? ??????? ??? ??????? ??? Signal approach ? ( ) ???????? ??????? ????? Probit Model ( ??????
?? ??? ? ??? ???? ??? ???????? ???? ????? ?? ???????? ??? ????? ??????? ? ?????? ?????? ??? ??????? ??? ???? ????????? ????
? .????? ????? ???? ????? ???????? ? ?????? ???? ?????? ????? ??????? ?? ?????? ???? ????? ???? ?????? ?? ??????? ???? ??
???? ?? ????? ? ??????? ?????? ?? ?????? ??? ???? ??? .???????? ????????? ??????? ? ???????? ????? ? ???????? ??????? ????????
.????? ??? ??? ???????? ?????? ? ????????? ?????? ?? ??????? ?? ?????? ???? ????? ????? ???? ??? ?? ??????? ?????
.????????
ABSTRACT
The Sudan currency crisis in 2012 occurred when the Sudanese pound lost 66 percent of its value against
the US dollar. In this article we adopt statistical methods such as the signal approach and econometric
methods such as the Probit Model for identifying and evaluating the currency crisis. We utilize some
economic indicators that have the ability to predict the crisis. We examined the capability of these
indicators in generating an early warning system for Sudan currency crisis. The study confirms that the
incidence of currency crisis in Sudan increases by increase in inflation rate, increase in import percentage
of GDP, rise in claims against the central government, reduction in external reserves and existence of
political crisis. Moreover, the study finds that the most important predictor of currency crisis in Sudan is
decline in external reserves.
© 2015 Holy Spirit University of Kaslik. Hosting by Elsevier B.V. All rights reserved.
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 23
1 . ?????
??? ?????? ?? ??????? ? ???????? ????? ?? ?????? ???? ?? ? .
?
????? ?
?
????? ?????? ?????? ?????? ????? ???? ?????? ???? ????? ) ???? ?????? ???? ?????? ?????? ??? ???? ?? ? .??? Bretton
Woods System ( ) ?????? ?? 1971 - 1973 ) ??? ?? ???????? ?? ????????? ?????? ???? ?( 1976 ) ???????? ????? ??? ???? ???? ?( European Exchange Rate Mechanism ????? ?? (
) 1992 / 1993 ?( ) ????? ?? ??????? ???? ?????? 1994 / 1995 ) ????? ?? ??????? ?????? ?????? ?( 1997 / 1998 ?????? ?( ) ????? ?? ??????? ?????? 1998 ?????? ?? ??????? ?????? ?????? ?(
) 1994?2001 ) ??? ?? ???????? ???? ?????? ?( 2002 ) ??? ?? ???????? ??????? ????? ????? ???? ???????? ????????? ? ( 2008 .(
???????? ??????? :??????? ?????? ????? ????? ??? ?? ????? ?? ????? ) ??????? ?????? ???? ?????? ??????? ? Overvaluation ??? ??? ??? ???? ????? ?????? ?????? ????? ?? (
? ?????? ????? ?? ??????? ????? ?????? ??????? ???????? ???? ???????? . ?????? ??? ? ???????? ?? ?????? ????? ???????? ????? ??? ?????? ??? ?? ???? ???? ? ???????? ????? ?
?????? ??? ????? ?????? ????? ???? ? ????? ???? ?????? ?? ? ???? ????????? ?????? ?? ????? ???? ????? ??????? ??? ???? ??????? ??????? ???????? ?????? ?????? ?? ????? ????????
??????? .?????? ? ?????? ????? ??? ??? ??? ?????? ????? ???? ??? ??????? ???????? ???????? ??????? ?????? ?????? ??? ?? ?????? ???? ???? ?? ??? ? .?????? ????????? ???????? ?????
?? ?????? ????? ????? ??? ????? ?? ????? ??? ) Devaluation ???? ??? ??????? ??? ????? ?? ? ?( ??? ? ????? ????????? ?????? ??????? ??? ??????? ?? ? .?????? ?????? ???? ?????
?????? ???? ???? ??? ????????? ??? ???? ???? ????? ???? ??? ??? ?????? ???? ?????? ???? ???? ????? ? .??????? ?????? ??
?
??????? ???? ? ???????? ????? ??? ?????? ????? ??? ?????
???? ?????? ????????? ???????? .??????? ??? ? ?????? ? ??????? ??
??? ??
?
?????
?
????????
?
?????? ??????? ???? 2012 ?????? ???? ????? ? ??????? ?????? ? ?????? ?????? ? ??????? ? ??????? ??????? ????? ?? ???? ? ??? ?????? ???? ???) ????? ????
??? ??? ?? ? .(??????? ?? ?????? ????? ?? ???? ?????? ???? ????? ? ????? ?? ??????? ????? ????? .????? ??? ?? ????????? ?????? ??? ??? ?????? ????????? ??????? ????? ??? ?? ???? 2012
?? ????? ????? ?? ???????? ? ????? ????? ?????? ???????? ??? ? ??? .?????? ????? ????? ????
????? ??????? ?????? .(???? ??????? ? ????? ?? ?? ? ??????? ????? ??????? ??? ?? ?
?
?????? ???????? ?????? ?????? ??? ?? ) :?????? ?? ?
??? ?? ???????? ?????? ??? ??? ?? ??????? ??????? ?? ??????? ????? ????? ???? ? ? 2013 ? 2014 ?? ??????? ?? ???????? ??????? ????? ??? ?? ? ?? ?????? ? ????? 2014 ???? ? .
??? ??????? ???? ? ????? ????? ?????? ??????? ??? .??????? ?? ??????? ????? ?? ?????? ?????? ???? ??? ?? ??????? ????? ???? ????? ??? ??? ??????? ?? ?????? ????? ????? ???? 25
) ??????
?
??? ?
?
????? Laeven and Valencia, 2008 ???? ??? ( ??? ????? ??? ?? ???????? ?????? ?????? ?? ????? ??? ?? ? .??????? ??? ????? 2013 .??????? ???????? ??? ???
? ??????? ??? ???? ??? ??? ?? ????????? ?????? ???? ????? 2012 ???????? ??? ?? ??????? ?????? ?????? ?????? ????? ? ???? ???? ?? ? .????????? ????????? ? ??????? ????? ?
????? ???? ???? ???? ?????? ?? ????????? ) ???????? ??????? ????? ???????? ? Probit Model ???? ?????? ( ??????? ?? ?????? ???? ???? ???????? ? ????????? ??? ??? ?? ?????? ?????? ? .
????? ? ??????? ????? ????? ? ??????? ?? ?????? ???? ????? ?????? ?? ????????? ???????? ??? ????? ??? ????? ?? ??????? ??? ?? ?? ???????? ??????? ?????? ???? ???
.????? ???
? ? ?? ?? ? .?????? ????? ??? ???? ?? ?? ????? ??? ???? ??
?
????? ? .?????? ???? ?? ????? ? ???? ???? ???? ????? ?????? ???? ??? ???? ??? ?? ?????? ?? ?????? ???? ???? ????
????????? ??? ???? ??? ????? ??? ??? ?????? ?????? ?????? ????? ???????? ?? ??????? ? ?? ?????? ?????? ???? .????? ?????? ????? ??? ???? ?? ?????? ??????? ??? ??????
?? ????????? ??? ????? ??????? ????? ???? ? .???????? ?????? ???? ? ?????? ? ?????? ???????? ? ??????? ?????? ??? ?????? ??????? ? ??????? ?????? ???? ?????? .?????????? ??? ???????
??????? ??? ???? ??? ???? ? .??????? ? ?????? ?????? ???? ????? ????? ??? ?????? ?? ??????? ??? ????? ??? ?? ?????? ?????? ?????? ???? ?????? ??????? ????? ?? ?????? ????? ????????
??? ??? ??? ???????? ????????? ???? ??? ?? ???? ???? ? ??????? ????? ? .?? ?? ???? ?? ?????? ????? ????? ???) ?????? ???? ???? ????? ?? ??? ?????? ????? ???????? ?? ???? ?????
??? ????? ???? ????? ?????? ???? ??????? ?????? ???? ????? ??? ????? ????? ?? ? .?????? ?????? ?? ????? ??????? (???????? ? ??????? ????? ? ?????? ? .????????? ????? ??? ?????? ?? ??
??? ????? ??
?
?????? ???? ?? ????? ??? ???? ???????? ??????? ???
?
??????? ????? ???????? ????????? ??????? ??? ????? ??? ) ????? ???
?
????? ????? ???? ??? ???????? ?? Milesi-Ferretti
and Razin, 1998; Gupta et al, 2003 ???????? ?????? ?? ??????? ??? ???????? ????? ???? ??? ??????? ??????? ?? ?????? ???????? ??? ???? ??? ???? ??? ????? ? .( ????? ???
) ?????? ?? ??????? 1997–98 ?( ) Glick and Hutchison, 2011 .(
? ??????? ??????? ?????? ?? ????? ??? ?? ????? ??? ??? ?? ????? ??? ?? ????????? ?????????? ????? ? .??????? ? ?????? ????????? ?? ????? ?????? ?? ???? ??? ???? ????? ??? ?
) ???????? ?????? ????? Economic adjustment ? ??????? ? ????? ????? ?????? ??????? ???? ?????? ????? ????? ??? ????? ??? ???? ??? .( ??? ????? ??????? .??????? ?????????
????? ???? ?????? ??? .???????? ??????? ????? ? ??????? ??????? ??? ?????? ??? ????????? ?????? ?? ?????? ?????? ?? ????? ????? ??????? ? ????? ?????? ????? ??? ????? ???
? ???? ????? ????? ?? ? .??????? ???????? ?? ????? ??? ????? .??????? ? ??????? ????? ??? ??????? ?????? ????? ? ????? ?????? ????? ?????? ????? ??? ????? ??? ???? ?? ????? ????
??????? ??? ??????? ????? .???????? ? ??????? ????? ????? ??? ???? ? (???????? ?????? ??????? ????? ????? ??????) ??????? ? ??? (???????? ?????? ??????? ????? ????? ??????) ????????
) ??? ?????? ?????? ??? ?? ????? ??? ? .??????? ????????? ????? ??? ?????? the Marshal Lerner condition ????????? ????? ????? ?? ????? ??? ????? ???? ?? ???? ???? ? (
????? ??? ) ??????? ????? ?? ????? ?? ??? ?????? ?????? ?? ???? ?????? ?? ???????? ? ???????? ?????? ????? ??? The elasticity approach ???? ???????? ?? ? .( ? ???? ????
) ???????? ????? ????? ??? ????? ????? Absorption Approach ???? ?? ??? ????? ? ??????? ??????? ? ( ?? (Cook and Kirkpatrick, 1990) .
)) ??????? ?????? ??????? ?? ???? ?????? .????? ??? ???? ????? ?????? ???? ??????? ??????? ??? ???? Krugman (1979 ?? ????? ???? ??????? ??? ????????? ???????? ?? ????? (
?? ????? ?????? .??????? ????? ?? ?????? ???? ???? ????? ???? ????? ???? ??????? ?? ? .??????? ????????? ????? ?? ????? ???? ?????
?
???? ?????? ?????? ??????? ?? ???? ??? ???? ??????
?
????? ? ?????? ??? ) ?????? ?? ??????? ???? ?????? ?????? ??????? ??? ???? ?? ?? ? .?????? ????? ??? ???? ?????? 1973 - 1982 ) ?????? ?? ???????? ? ( 1978 - 1981 )) ?( Glick and
Hutchison (2011) and Krznar (2004 ???????? ????? ??? ??????? ????? ????? ?? ?????? ????? ??? .( Obstfeld ) 1986 ? 1996 ??????? ????? ?? ?????? ?? ????? ?( ??? ?????? ???
???? ????? ??? ??? ) ????? ????? ????? Multiple equilibria ??????? ??? ???? ? .( ??? ?????? ???? ????? )
?
????? ????? ???? Self-fulfilling ?????? ???? ???? ?? ???? ????? ?( ???? ???
?? ? .????? ?????? ???? ????? ?? ?????? ????? ??? .?????? ????? ??????? ?? ??????? ? ?????? ?? ?????? ????? ????? ?? ??????? ??? ??????? ???? ???? ???????? ? ??????? ?????? ??? ?????
???? ????? ?? ??? ???? ) ?????? ????? ??? ?????? ??? ?? ? .?????? Moral hazard ? ( ) ??????? ?????? ?????? Contagion ??? ?????? ? ??????? ???? ??? ??????? ???????? ??????? ??? ?? (
????? ?????? ????? ?????
*
.
*
Aghion, Bacchetta, and Banerjee (2001), Chang and Velasco (2001), Burnside, Eichenbaum, and Rebelo (2001 and 2004).
24 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
??????? ???? ? ????? ????? ?? ?????? ???? ?? ?????
) ??? ?????? 1 ??????
?
???? ???????? ???????? ?????? ? ?????? ????? ???? ( ) Laeven and Valencia, 2008 ? ????? ??? ??????? ??????? ?????) ??????? ???? ? ????? ????? ?? (
) ?????? ?? (????? 1970 - 2008 ?? ????? ??????? ??? ?? ? ? ( 16 ?????? ???? ???? ??? ?? ? .?????? ??? ?? ?????? ??? ?? ???? ?? ??????? ??? ???? ????? ?? ?? ???? 25 ?? ? .??????? ?? ???
???? 13 ?????? ?????? ??? ????? ??? ?????? ???? ??????
?
????? ????? ???? ??? .?????? ???? ?? ???? 5 ??????? ?????? ??? ??????? ? ????? ?? ?? ????? ????? 3 ???? ??? ????
??? ???? ??? ?????? ?? ??????? ???? ?? ?????? ?????? ? .??????? 2012 ??? ????? ?? ???? ??? ????? ???? ?????? ? 2012 ??? ????? ? 2013 .????? ??? ??????? ???????? ??? ???
) ??? ?????? ?? ??????? ???????? ???????? ?????? ??????? ??? 1 ????? ??? ??? ?( 12 ) ?????? ??? ???? 1970 - 2008 ?? ???? ???? ????? ??? ??? ? .?????? ????? ??? ??? ?? ??? ???? ?? ?(
??????? ?????? ?????? ??? ?? ??? ?????? ?????? ????? ?? ????? ?? ? ???? ????? ??? ???? ????? ?? ????? ?? ? ?????? ?????? ????? ?? ???? ???? ????? ??? .????? ? ??????? 3 ???
) ??? ?????? ?? ????? .???? ? ?????? ? ?????? ?? 1 .??????? ??? ???? ??
?
????? ????? ?? ?????? ????? ?? ?(
????? ??????? ????????? ???????? ?? ?????? ????? ???? ?????? (?????? ? ?????? ? ???? ?????) ?????? ?????? ???? ????? ?? ?? ?? ?????? ??? .???????? ????? ?? ?????? Blanco and Garber
(1986), ?????? ?? ????????? ?????? ????? ?????? ???? ????? ????? 1976 ? 1981 - 1982 ?? ????? ???? ???????? ?? ????? ?? ? ? ? .(?????? ??????) ????? ??? ????? ??? ?????? ?????? ?
???? ??? ????? ????? ?????? ???? ????? ?? ??? ?? ??????? ??? ?? ?? ????? ??? ??? ) ?????? ????????? Fundamentals ?????? ??
?
?????? ???? ?????? ?? ????? ???? ?? ??????? ??? ??? ?(
.???????
??????? ? ) ????????? ??????? ?????? ????????? ???????? ??? Probit and Logit ?? ?? ????? ???????? ??? ?? .????????? ?? ?????? ???
?
??????? ????? ???? ???????? ?????? (
(Eichengreen, Rose and Wyploz (1996), ????? ? Frankel and Rose (1996) ????? ? ? Kumar et al (2003)) ????? ??? ? Kaminsky, Lizondo, and Reinhart (1998) ?
????? Kaminsky and Reinhart (1999) ?? ?? ??? ?? ? .?????? ?????? ?? ????????? ????????? ??? ????? ?????? ?????? ?????? ??????? ??? Kaminsky (2003) ? Saravelos
(2012) Frankel and ???? ?????? ??????? ? .?????? ?
?? ?????? ?????? ????? ?????? ????? ??????? ??????? ?? ?????? ???? ???? ???? ?????? ?????? ????? ??? ??????? ??? ????? ?? ? ???? ? ??????? ?? ????? ??? ?????? ???????? ??????? ??????
? ??????? ???? ? ????????? ? ????????? ??????? ?????? ????? .???????? ? ??????? ????? ??? ????
2 ?? . ???????? ????? ??? ?? ?????? ???? ??? 2012
?????? ????? ???? ? ??????? ?????? ?? ??????? ?????? ????? 31 % ?????? ????? ? ??????? ?????? ???????? ?????? ?????? ?? 21 % ??????? ???? ? ??????? ?????? ?????? ?? ?
?????? ????? 48 % ) ??????? ?????? ?????? ?? CBOS, 2010 ) ??? ????? ?? ???? ?? ??? ( 1 ?????? ??? ??? ???????? ??????? ?? ????? ?????? ?? ? .( ?????? ??? ????? ???? ????
) ??? ????? ???? ? .????? ?????? ????? ?? ????? ?????? ?????? ??????? ?????? 1 ? ???? ( ) ?????? ?? ????? ??? ??? ???????? ???????? ???????? ?????? ?? ??? ???????? ??????? ??? 1975 -
2009 ?????? ?????? ??? ? ?????? ?????? ??? ??? ????? ??? ???? ? ( .??????? ?????? ?????? ?? ???????
???? 1 - ?? ??????? ???? ? ????? ????? ?? ?????? ????? ) ?????? 1970 - 2008 ( .
) ?????? Laeven and Valencia, 2008 (
?????? ???? ??? ??????? ??????
??? ?? ????? ????? ?????? ?????? ???? ?? ??? ???????? ?? ??????? ?????? ??????? ??? 1994 ??????? ??????? ??? ???? ??? ??? ?? ? . 14 ??? ??
?
???? 2009 ????? ? ??? ??? ???????
??????? ?????? ?????? 2012 ?? ? ??? 34
?
????? ??? 627
?
???? ????? ?? ????? ???? ? ???? .
?????? ?????? ?????? ???? Systemic Banking Crisis ???? ???? Currency Crisis
??????? 1990 1988, 1994
????? ??? - 1994
?????? 1991 -
??? 1980 1979, 1990
????? - 1985, 1993, 2000
????? 1989 1989
?????? 1982 -
????? 1990 1984, 1990
????? - 2002
????????? 1984 1993
?????? 1980 1981
??????? - 1981, 1988, 1994
????? - 1988
???? 1991 -
????? 1982, 2000
1978, 1984, 1991, 1996, 2001
????? 1996
1985, 1995
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 25
????? 1 - ???????? ??????? ???? .
???????? ??? )??????? ??????? ??? :?????? 2012 .(
???? ?????? ??????? ??? ???? ? .???????? ??????? ?????? ????? ?? ????????? ??????? ???? ?????? ????? ?? ????????? ????? ?? ? ?????? ??????? ??????? ??? ???? ?? ??? ?????
???? 18 % ??? ?? 1999 ???? ?? ???????? ?????? ??????? ? ??????? ????? ???? ????? ???
?
????? ??????? ?? ??????? ?????? ??? ??? ????? ??? ???? ???? ??? ????? ? ??????
??? ?? ?????? ???? ???? ??? ??? ???? 2012 ??????? ?????? ?????? ??? ??? ??? ??? ????? ???????? ??????? ?????? ????? ??? ????? ???? ??? ??? .? 7 ? ?????? ?? 10 ?? ?????? ??
?????? 2009 ? 2010 ????? ?????? ??? ???? ??? ?????? ??? ???????? ?????? ???? ?????? ? ??????? ????? ?? ??????? ???? ?? ?? ? ??????? ??? 20 ? ?????? ?? 14 ???? ?? ?????? ?? 2009
? 2010 ??????? ?????? ???????) ????? ?????? ?????? ????? ??? ?? ? 2011 .(
?????? ???? ??? ????? ???
??????? ??? ??? ??
?
??????
?
???? ??????? ???? ? .???? ???? ?????? ???? ????? ???? ?????????? ????? ??????? ?? ????? ??? ??? ? ??????? ?? ????? ??????? ?? 60 % ????? ??
??? ?? ??????? ?? ??????? 2009 ) IMF, 2010 ??? ???? ??????? ?? ??????? ??? ???? ???
?
????? ? .( ????? ?? ????? ????? ????? ?????? ??? .?????? ??????? ??? ???? ?? ???? ????? ???
? ???????????? ???????? ??????? ?????? ???? ???? ??? ??? ??? ???? ? ???????? ??????? ????? ???? ?????? ??????? ?? ??????? ?? ???? ??????? ???? ??? 15 % ? .??????? ????? ??
? ????? ?? ???????? ?? 7.6 ?? ?????? ??? ?????? ?? 2006 - 2007 ??? 2.4 ?????? ??? 2008 - 2009 ??? ???? ??????? ?? ????? ?? 2.2 ??? ?? 2010 ?????? ?????? ??? ?????? ??? ? .
) ???????? ????? ???? ??? ???????? ???? ??????? 2008 - 2009 ?? ??? ( ??? ??? ????? ?? ????? ??? ?? ? .?????? ???????? ????? ???? ?? ??? ???????? ???? ??? ????? ????????? ??????? ????? ?
2010 ??? ??????? ?????? ??? ?? ???????? ?? ??? ??? ??? ???????? ??? ???? ????? ????? ??? ? ??????? ?? ???????? ????? ???? ??? ? ?? ?? ??????? ?? ???????? ?? ??
?
????? ???? ? ?????? ?
? ??? ??
?
?????
?
??????
?
??? ???? ? ??????? ????? ? ??????? ????? ????? ??? ???????? ??? ????? ?????? ???? ???????? ?????? .???????? ????
) ?????? ??? 1992 - 2012 ??? ??? ???? ?? ? .???????? ??????? ????? ????????? ??????? ???? ( ??? ???
?
??????
?
????????
?
???????? ??? 2000 .???????? ????? ????? ????? ? ?? ??????? ????? ?
??? ?? ????? ??? ???? ????? 1998 ?? ??? ??? ????????? ??? ?????
?
????? ????? ????? ????? ?? ?????? ???????? ??? ???? ??? ? .??????? ?? ???? ???? ??? ? 1 % ???? ?? ?????? ??
??? ?? ??????? ? ?????? ????? ??? ?????? ??????? ?? ???? ????? ??? ??????? .??????? 1997 ??????? ? ????? ????? ????????? ? ??????? ???? ????? ??????? ??? ???? ?? ? .
????? ?????????? ???????? ??????? ??? ???? ?? ????? ?????? ?????? ??? ????? ) ???????? ????? ????? ??? ?????? ????? ? ??????? The IMF, 1999, 2000 ?? ??????? ????? ??? ???? .(
?? ? .?????? ????? ?????? ? ??????? ???????? ????? ?????? ?????? ????? ??? ??? ?????? ????? ? ?????? ????? ???????? ????? ??? ?????? 1998 ? ????? ????? ?? ? ? ?????? ????
???????? ?????? ????? ? ??? ???? ???????? ??? ??? ??????? ?????? ??? .????? ??????? ???? ??? ?? ????? ????? 2000 ????? ???????? ??? ??? ??? ? .????? ??? ????? ?
??? ?? ???????? ??????? 1999 ??? ??? ??? ?????? ???? ?????? ?? ? . 2012 ? ???
?
????? ????????? ?????? ????? .
3 ??? ?? ????????? ?????? ???? ????? . 2012
3.1 ????? ??? ???????? ??????? ???? ?????
???? ) ??? ?????? 2 ) ??? ????? ? ( 2 ) ?????? ?? ??????? ???????? ????? ( 1980 - 2010 ???????? ??????? ???? ??? ?????? ??? ?? ???? ? .( ) ?????? ??? 1980 - 1989 ??? ??? ?(
????? ???????? ????? ???? ????? 1 % ) ?????? ??? ??? .???? ????
?
??? ????? ????? ?? ? ??? 1990 - 1999 ????? ???? ???????? ????? ???? ???? ??? ( 6 % ????????? ????? ?? ?????? ????
????? ??? ?????? ???? ????? ????? ??? ? 80 % ?? ) ???? ???? ?? ? ?????? ??? Hyper-inflation ) ?????? ?????? ??? ??? .?????? ??? ??? ??????? ?????? ???? ?????? ???? ? ( 2000 -
2010 ?? ??? ??? ?????? ???? ????? ?????? ?????? ????? ???????? ??????? ???? ???? ??? ?( 10 % ? ???? ???????? ?????? ??? ??? ????? ? ??? ?????? ?? ???? ?? ??? ??????? ?????
) 2 .(
) ??? ????? ???? ? 2 ???? ??? ???? ????? ?? ? .?????? ????? ????? ??? ????????? ???????? ???? ?????? ( ) ?????? ?? ???????? ????? 1980 - 1989 ?? ????? ???????? ?????? (
??????? ??? .?????? ??????? ?? ????? ) ???????? ???????? ??? ????? ? ????? ??????? ?? ?????? ????????? ???? ??
?
?????
?
??????? ????? ??? ?????? ????? 2000 - 2005 ) ?( 2006 - 2010 ? .(
) ??? ????? ???? 2
?
??????
?
??????? ??????? ? ????? ???????? ?????? ?????????? ???? ?? ????????? ??? ?????? ?
?
???? ( ) ?????? ?? 2000 - 05 ??? ??????? ????? ? ( ?????? ?????? ?? ????
) 2006 - 2010 ) ????????? ?? ?????? ?? ???? ????? ??? ( 1990 - 1999 ) ??? ????? ????? ?????????? ????? ??? ??????? ??? .( 2 ) ?????? ??
?
??????
?
????? ??? ?? ??? ( 2000 - 05 ??? ??? ?? (
? ????? ??? ???? ) ?????? ?????? ? 2006 - 10 ??? ?? ???????? ??????? ???? ???? ????? ? .( 2011 ) ??? ?????? ?? ??????? ???????? ????? ?????? ?? ??????? 2 ????? ???? ?????? ?(
?? ????? ???????? 60 ) ?????? ?? ???? ??? ??? ?? ?????? ?? 2006 - 2010 ?? ????? ?????? ???? ????? ? ( 70 ?? ????? ????????? ??? ??? ? ? ?????? ??? ?????? ?????? 50 ????? ? ?????? ??
.?????? ????? ??????? ?????? ??? ??? ????? ? ??? ? ??? ?? ????? ????????? ????? ???
0
20
40
60
80
100
120
Services
share (%)
Industry
share (%)
Agricultur
e share
(%)
26 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 27
????? 4 - ?????) ?????? ????? ???????? ?????? ??? ??? 2010 - ????? 2012 ( .
??????? ??????? ??? :??????
????? 5 - ) ??????? ?? ??????? ????????? 1972 - 2012 ( .
) ?????? ????? :?????? WEI-2012 (
3.2 ????????? ???????? ? ?????? ???? ?????? ?????
??????? ?? ???????? ??? ?? ) ?????? ????? ??? ??? ???? Foreign Exchange Market Pressure Index(FEMPI) ( ??????? ?? ?????? ???? ????? ???? ?????? ?????? ??? ?
?????? ???? ?????? ??
?
????? ???????? ???? ?? ? ?? ?????? ????? ???????? ? ????? ??? ?? ?????? ???? ???????? ?????? ?? ?? ? . ?????? .
FEMPI = % et - % rt
:?? ???
t e : ??????? ?????? ??? ?????? ???? ??????? ?????? ??? ??? ?? t ?
t r ) ??????? ???????? ?????? ????? ???????? ?? : International reserves in US dollars ??????? ?????? ??? ( t ?
t e % ?? ?????? ?????? ?? : ?????? ???
t r % : ?????? ????? ???????? ?? ?????? ?????? ??
? ?????? ???????? ??????? ??? ????? ??? ?? ?????? ?????? ???????? ??????? ???? ?? : .?????? ????? ???????? ?? ?????
?????? ? ??????? ?????? ???? ??????? ?????? ????? ??? ??? ???? ???? ? .?????? ????? ???????? ? ????? ????? ?????? ????? (Threshold) ????? ???? ????? ?????? ?????
0
1
2
3
4
5
6
8
/
7
/
2
0
1
0
0
8
-
1
4
-
2
0
1
0
1
2
/
9
/
2
0
1
0
1
0
-
1
3
-
2
0
1
0
1
1
-
1
7
-
2
0
1
0
1
2
-
1
5
-
2
0
1
0
0
1
-
1
6
-
2
0
1
1
0
2
-
1
5
-
2
0
1
1
0
3
-
1
9
-
2
0
1
1
0
4
-
1
8
-
2
0
1
1
0
5
-
1
9
-
2
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0
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-
2
1
-
2
0
1
1
0
7
-
2
4
-
2
0
1
1
0
8
-
2
4
-
2
0
1
1
0
9
-
2
9
-
2
0
1
1
2
/
1
1
/
2
0
1
1
4
/
1
2
/
2
0
1
1
4
/
1
/
2
0
1
2
2
/
2
/
2
0
1
2
5
/
3
/
2
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1
2
5
/
4
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/
5
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/
6
/
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1
2
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/
7
/
2
0
1
2
Exchange rate Crash in 2012 from Dailly
Data
Exchange rate
1
2
3
4
5
6
7
8
1975 1980 1985 1990 1995 2000 2005 2010
LOG(INTERNATIONAL_RESERVES)
28 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
.???? ???? ????? ???? ?????? ?????? ?????? ??? ??????? ??? ???? ??? ?? ????? ?????? ??????? ? ??????? ?? ?????? ???? ????? ) ?????? 2000 - 2012 ( ) ??? ????? ???? ? . A-1 ?????? ?? (
?? ????? ??? ?????? ?????? ?? ?????? ???? ???? ????? ?????? ??? ?? ????? ??? ?? ???? ? ???????? ?? ?????? ????? ??? ??? ???? ) ?????? ? 2000 - 2012 ??? ?? ??? ? ( 2012 ????
) ?????? ??? ????? ??? ??????? ?? ?????? ???? ????? ???? ???? ??? 2000 - 2012 .(
) ??? ????? ???? ? A-1 ) ?????? ??? ??????? ?? ?????? ????? ??? ??? ???? ?( 2000 - 2012 ) ?????? ????? ?? ?????? ??? ?????? ????? ????? ??? ?? .( 2000 - 2012 ??? ???? ??? (
??? ??? ??? ? ??????? ??? ?? ????? ??? ????? ? ?????? ????? ??? ????? ?????? ??? ??? ????? ??????? ?? ?????? 2001 ??? ???
?
????? ????? ??? ??? ????? ?? 2010 ??? ????? ?
??? ??? ????? ??????? ?? ?????? 2011 ??? ?? ?????? ?????? ??????? 2012 ????? ??? ?? ????? ??? ?????? ???? ??? .
??? ?????? ?? ????????? ???????? ?? ?????? ??????? ?????? ?????? ?????? ?
†
? ?? ???????? ??????? ? .??? ?????? ???? ? ????? ?????? ???? ??? ????? ????? ???? ???? ??????? ???? ???????
?????? 12 ????? ? ????????? ??????? ??????? ????? ??? ??????? ??????? ??? ???????? ?????? ??????? ?????? ???? ??????? ???? ?????? ?? ??????? . :?? ?? ???????? ??? ??? ? ????
?????? ???????? ?????? ?????? ?? ????? ???????? ???????? ?????? ?????? ?? ????? ?????? ?????? ????? ??????? ??? ??? ??????? ????? ?????? ???? ???????? ?????? ?????? ?? ????? ??
?? ???? ????????? ???? ?? ???????? ??????? ???????? ??? ???? ??????? ??? ??? ????????? ???? ????????? ????????? ??? ??????? ??????? ?????? ?????? ? ? ?????? ?????? ??? ?? ?????
????? ????? ?? ????? ???? ????? ??????? ?? ???????? ????? ???? ?????? ???????? ?? ? .???????? ????? ) ???????? ????? ?? ???? ?????? ???????? ????? ??? Political Crisis ? (
???? ? .???? ???? ?? ??? ????? ???? ????? ????? ?? ? ?????? ?????? ?? ????? ???? ???? ??? ?????? ???? ??????? ????? ??? ???? ) ???????? ???????? ?? ?????? ?? Attempted Coup ( ??? ?
???? ?? ????? ???? ?
?
????? 4 ?????? ?????? ??? ????? ???? ??? 4 ) ????? ???? ????? ?? ???????? ???????? ???? ??? Successful coup ??????? ?( 3 ???????? ???? ????? ???? ????? ?? ????????
) ????? Failed coup ?????? ? ?( 2 ????? ???? ???? ?????? ???? ???? ????? ) Plotted coup ?????? ? ?( 1 ) ?????? ??????? ?????? ????? ???? ????? Alleged coup ??? ??? ??? ?????? ? ?(
.??????? ?????? ?????? ??? ?? ?? ???? ????? ???????? ???????? ???? ?? ??????? ?? ???????? ????? ?? ???????? ??? ?? ?? ?
‡
?? ?? ??????? ???? ???? ? ? ?????? ???????? ???????? ??
? ?????? ????? ?????? ????? ?? ????? ?? ??? ????? ???????? ?????? ??? .?????? ??? ?? ???????? ???????? ????? ??? ? ????????? ?????? ?? ? .??????? ??????? ??? ?? ??????? ???????? ?????
?????? ??? ???? ????? ???? ??? ??????? .??????? ?? ?????? ????? ??
) ?????? ?????? ?? ????? ???????? ??????? ????? ?? ?????? ????? ?????? ?? ????????? ???????? ?????? ???????? ??????? ??? Signaling approach ???????? ?????? ??? ????? ? (
???? ???? ?????? ??????? ????? ????? ??????? ???????? ????? ??? ???????? ??? ????? ? .????? ??? ?????? ????? ???? ????????? ?? ???????? ??? ???? ? .?? Kaminsky, Lizondo, and
Reinhart (1998) ???????? ??? . ??? ????? ????? Berg and Patillo (1999) ) ????????? ??????? ???????? ??? ?????? ? . Probit/logit ???? ????????? ???? ???????? ???????? ?????? (
??? ?? ??????? ?? ?????? ???? ?????? ?????????? ????? ?? ?? ?????? ??? ??? ??????? ?? ? .????? ???? 2012 .
) ?????? ?????? Signaling approach (
?? ???? ?? ????? ???? ????? ?????? ??? ??? ???? ? ????? ????? ????? ????? ????? ???? ??? ?????? ????? ???????? ?????? ????? ?????? ??????? ?????? ? .????? ??? ????? ??
) Percentiles distribution ? ??? ??????? ? ??????? ?????? ?????? ???????? ( ) ?????? ??? ? ?????? ?????? ??? abnormal - Normal ?? ?????? ????? ?????? ???? ????? ???? ? ??? ? .(
??? ?? ?????? ???? ?? (?????? ?????? ??) ??????? ??????? ?? ?????? ?????? ????? ????? ????? ?????? ???? ???? ???? .??????? ) ??? (Tranquil times ???? ?? ? . ????? ?????? ???? ???? ???
25 % ????? ? ????? ???
?
????
?
??????? ????? ???? ???????? ???? ?? ?????? ??????? ?? 75 % ????? ???
?
????
?
??????? ????? ???? ???????? ???? ??
§
?????? ?? ??????? ?????? ???? ? .
???? ??? ??? ?????? ???? ? ???? ??? ???? ???????? ) ???? ????? ?? ????? ????? ????? ????? ????? ???? ?? ? ?????? False Alarm .(
???? ????? ?? ? .?????? ?? ?????? ???? ?? ?????? ????? ???? ?? ??????? ?? ????????? ???????? ?? ???? ?? ???? ????? ?? ? 75 % ???? ? ?????? ???? ?????? ???? ?? 25 % ???? ??
????? ??? ????? ?????? ?? ???? ???? ???????? ?? ??? ??????? ????? ??? .?????? ???? ? 2012 ??? ??? ?? ???????? ?? 12 ?????? ?? ????? ???????? ??????? ???? :?? ????????? ?? ????
???? ????????? ????????? ??? ??????? ??????? ?????? ?????? ??? ???? ???????? ?????? ????? ????? ?? ?? ? .???????? ????? ? ?????? ?????? ??? ?? ????? ???????? ??????? ???????? ???
) ?? ?????? ?? ?????? ?????? A-2 ) ??? ? ( A-6 ) ??? ?????? ?? ( 1 .???????? ??????? ??? ???? ??? ??????? ??????? ?? ? .(
?????? ?? ??????? ???? ???????? ????? ) ??? ????? ? .?????? ???? ?? ??????? ??? ?? ?????? ????? A-2 ???? ?????? ?? ( ???? ????? ????? ?????? ???? ???? ? .?????? ???? ?????? ???????
???? ????? ??? ?????? 75 % ) ??? ????? ???? ? .??? ??? ????? ????? ?????? ?????? ?? A-2 ?? ( ????? ????? ?????? ???? ???? ????? ????? ?????? ??? ???? ?? ? .????? ??? ?????? ???
???? ??? 2012 ???? ??????? 75 % ) ?????? ??? ?????? ??? ?? ??????? ??????? ?????? ?????? ??? .?????? ?????? ?? 2000 - 2010 ?????? ????? ??? ??? ???? ????? ???? ??? ???? ?? (
?? ????? ????? ????? ) ???? ????? ?????? ??????? ??? ????? ??????? ? ???????? ??? (False Alarm .
) ??? ????? ? .?????? ????? ?????? ????? ??????? ?????? ?????? ?? ????? ???????? ???????? ?? ? A-3 ???? ????? ?????? ??? ???? ? .?????? ? ????? ???? ?? ?????? ??? ???? ???? (
????? ???? ????? ??? ? 75 % ) ??? ????? ???? ? .?????? ?????? ?? A-3 ????? ????? ?????? ??? ?????? ??? ???? ??? ??????? ?? ?????? ??????? ??? ????? ????? ?????? ?? ???????? ?? (
) ?????? ??? ?????? ??? ?? ??????? ???? ???????? ???? ? ? .?????? ???? 2004 - 2007 ? ( ?????? ?????? ??? ???? ??? .??????? ??? ?? ????? ?????? ????? ??? ??? ???? ????? ???
) ??? ????? ?? ?????? ?? ??? ?????? ?????? ????? ?????? ??????? A-4 .?????? ??? ?? ??????? ??????? ??? ???? ? ( ? ????? ????? ???? ????? ????? ???????? ????? ???? ???? ????
???? ??? ????? ??? ?????? 25 % ) ??? ????? ???? ? .??? ??? ????? ????? ?????? ?????? ?? A-4 ) ?????? ??? ??????? ???? ?? ?????? ??? ?? ( 2000 - 2012 ???? ??????? ?? ? ???? ??????? (
??? ?? ?????? 2012 .?????? ??? ?? ???? ???? ???? ????? ????? ????? ?
? ) ??? ????? ???? ? .???????? ????????? ??? ?????? ???? ?? ?????? ???????? ?? A-5 ????? ??????? ????? ???????? ????????? ??? ???? ? .?????? ??? ?? ??????? ??????? (
???? ??? ????? ??? ?????? ???? 25 % ) ??? ????? ???? ? .?????? ?????? ?? A-5 ? ?????? ??? ?? ( ???? ????? ????? ?? ??? ? ? ?? ?????? ??? ?????? ???? ?????? ??? ??????? ?????? ???
) ?????? ????? 2000 - 2012 ??? ???? ??? ?????? ????? ??????? ???? ??? ?? ? .?????? ??? ?? ???? ???? ???? ????? ????? ??? ( 2012 ??? ? ????? ??? ??? ????????? ???? ????
???? .???????? ????? ????? ?????? ???? ??? ??????? ??????? ?????? ????? ? ??? ???? ????? ????? ????? ?????? ???? ????? ?????? ?????? ??? ?? ????? ???????? ??????? ???????? ??? ????
???? ????? ?????? ??? ?????? ???? ????? 75 % ??? ????? ???? ? .?????? ?????? ?? ) A-6 ?? ( ??? ?? ?????? ???? ???? ????? ????? ???? ?? ?????? ??? 2012 ?? ?????? ???? ?????? ??? ? ?
??? 2002 ????? ?? ????? ?????? ??? ? .???????? ????? ????? ?????? ???? ?????? ?? ? .????? ??? ?? ????? ???? ???? ???? ??? ????? ??? ) ????? binary variable ?? ????? ???? ???? (
???? ????? ??? ?????? ???? ????? ????? ?????? ??? ???? ? .?????? ?????? 75 % ??? ???? ???? ????? ????? ?????? ??? ???? ?? ? .??? ??? ????? ????? 2012 ????????? ???????? ???? ??? .
†
Kaminsky, Lizondo and Reinhart (1998)
‡
The Center for Systemic Peace (CSP), Armed Conflict and Intervention (ACI) Datasets
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 29
? ?????? ?? ???? ?? ? ?????? ?? ????? ??? ??? ????? ??? ?? ?????? ???? 2012 .
??? ?? ????????? ?????? ????? ?????? ?? ????? ?? ???????? ?????? ??? ?? ?????? ????? ?? ????? 2012 ????????? ????????? ??? ??????? ?????? ?? ????? ???????? ??????? ???? :?? ?
?????? ????????? ???? ???????? ?????? ?????? ??? ???? ?? ????? ????? ???? ?? ????
?
????? ????? ?????? ?? ???? ??????? ? .???????? ????? ? ?????? ??? ?? ????? ??????? ???????? ??? ???? ???
??????? ? ???? ????? ?????? ???? ? ????? ????? ?? ??????? ???? ???? ???????? ?????? ??? ????? ? .??????? ?? ?????? ???? ??????? ?????? ????? ?? ? .?????? ?????? ????? ???
??????? ?? ?????? ???? ????? ???? ? ????????? ??? ??? ?????? ????? ? ????? ?? ????? ??? ??????? ????? .
3.3 ???????? ??????? ????? ) (Probit regression model
?? ???????? ???????? ?? ?????? ??????? ) ??????? ?????? ??????? ?????? ?????? ????? Discrete Dependent Variable ) ???????? ??????? ???? ?? ( Probit model ???????? ?? (
) Logit model ??? ? .?????????? ????? ??? ???????? ????????? ?? ?????? ? ?????? ???? ????? ???? ???????? ??? ??????? ??? ???? ? ?( ?? ????? ???? ?? ??? ?????? ??? ?? ?????? ??????? ?
?????? ? ?????? ???? ?????? ??? ?????? ????? ??????? ???????? ??????? ?????? ???? ? .?????? ????? ?? ??????? ?????? ?????? ??????? ?????? ??????? ?? ???? ???????? ??? ????? ? .?????? ??
.??????? ?????? ?? ?????? ???? ??????? ?? ??? ? ??????? ???? ???? ???????? ???? ???? ??? ??????? ??? ???? ????? ????? ???? ??????? ???? ???? ?? ?????? ????? ???? ???? ?
?
???? ???????? ?????????
???? ????????? ?? ?????? ???????? ??????? ??? ???? ????? .?????? ????? ????? ?????? ??????? ??? ??????? ???? ???????? ????? ?? ? .??? ??? ?? ???????? ????????? ?????? ?????? ????
????? ?????? ???? Frankel and Rose (1996) ???????? ?? ????? ?
**
.
) ???????? ??????? ????????? ??? ???? ?? ? Probit model ???? ?????? ???? ?????? ??????? ( ?????? ??? ?? ?????? ????? ?????? ?????? ???? ??????? ??? ???? ???? ???? ?????? ??? ?? :
) ??????? ? ??? ??? ???? ??? ??????? ????? ?? ?????? ????? ????? ?????? ????? ?? ????? ???? ???? ???? ???? Reliability .??????? ??? ( ????? ????? ???? ????? ???? ?????
?
?????? ??????? ??
) ???????? ??????? ????? ????? ????? ?? ????? ?????? ????? ????????? ?????? ?????? ??? Probit model )
?
????
?
????? ??
?
???? ???????? ???? ? ??????? ??? ?? ????
?
?????? ???? ( Marginal
effect ?????? ?????? ?? ??? ???? .??????? ??????? ( ??? ??? ??????? ?? ???? ????? ????????? ???? ?????? ??? ????? ? ????? ??? ???? ??????? ????? ??
?
?????? ??????? ? (Kaminsky
et al, 1998) .
?? ? .??? ?????? ? ?????? ???? ????? ??
?
????? ????? ?? ???? ???????? ??????? ?? ?? ????????? ??? ?? ????? ??? ?????? ???????? ????? ??? ????????? ????? ???? ???????? ??? ????
????? ???? ??????? ???? ???? .?????? ????? Berg and Pattillo (1999a, 1999b) ????? :?? ? ?????? ????? ?????? ????? ???? ?? ???? ??????? ? Kaminsky et al, 1998 ????? ?
Frankel and Rose (1996) ????? ? Sachs, Tornell and Velasco (1996) :???????? ???????? ??????? ?? ??????? ??? ???? ?? ??? ??????? ??? ???? ?? ? . Frankel and Rose
(1996) :???????? ?????? ????? ???? ? Kaminsky et al, 1998 ?????? ???? ?????? ?????? ?? ???? ??? ????? ??????? ??? . ??????? ? ?????? ????? ?? ?? ??????? ??? ?? ???????? ?? ? .
? ???? ?????? ???????? ???????? ??? ?? ????????? ????? 2012 .
??????? ?? ?????? ???? ???????? ??????? ????? The probit model specification
?? ?????? ?????? ??????? ???? ??????? ?? ????? ??? ?? ???
?
????? ??????? ?? ???? ? ?????? ???? ????? ???? ?????? ?? ?????? ???????? ???????? ???? ?? ? .????? ? ?????? ?????? ??? ? ?????
?? ??? ? (????? ???? ?? ??) ?????? ???? ???? ??? ?????? ?????? ??????? ??? ???? ???? ? .??????? ?????? ????? ??? ??? ???? ?????? ? .(?????? ???? ?? ??) ??? ???
:??????? ????????? (????? ???? ?????) ???? ???? ?????? ?????? ???????? ????? ????? ????????? ???????
Pr(y
ì
= 1 x
ì,
[) = 1 - F (- x
ì
i
[)....................(1)
?? ??? F ?? ??????? ??? ? ?????? ? ?????? ?????? ??? ???? ?????? ??? ???? ? ?????? ??????? ???? ?? F :?? ??? ?? ????? ???????? ???? ????
Pr(y
ì
= u x
ì,
[) = F (- x
ì
i
[)……………….(2)
? ????? ???????? ???????? ??????? ????? ????? ???? ??????? ???????? ?? ? ) ????? ??????? ??? Maximum Likelihood :????????? ?????? ??? ???? ??? (
l([) = o
0
+ _ y
ì
log(1 - F (- x
ì
i
[)) + (1 - y
ì
)log( F (- x
ì
i
[))
n
ì=0
....................(3)
) ???????? ??????? ????? ???? ???????? ??? ?? Probit model :????? ?????? ?????? (
y
ì
= (1 - F (- x
ì
i
[)) + e
ì
…………………(4)
?? ??? e
ì
) ??????? ?? ????? ?? Residuals ( ) ??????? ?????? ?? ???????? ??????? ?? ?????? ??????? ?????? ???? ? Conditional Mean ( :???? ? ?
E(e
ì
x
ì,
[) = u………………………….(5)
Ior(e
ì
x
ì,
[) = F (- x
ì
i
[)(1 - F (- x
ì
i
[)) …(6)
??????? ?? ?????? ???? ???????? ??????? ????? Estimating the probit model
??????? ????????? ?? ?????? ? ??????? ?? ?????? ???? ????? ???? ?? ???? ???????? ?? ? ?????? ??????? ??? ??????? ?????? ???? ??????? ??? ???? ? ? :??? ?????? ?????? ??? ??
) ?????? ???? Inf ) ???????? ????????? ???? ???? ?( lreserv ) ??????? ?????? ?????? ?? ????? ???????? ????????? ??? ?? ( limp ???????? ??????? ???????? ??? ???? ????????? ??? ?? (
) ?????? ?????? ??? ?? ????? claims ?????? ??? ???? ?( ) ??????? ?????? gr ) ???????? ????? ? ?( pol ) ?????? ???????? ??????? ?????? ???? ? .( 1980 - 2012 ?? ?????? ( ??? ???? ?????
????? ????????? .???? ???? ????????? ????????? ??? ????? ????? ??????? ? ????? ???? ????? ?? ?? ? ???? ?????
) ?????? ?????? 1980 - 2012 ??? ??????? ???? ?? ???? ( 33 ??? ??? ?????? ????? ??? ??? ???? ??? ?????? ?? ??? ??????? ??????? ???? ??????? ? .??????? ??????? ?? ????? ??? ??????
.?????? ?????? ?? ????? ???? ?????? ??? ?????? ????? ?????? ???? ????? ???? ???? ???
?
????? ? .?????? ????? ?? ???? ? 6 ?????? ?? ??? ? ???????? ?????? ????? ????? 1981 ? 1985 ?
1987 ? 1991 ? 1996 ? 2012 ?? ???? ????????? ?????? ???? ??????? ??? ?? ?? ?? ? . 65 % ????? ???? ????? ????? ???????? ????? ?? ?????? ???? ??? ? .????? ?????? ????? ?? ?????? ??
? ) ?????? ?????? ???? ???? ?????? ??????? ??? ????? ? .????? ??????? ????????? ?????? ?? ?? y = 1 ( ???? 6 ) ????? ???? ? ???????? y = 0 ???? ( 27 .??????
) ????? ??????? ???? ????? ???????? ?? ? Maximum Likelihood
?
????? ???????? ???????? ??????? ?????? ( ?????? ??? Quadric Hill Climbing ????? ?????? ? Huber/White
**
Eichengreen, Rose and Wyplosz (1996), Goldfajn and Valdes (1997), Berg and Pattillo (1999a and 1999b), IMF (1998), Kruger,
Osakwe and Page (1998), and Kumar, Moorthy and Perraudin (2002).
30 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
for robust covariance ????? ????? ????? ?????? ???? ???????? ?? ??????? ????????? ? ??????? ?? ?????? ???? ????? ???? ?????? ??? ?????? ?????? ? . ????????? ??? ?? ????? ???? ????? ?
?? ?? ??????? .????? ????? ?? ??????? ??? ?? ????? ?? ????? ????? ??????? ??????? ?? ? .?????
) ??? ?????? A-1 ? ?????? ??????? ??? ??????? ????? ?? ??? ?????? ?? ????? ? .???? ??????? ????? ????? ???? ??????? ?? ( 5 ) ?????? ???? :??? ?????? ??????? Inf ???? ???? ?(
) ???????? ????????? lreserv ) ??????? ?????? ?????? ?? ????? ???????? ?( limp ) ???????? ??????? ???????? ?( claims ) ??????? ?????? ?????? ??? ???? ? ?( gr ?? ?????? ?? ???? ? .(
?? ?? ?? ????? ?????? ?
?
??????? ????? ??????? ?? ?????? ???? ????? ???? ?????? ??????? ???? ?????? ???? ?? ? .???????? ??????? ???????? ? ???????? ?????? ?????? ?? ????? ????????
:????????? ??? 6 % ? 4 % ? 6 % ) ??????? ??????? ??????? ?? ???? ???? .??????? ??? A-1 ???
?
?????
?
??????? ?????? ??????? ?? ?????? ???? ????? ???? ???????? ?? ( ????????? ????????? ???? ??
??? ?????? ?????? ? 2 % .
?????? ?? ????? ???????? ? ?????? ???? ?????? ????? ??????? ?? ?????? ???? ????? ???? ?????? ?? ??? ??????? ??? ????? ???? ? ??????? ? ??????? ???????? ? ??????? ??????
?? ???? ??? .???????? ????????? .??????? ??? ?? ????? ??? ??? ???????? ?????? ?????? ?
??? ???? ????? ???? ?????? ???????? ????? ???? ????? ? ??????? ?????? ?????? ??? ???? ??????? ?? ??? ??????? ??????? ?? ??? ) ??? ?????? ???? ? .??????? ?? ??? A-2 ????? ??????? ?? (
?? ??????? ????? ?? ??????? ?? ?????? ???? ????? ???? ?????? ?? ?? ? ????? ??????? ????? ???? ??????? ??? ????? ?? ?????? ??? ?? ???? ? .???? ?? ?? ?? ????? ?????? ?
?
????
?
??????? ???
???????? ????????? ???? ???? ? ???????? ?????? ?????? ?? ????? ???????? ? ?????? ???? ?????? ?????? ??? ???? ? ???????? ??????? ???????? ?? ??? ??? ? .??????? ??????? ???? ?
. ??????? ??? ?? ?????? ??? ???????
? ???????? ??????? ?????? ???? ?? ??????? ??? ?? ??????? ????? ?????? ???? ?????? ?? ?????? ???? ??? ??????? ??????? ?? ??? ? ?? ) ??? ?????? ???? ? .??????? ?? ????? ??? A-3 ?? (
?? ?? ??? ?????? ??? ???????? ??? ?? ??????? ???????? ????????? ?? ?? ????? ?????? ??? ?? ? .??????? ??? ????? ????? ??????? ??? ?????? ????? ??????? ??????? ????? 00 % - 5 % ??????? ? ?
?? ??????? ?? ??????? .??????? ??? ???? ???????? ????? ???? ? ??????? ?????? ?????? ??? ???? ??? ??????? ???????? ???????
???????? ????? ???????? ????? ???? ??????? ?? ?????? ??????? ?? ????????? ?? ??? ?????? ??? ?????? ? ?????? ??????? ?? ??? ) ???????? Attempt Coup ( ??
?
????? ???? ???? ?? ? ?
) ??? ?????? ???? ? .??????? ??? ?????? ???????? ??????? ?????? ?? ????????? ????? ?? ? ?? ?????? ?????? A-4 ????????? ?? ?? ?????? ?? ????? ? .?????? ??????? ????? ????? ??????? ?? (
??????? ?????? ? ????? ?????? ??? ???????? ?????? ???????? ????? ??????? ?????? ????? ? .????? ??? ??? ??????? ?????? ?????? ??? ???? ???????? ????????? ??????? ?? ????? ?? ???? ??
.??????? ?? ?????? ???? ???? ?????? ?? ???? ???????? ???????? ??? ?????? ?????????? ???? ??? ???? ??????
???? ) ????????? ????????? ?? ?????? ?????? ???? ??? ????? ???????? ?? ?????? ???? ????? ?? ??????? ??????? ???? ?? ?????? ??? Diagnostic Testing ??? ??????? ? ??? ?????? (
) ??? ?????? ???? ?? ???? .??????? A-4 ??????? ????? ???????? ???????? ???????? ?? ??? ( ) ????? Likelihood Ratio Statistics ?????? ? ???? ????? ???????? ????? ?? ????????? (
) ????? ??????? ?????? LR Statistic ) ????? ?????? ???? ?? ??? ????? ?? ??? ???? ? ( Null Hypothesis ??? ?????? ? .
?
???? ????? ??????? ????? ???? ?? ???? ???? ? ??????? (
? ) ??? ?????? ???? ? .??????? ?????? ???????? ?????? ?????? A-4 ??? ?????? ?????? ???? ?? ?? ????? ?????? ?? ( 1 % ??????? ?? ?????? ???? ???? .??????? ?????? ???????? ??? ???? ??? ?
squared - McFadden R ???? ????? ???? ?
2
R ???????? ??????? ?????? ??????? ?? ???? ?? 0.50 % ??????? ?????
?
???????
?
???? ???? ??? ? ???????? ?? ????? ??? ?? ?????? ???? ?? ?
) Goodness of fit tests .(
???????? ???? - (??????? ????) ?????? Expectation-Prediction Table
) ??? ?????? A-5 ???????? ???? ???? ??????? ?? ( - ???? ?????? ??????? ????? ????? ?????? ??? ?????? ? ???????? ????? ???????? ????? ? .???????? (Correct observation) ???? ??
) ?????? y = 0 ) ?? ??????? ??????? ???? ???? ????? ( Predicted probability ) ???? ??
?
??? ????? ?? ?? ??? ( Cut-off ????? ( 0.50 ??? ????? ???? ?? ? ) ????? ?? ? ?? ?????? ??? ?? ? y =
1 .( ??????? ?? ??????? ????????? ???? ???? 33 ?????? ??????? ??? ?? ? .?????? 26 ???? ?? ?????? 27 ) ?????? ??? ?? ?????? y = 0 ( ??????? ? ?
?
?????
?
?????? 4 ???? ?? ??????? 6
) ????? ???? ?? ??????? y = 1 ???? ???? ? .( ?????? ????? ????? ?????? ??????? 90.9 % ???? ?????????? ???? ?? 96.3 % ? ?????? ??? ?? 66.67 % .????? ??? ??
) ??? ??????? ???? ?? ???????? ??????? ????? ???? A-5 ) ?????? ( Gain ?? ????? ????? ?? ?????? ??? ????? ????? ??? ?????? ??? ???? ????????? ??? ?? ( ??????? ?? ?? ???????
) ?????? ???????? Constant probability model ) ????? ????? ????? ? .?????? ???? ??? ?????? ??????? ??? ?( Total gain ???? ???? ??? ??? ?? ??????? ??? ?? ??? ??????? ??????? (
) ????? ???? ?? ?????? ??????? y = 1 ?????? ( 66.67 % ???? ?? ? ) ?????? ?????? - 3.75 ?? ??????? ???????? ??????? ?????? ?????? ??????? ? ( 9.09 % ?????? ???? ??????? ???????? ?? ???? ??? .
9.09 % ) ?????? ???????? ???????? ?????? ??????? ????????? ?????? ??????? ???????? ?????? ?? Constant probability model .( ?????? ??? ? ???? ????? ????? ?????? ??????? ?? 50 % ???? ??
) ??? ?????? ?? ???? ?? ??? ????? ??????? A-5 .(
) ??? ?????? ?? ????? ????? A-5 ) ???????? ?????? ???? ??? ????? ????? ? ??????? ???????? ????? ???? ????? ???? ( Expected value .( ????? ??????? ???????? ??????? ) ?????? ???? ?? ? y =
0 ?? ( 24.69 ??? ?? ?????? 27 ??? ?? ???? .?????? 6 ) ????? ???? ?? ??????? y = 1 ?( ?? ?????? ??????? ???????? ?????? ?? ??? 3.45 ??? ??? ???? ?????? ??????? ??? ??????? ? .??????
) Total gain ????? ( 15.03 % ?????? ???? ?????? 50.5 % ? ?? .?????? ??????? ????
) ??????? ???? ?????? Goodness of fit tests (
?????? ??? ?? ?????? ?????? ???? - ) ??? ????
2
Pearson ?????? ??? ??????? ?? ????? ????? ???? ??????? ??? ?? ? .?????? ?????? ????? ???? ?????? ( Lemeshow - Hosmer
(1989) ?????? ? Andrews (1988a, 1988b) ) ??????? ??????? ??????? ????? ?????? ??? ????????? ??? ???? ? . fitted expected values ?????
?
????? ?????? ????? ??? ???? .???????? ????? ?? (
?????? ??? ???? ??? ? .???????? ???? ? ??? ????? ????? ??? ?????? ???? ??????? ???? Andrews (1988a, 1988b) ?????? ??
?
???? ???? ??? Hosmer-Lemeshow (1989) .
) ??? ?????? ???? A-6 ??????? ???? ?? ????? ?????? ??? ?? ? .?????? ??????? ????? ???? ?????? ????? ( Andrews ???? ?????? ?????? ????? ?????? ??? ???? ? 1 % ???? ??????? ? ?
? ?????? ??????? .??????? ???? ?? ???? ????? ?? ?????? ??????? ?? ??
) ???????? ??????? ????? ?????? ????? Probit model ????? ???????? ? ?????? ???? :?? ????? ????? ???? ????????? ???????? ????????? ??? ?? ??? ??? ??????? ?? ?????? ???? ??? (
???? ?????? ?????? ?? .??????? ????? ?????? ???? ??? ??????? ?????? ?? ? .???????? ????? ? ???????? ????????? ? ???????? ??????? ???????? ? ???
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 31
3.4 ??? ?? ????????? ?????? ???? ????? 2012
??? ?? ?????? ?????? ??? 2012 )
?
????? ????? ???? ???? ??? 1999 - 2011 ????? ???? ? ( ??? ?? ???? ?? ????? ??????? ??? ?? ? .??????? ?????? ??? ??? ???? 2012 ?????? ??? ?????
???????? 66 % ) ?? ????? ??????? ??????? ?????? ???? ????? ??
††
1 US $ = 262.51 SD ??? ?? ( 2011 ) ??? 1 US $ = 442 SD ??? ?? ( 2012 ???????? ?? ?????? ????? ?? ? .
???? ?? ?????? ?????? .???????? ??? ?????? ??? ?? ????? ????? ????? 19 % ??? ?? 2011 ??? 34 % ?? 2012 ????? ??????) 79 % ????? ??? ???????? ????? ????? ? ( 2.7 % ???? ???
?? ?????? ? ???????? ????????? ?????? ? ?????? ????? ?? ????????? ????? ??? ???? ?? ???? ?? .??????? ???? ??????? ???????? ???
???? ???? ?????? .?????? ? ?????? ? ???? ????? ?? ? ?????? ???? ?????? ????? ???? ???? ??? ?????? ??????? ?????? ????? ?? .??????? ??? ? ?????? ????????? ??????? ???? ????? ?????
?????? ???? ????? ????? ?? ??? ??? ?? ??? ???? ? ?? ??? ?? ??? ??????? ??? ?? ???? ??????? ????? ???? ????? ???????? ??????? ??? ???????? ????????? ???????? ????? ???? ??????? ??
????? ??? ?? ?????? ?? ????? ??? ??????? ?? ?????? ????? ??? .?????? ????? ??? ???? ??? ???? ???? ? ????? ??? ??? ?????? ??? ??????? ? ???? .????? ??
?
?????? ???? ??????? ?? ????
.???? ?????
????? ????? ?? ??? ????? ??? .??????? ?? ?????? ?????? ???? ??? ???????
?
????
?
?????? ?????? ? ???? ????? ????? ?? ?? ???? ) ??????? ??? ?? ????? ??? ????? ???? Economic
fundamentals ?????? ??? ????? ??? ? ( ) ??????? ?????? ?? ?? ????????? ??????? ??? ???? ? .?????? ? Causality ? ?????????? ?????? ??? ??????? ??? ?? ????? ??
?
????? ???? (
? ?? ??????? ?????? ??? ?????? ????? ????? ?? ??? .?????? ?????? ?? ???? ???
?
???? ???? ???????? ??? ?? ????? .????????? ? ???????? ??? ??????? ?? ???? ?? ???? ?? ?
?
??? ???????? ?? ???
????? ?? ?? ?????? ???? ??????? ??? ???? ? .??????? ??????? ???? ??? ?????? ????? ??? ??????? ??? ? ????? ?????? ????? ???? ? ? ????????? ? ?????????? ?????? ??? ????? ????? ?????
????? .?????? ???? ???? ???? ????? ??? ??? ????????? ???? ??? ????? ?????? ???? ??????? ? ???????? ?????? ????? ??? ?????? ???? ?????? ?? ????? ??? ?????? ????? ????? ???
??? ???? ???? ??? ? ??????? ??? ?????? ???? ??????? ??? ? ??????? ?????? ?????? ? ??????? ? ????? ?????? ????? ???? ??????? ? ???????? ?????? ?? ???????? ??? ? ???????? ? ??????? ???
.??????? ?????
?? ????? ?????? ????? ??? ?????? ??? ????? .????? ??? ????? ????? ?????? ???? ????? ??????? ????????? ???????? ???????? ? ??????? ???? ????? ?????? ?????? ????? ? ????????
??????? ????? ??? .????? ??????? ????? ? ?????? ??????? ????? ????? ??? ???? ??????? ?????? ??????? ??? ? ???????? ??????? ? ????? ?? ????? ????????? ??????? ???? ? ?????????
????? ????? ??? ????????? ?????? ??? ??????? ??? ??? ?? ???????? ??????? ??? ???? ??? ??????? ????? ??? .???????? ??? ??? ? ???????? ??????? ????? ?? ????????? ????? ???? ???
?? ????? ???????? ????? ??? ?? ? .???????? ??? ??????? ????? ?????? ? ?????? ??? ?? ???????? ????? ????? ????? ???????? ??????? ?? ?????? ?? ??????? ?????? ????? ??
?
?????? ?
?
???
???? ????? ???????? ?????? ??? ??? ??? ??????? ?????? ????? ? ?????? ??????? ????? ?? ???? ???????? ??????? ????? ?? ?? ?? ?? ? ??? ??????? ?????? ??????? ???? ? ??????? ?????? ??
???? ????? ??? ????? ??? .?????? ?????? ??? ??? ?????? ???? ???? ????? ????? ????????? ???????? ??? ?? ???? ????? ?????? ???? ??? ??? ??? ???? ????? ????????? ????????
?????? ??? ?? ?? ?????? ?????? ??? ??? ?? ?? ?????? ?????? ???? ????? ???? ??? ???????? ??????? .????? ???????? ?
????? ??? ?? ??????? ?? ???????? ????? ??? ?? ? ?????? ??????? ???????? ???????? ??????? ??????? ????? ? ????? ?????? ?????? ??????? ???????? ????
?
?????
?
?????? ?????? ?? ?
????? ???????? ??????? ?? ? ?????? ? ?????? ??? ????? ???? ??? ?? ???????? ??????? ?? ??? ??? ????? ????? ?????? ??? ??? ?? ? .???? ??? ?????? ??? 2012 ??
?
???? ????? ??? ? .
????? ? ????? ??????? ??????? ?????? ?? ??????? ???? ???? ?? ?
?
????? ????? ? ??????? ??????? ???? ??? ???? ??????? ???? ?? ? ????? ? ??????? ????? ???? ?? ?????? ????? ????
? ? .????? ????? ????? ?? ? ??? ????? ??????? ???
?
????? ????? ????? ??? ????? ??? ?? ? .?????? ? ?????????? ?????? ???? ???? ???? ?????? ???? ???????? ???????? ? ????????? ??????? ??????? ??? ???
?? ??? ?? ????? .????????? ??????? ?? ????? ? ??????? ? ???????? ????? ???????? ???????? ????? ??????? ? ?????? ???????? ??? ???????? ?
??? ?? ????????? ?????? ?????? ??? ?? ? 2012 ????? ??? ?????? ? ?????? ???????? ????? ???? ? ??????? ? ?????? ???????? ??? ??? ??????? ???? ? ????? ????? ? ????????? ??? ? ?????????
.?????? ? ?????? ???? ?? ??????? ?? ???????? ? ?????? ???? ??? ????? ??? ????? ????? ??????? ??????? ???? ????? ? ???????
??????? ????? ???
?? ?????? ??? ?????? ??????? ??? ??????? ??? ?? ???????? ) ???? Signal approach ) ???????? ??????? ????? ? ( Probit Model ???????? ??? ???????? ? ????? ??? ?????? (
??? ??????? ??? ???? ????????? .?????? ??????
1 - ?? ??? ??????? ????? ??? ?? ????? ????? ????? ???? ????????? ???????? ??? 2012 ?? ??? ????? ?? ? ???????? ??????? ??????? ??? ????? ???? ?? ? .
?
????
?
??????? ?????? ??? ????? ???
) ?????? ?????? ??? ?? ?????? ??????? Signal approach ) ???????? ??????? ????? ? ( Probit Model ?? ??? ????? ? .??????? ??????? ????? ?? ?? ?????? ??? ?????? ???? ?? ? .( ?????
??? ?????? ?????? ? ????????? ????????? ???? ?????
?
?????
?
??????? ?????? ??????? ?? ?????? ???? ????? ???? ???????? ?? ?? 2 % ?????? ?? ?????? ??? ????? ??? ???? ??? ??? ?? ??? ??
.??????
2 - ?? ??? ??????? ????? ??????? ???????? ??? ?? ?????? ???? ??? ?? ????? ????? ????? ???? ?? 2012 ? ?? ?????? ??????? ??????? ??? ????? ???? ?? ? .
?
????
?
??????? ?????? ??? ????? ???
) ?????? ?????? ??? Signal approach ) ???????? ??????? ????? ? ( Probit Model ???? ?????? ? .( ?? ?????? ???? ????? ???? ?????? ?? ????? ?????? ?????? ?
?
??????? ????? ???????
.?????? ???? ??
3 - ??? ??? ?? ?????? ????? ?????? ?? ?????? ???? ??? ???????? ????? ???? ) ?????? ?????? Signal approach ( ? ??? ?????? ???? ?? ??? ? .????? ??? ? ???
?
?????
?
??????? ????? ???
????? ?? ?????? ) ???????? ??????? Probit Model .(?????? ??????? ??) ?????? (
4 - ?? ??? ?????? ???? ??? ?????????? ???????? ????????? ?? ??? ?? ?????? ???? ??? ??????? ?????? ?????? ?? ????? ???????? ??? ??? ???? ??????? ??) ??????? ??????? ????? ?? ?? ????
.(?????? ) ?????? ??????? ?? ?????? ??? ?????? ???? ?? ? 0.017 .???????? ??????? ?? ?????
?
????
?
???? ???? ???? ???????? ?? ?????? ??? ? .(
5 - ???? ????? ???? ?? ? ?????? ?????? ??? ?? ????? ???????? ??????? ???????? ??? ???? ?? ?????? ??? ?? ?????? ?????? ?? ) ???? Signal approach ???????? ??????? ????? ? (
) Probit Model ) ????? ?????? ?????? ? ( 0.02 ) ?? ???? ?????? ?????? ??? ??? ?? ? ????????? ??????????? ?????? ??????? ???????? ????? ???? ????? ???? ?????? ? .( 0.05 ???? ?? ??? (
? ?? ?????? ??????? ???? ?? .?????
??? ?? ??????? ?? ?????? ????? ????? ???? ???????? ??? ?? ???? ?????? ??????? ?? 2012 ???? ???????? ?????? ?????? ?? ????? ???????? ??????? ???? ????????? ????????? ???? :??
? ???????? ??????? ???????? ??? ???? ??????? ??????? ?????? ?????? ??? ??????? ??????? ?? ?????? ???? ????? ???? ?????? ????? ??? .???????? ????? ? ?????? ?????? ??? ?? ????
††
) ?????? ????? ???? SD ????? ( 0.10 .?????? ????
32 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
? ???????? ??????? ???????? ????? ? ??????? ?????? ?????? ?? ????? ???????? ????? ? ?????? ???? ????? ? ????????? ????????? ?? ? ???????? ????? ?????? .???????? ????? ??
????? ?? ????????? ?????? ???? ?????? ?? ????? ???? :
??? ?? ?????? ???? ????? ??? ???? ??? ?????? ????? ?? ?????? ????? ?? ?????? 2012
?
????? ?????????? ???????? ?????? ??? ? ???????? ?? ????? ?????? ???? ?? ??????? ??
????? ???? ???? ?? ?????? ???? ???? ?? ??? .???? ?? ??? ? ?????? ?????? ??? ???????? ??????? ????? ??? ??????? ???? ??? ??????? ??????? ??? ?? ??? 2012 ???? ??????? ?? ??? ??
? ?????? ??? ?????? ??? ?? ?????? ?? ????? ??? ? .????? ?? ?????? ?? ????? ?? ??? ?????? .???????? ??????? ??? ?????
?
????? ???? ?? ?????? ????? ?? ?????? ????????? ?????? ???? ?? ?
?? ???? ? .??????? ?????? ???? ?? ??????? ???? ? ??????? ? ???????? ?????? ? ??????? ?????? ?????? ?? ???? ??? ????? ??? ?????? ? ???????? ???? ?? ?????? ??? .??????? ?? ?
??? ?? ??????? ?? ?????? ???? ??? ???? 2012 ?????? ?? ???? ?? ???) ???????? ????????? ????? ? ???????? ?????? ??? ???? ??????? ???? ???? ?? ???? ??? ?????? ?????? ???? .(???????
?????? ?? ??????? ??? ?????? ?????? ??? ???? ????? ?? ????? ? ??? ????? ??? ?????? ???????? ??????? ????? ??? ?
?
???? 2014 .
??? ?? ??????? ?? ?????? ???? ??? ?????? 2012 ???? ??? ???? ??????? ???? ????? ????? ? ???? ?? ????? ??? ???????? ?? ?? ???? ???? ????????? ?????? ?? ???? ?????? ?????? ????? 66 %
?? ?????? ?? ??????? ???? ???? ??? .???? ??? ?? ??????? ?????? ?????? ???? ??? ? ??????? ?????? ??? 54.6 % ??? ?? ????????? ?????? ???? ?? 1994 ???? ? ? 26.7 % ?????? ???? ??
??? ??????? 1998 ???? ? ? 24.3 % ??? ?????? ?? 1997 ???? ? ? 60.1 % ??? ???????? ?? 1999 ????? ? . ???? ?????? 100 % ??? ?? ??????? ?? 1997 .
??? ?? ??????? ?? ?????? ???? ??? ???? ???? ????? ???????? ?? ? 2012 ?? ???????? ??????? ???????? ??????? .???????? ????????? ?? ?????? ???? ? 1651 ??? ?? ???? ????? 2011
??? 262 ??? ?? ???? ????? 2012 ????? ?? ? 84 % ??? ?? ?????????? ?? ???? ???? ?????? ?? ???? ????? ? ????? ???? ??? ? . 1998 ??? ???? ??? 88 % ???? ?? ? ???? ??? ?? 111 %
.????? ??? ??
????? ???????? ?? ??????? ????? ??????
????? ????? ?? ??????? ??? ????? ????? Blaszkiewicz (2000) ) ?????? ?? ???? ??? ?? ?????? ????? ??? ????? ???? ? 1997 - 1998 ?? ??????? ?????? ????? ??? ???? ???? ? (
) ??????? Economic Fundamentals ?? ??????? ?? ??????? ???? ?? ???? ? ???????? ????? ????? ? ??????? ??????? ??? ????? ???? ?? ???? ?????? ????? ? ( ????? ??? .??????? ?? ??????
Jakubiak (2000) ??????? ?????? ?? ????? ?? ?????? ??? ????????? ?????? ????? ??? ???? ?? ??
?
????? ???????? ????????? ??? ????? ??? ???? ??? ? ???? ??????? ??? ? .???? ??? ? ?
.??????? ??????? ????? ?????
????? ?? ?????? ????? ) ??????? ??????? ??? ?????? ?????? ???? ??? Fiscal Imbalances ????? ??? ?????? ???? ? ( Kaminsky and Reinhart (1999) ???? ???? ??? ??? ???? ?
.????????? ???? ?????? ????? ??? Aziz et al (2000) ???? ? ??????? ??????? ??? ?????? ?? ??? ????? ??? ? ??? ?????? ???? ??? ??????? ??????? ?? ??? .????? ???? ?????? ?? ??????? ???????
???????? ??????? ???????? ???? ?????? ???? ??? .
4 ??????? .
??? ?? ????????? ?????? ???? ??????? ??? ?? ?????? 2012 ???????? ??? ??? ??? .?????? ???? ????? ???? ????? ???? ?????? ???? ???? ????????? ???????? ??? ???? ?????? ???? ?? ? .
??? ???? ?? ??????? ????? ? .????????? ????????? ? ????? ????? ??? ????????? ????? ?? ??????? ?? ?????? ???? ????? ?????? ????????? ??????? ???? ????? ??? ????? ? ???? ? .???? ?????
???? ??????? ?? ????? ?? ??????? ?? ???? ?? ? .???? ?????? ?? ??????? ??? ????????? ??????? ???? ??????? ?? ?????? ???? ????? ?????? ?? ?????? ?? ?? ??????? ?????? ????? ? ??????? ? ?
?.??????? ? ????????? ??????? ???? ????? ?? ???
?
???? ???? .???????? ??????? ?????? ?? ?
? ?????? ?????? :??? ?????? ???? ?????? ???????? ???????? ??? ?? ???????? ?? ? ) ???????? ??????? ????? Probit Model ??? ? .( ????? ????? ???? ??????? ??? ?? ?????? ?????? ????? ??
??? ?? ??????? ?? ?????? 2012 ? ????????? ????????? ??? ??????? ??????? ?????? ?????? ??? ???? ???????? ?????? ?????? ?? ????? ???????? ??????? ???? :?? ??????? ???????? ??? ???
?? ?? ????? ???????? ) ???????? ??????? ????? ????? ??? .???????? ????? ? ?????? ?????? ? Probit Model ?? ???? ??? ( ???? ?????? ????? ??????? ?? ?????? ???? ????? ???? ??????
?? ? ???????? ????? ? ???????? ??????? ???????? ? ??????? ?????? ?????? ?? ????? ???????? ? ?????? ??? ?? ????? ??? ??? ???????? ?????? ?????? ??? ???? ??? .???????? ????????? ?????
.???????
??? ???? ??? ???????? ????????? ?????? ??????? ?? ?????? ???? ????? ????? ???? ????????? ???????? ??? ?? ?? ??????? ???? ? ?? ????? ???????? ??????? ?? ??????? ???? ???? ? .????
?? ???? ??? ??? ????? ???? ??????? ??? .???? ?????? ? ???????? ??? ???? ???? ????? ????????? ?????? ?? ???????? ??? ??????? ??? ?? ?????? ????? ??? ???????
?
?????? ?????? ????? ?
2012 ???? ??? ? ??????? ?? ????? ??????? ??? ???? ??? ? ??? ?????? ??????? ??????? ?????? ????? ???? ??? ??? ???? ??? ??????? ????? ????? ?? ?? ??? ? .?????? ? ?????? ????
????? ????? ????? ??????? ???? ???? .??????? ????? ?? ???? ???????? ??????? ?????? ??? ????? ????? ??? ????? ??? ???? ????? ?? ? ?????? ???????? ? ???????? ????? ??
????? ????? ? ?????? ? ?????? ??????? ?????? ??????? ??? ?? ??????? ???? ??? .?????? ???? ????? ???? ??????? ??????? ??????? ???? ???? ?????? ????? ?????? ???? ? ???? ????? ???
????? ?? ???? ?????? ?????? ?????? ? ????????? ??????? ?????? ?????? ????? ??? ???????? ?????? ? ??????? ?????? ????? ??????? ????? ??? .????? ? ??????? ?????? ? ??????? ?????? ??
.???????
????? ?? ????? ?????? ??? ? ??????? ? ?????? ???? ???????? ????? ????? ?? ??? ??????? ??????? ???
?
????? ? ???????? ???? ?? ????? ??? ? .?????? ???? ???? ??? ?? ???? ????? ???????
?? ????? ?????? ????? ??? ??????? ????? ????? ??? ????????? ??????? ??????? ??? ?????? ????? ??? ?? ? ?????? ??????? ??????? ???? ????? ? .(??????? ???? ???? ????) ???
?? ??? ????? ??? ???????? ??????? ?????? ????? ????? ? ??????? ?? ?????? ???? ????? ????? ?????? ?????? ??? ? ??????? ?? ???????? ????? ?????? ????? ? ???????? ?????? ????? ? ?????
.?????? ? ?????? ??????? ????? ? ???????
??????? ??? ?????? ?? ?????? ??????? ????? ???? ???? ? ??? ??????? ???????? ???? ??? ????? ?????? ???? ????? ???? .???? ??????? ???? ??? ? ???????? ??????? ?? ???????? ?? ?
??????? ????? ??? ???????? ?? ????? ??? ??? ? .??? ???? ????? ????? ? ????? ???? ??? ????? ?? ??????? ???????? .
?? ????????? ? ? ???????? ??????? ?????? ?????? ??????? ?? ???? ?? ???? .??????? ???????? ??? ????? ????? ??? ??????? ?? ?????? ??????? ?? ??????? ??????? ??? ?????? ???? ???? ??
.??????? ??? ???????? ???????? ? ???????? ??????
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Kaminsky, G. and Reinhart, C. (1999). The Twin Crises: the Causes of Banking and Balance-of Payments Problems. American Economic Review, 89(3), 473–500.
Kaminsky, G., Lizondo, S. and Reinhart, C. (1998). Leading Indicators of Currency Crises. IMF Staff Papers, 45(1), 1–48.
Kruger, M., P.N. Osakwe and J. Page (1998). Fundamentals, Contagion and Currency Crises: An Empirical Analysis. Bank of Canada Working Paper, No. 10.
Krugman, P. (1979). A Model of Balance of Payments Crises. Journal of Money, Credit and Banking, No. 11, pp. 311-325.
Krznar.I. (2004). Currency Crisis: Theory and Practice with Application to Croatia. Croatian National Bank Working Paper no. 12. ISSN 1331–8586, August 2004.
Kumar, M., U. Moorthy and W. Parraudin (2002). Predicting Emerging Market Currency Crashes. IMF Working Paper, No. 7.
Laeven, L. and F. Valencia, 2008. Systemic Banking Crises: A New Database. IMF Working Paper, No. 08/224.
Milesi-Ferretti, G. M. and Razin, A. (1998). Current Account Reversals and Currency Crisis: Empirical Regularities. IMF Working Paper, 98/1306620.
Obsfeld, M. (1994). The Logic of Currency Crises. Cahiers Economiques et Monetaires, Banque de France, No. 43, pp. 72-81.
Obsfeld, M. (1996). Models of Currency Crises with Self-fulfilling Features. European Economic Review, No. 40 (3-5), pp. 1037-1047.
Obstfeld, M. (1986). Rational and Self-fulfilling Balance-of-Payments Crises. American Paper, 03/230.
Sachs, J., A. Tornell and A. Velasco (1996). Financial Crises in Emerging Markets: The Lessons from 1995. NBER Working Paper, No. 5576.
The Center for Systemic Peace (CSP), Armed Conflict and Intervention (ACI) Datasets, www.systemicpeace.org andhttp://www.systemicpeace.org/inscr/inscr.htm
World Bank. World Development Indicators, Washington, D.C: World Bank.
???? 1 - ) ?????? ?????? Signal Approach ( .
Source of data: Authors’ calculation
-250
-200
-150
-100
-50
0
50
100
150
Graph (A-1): Foreign Exchange Market
Pressure Index (FEMPI)
?????? ????? ??? ??? ???? Threshold
34 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
Source of data: CBOS Annual Report, Different Issues
Source of data: WDI
Source of data: WDI
0
0.2
0.4
0.6
0.8
1
1.2
Graph (A-2): Inflation rate percentile
distribution
?????? ???? Threshold
0
0.2
0.4
0.6
0.8
1
1.2
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Graph (A-3): Import as % of GDP Percentile
Distribution
???????? / ??????? ?????? Threshold
0
0.2
0.4
0.6
0.8
1
1.2
2000200120022003200420052006200720082009201020112012
Graph (A-4): GDP Annual Growth Rate Percetile
Distribution
???????? ????? ???? Threshold
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 35
Source of data: IMF IFS
???? 2 - ) ???????? ??????? ????? Probit Model Results ( .
???? ???????
Dependent Variable: Y
Method: ML - Binary Probit (Quadratic hill climbing)
Sample: 1980 2012
Included observations: 33
Convergence achieved after 5 iterations
QML (Huber/White) standard errors & covariance
Variable Coefficient Std. Error z-Statistic Prob.
C -4.959052 3.014892 -1.644852 0.1000
INF 1.488842 0.806294 1.846524 0.0648
LRESERV -0.503359 0.221550 -2.271986 0.0231
LIMP 1.891431 0.944290 2.003020 0.0452
CLAIMS 0.599557 0.325683 1.840923 0.0656
GR 3.446659 7.242427 0.475898 0.6341
McFadden R-squared 0.307100 Mean dependent var 0.181818
S.D. dependent var 0.391675 S.E. of regression 0.361616
Akaike info criterion 1.020698 Sum squared resid 3.530684
Schwarz criterion 1.292790 Log likelihood -10.84152
Hannan-Quinn criter. 1.112249 Deviance 21.68304
Restr. Deviance 31.29319 Restr. log likelihood -15.64660
0
0.2
0.4
0.6
0.8
1
1.2
2000200120022003200420052006200720082009201020112012
Graph (A-5): Intrnational Reserves Growth
Percentile Distribution
???????? ????????? ??? Threshold
0
0.2
0.4
0.6
0.8
1
1.2
2000200120022003200420052006200720082009201020112012
Graph (A-6): Claims on Government (% of
Broad Money) Percentile Distribution
??????? ???????? / ?????? ??? Threshold
36 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
LR statistic 9.610154 Avg. log likelihood -0.328531
Prob(LR statistic) 0.087066
Obs with Dep=0 27 Total obs 33
Obs with Dep=1 6
) ??? ???? A-1 ( .
?????? ???????
Dependent Variable: Y
Method: ML - Binary Probit (Quadratic hill climbing)
Sample: 1980 2012
Included observations: 33
Convergence achieved after 5 iterations
Covariance matrix computed using second derivatives
Variable Coefficient Std. Error z-Statistic Prob.
C -6.105887 3.313531 -1.842713 0.0654
INF 0.018269 0.010085 1.811563 0.0701
LRESERV -0.506272 0.260148 -1.946094 0.0516
LIMP 2.260247 1.143382 1.976808 0.0481
CLAIMS 0.006581 0.005351 1.229740 0.2188
POL 0.692578 0.944834 0.733016 0.4635
McFadden R-squared 0.342130 Mean dependent var 0.181818
S.D. dependent var 0.391675 S.E. of regression 0.351626
Akaike info criterion 0.987480 Sum squared resid 3.338308
Schwarz criterion 1.259572 Log likelihood -10.29342
Hannan-Quinn criter. 1.079031 Deviance 20.58684
Restr. Deviance 31.29319 Restr. log likelihood -15.64660
LR statistic 10.70635 Avg. log likelihood -0.311922
Prob(LR statistic) 0.057523
Obs with Dep=0 27 Total obs 33
Obs with Dep=1 6
) ??? ???? A-2 (
?????? ???????
Dependent Variable: Y
Method: ML - Binary Probit (Quadratic hill climbing)
Sample: 1980 2012
Included observations: 33
Convergence achieved after 5 iterations
QML (Huber/White) standard errors & covariance
Variable Coefficient Std. Error z-Statistic Prob.
C -7.024521 3.527256 -1.991498 0.0464
INF 0.019397 0.008999 2.155428 0.0311
LRESERV -0.502683 0.203221 -2.473582 0.0134
LIMP 2.459962 1.095126 2.246282 0.0247
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 37
CLAIMS 0.660982 0.311320 2.123158 0.0337
GR 5.779862 6.938518 0.833011 0.4048
POL 1.002440 1.049153 0.955476 0.3393
McFadden R-squared 0.362166 Mean dependent var 0.181818
S.D. dependent var 0.391675 S.E. of regression 0.360109
Akaike info criterion 1.029086 Sum squared resid 3.371643
Schwarz criterion 1.346527 Log likelihood -9.979926
Hannan-Quinn criter. 1.135896 Deviance 19.95985
Restr. Deviance 31.29319 Restr. log likelihood -15.64660
LR statistic 11.33334 Avg. log likelihood -0.302422
Prob(LR statistic) 0.078605
Obs with Dep=0 27 Total obs 33
Obs with Dep=1 6
) ??? ???? A-3 (
?????? ???????
Dependent Variable: Y
Method: ML - Binary Probit (Quadratic hill climbing)
Sample: 1980 2012
Included observations: 33
Convergence achieved after 6 iterations
QML (Huber/White) standard errors & covariance
Variable Coefficient Std. Error z-Statistic Prob.
C -7.436029 3.480070 -2.136747 0.0326
INF 0.017840 0.010089 1.768233 0.0770
LRESERV -0.621626 0.181159 -3.431373 0.0006
LIMP 2.503044 1.051192 2.381149 0.0173
CLAIMS 0.683213 0.286492 2.384757 0.0171
GR 10.16280 8.258181 1.230634 0.2185
COUP 0.531351 0.290325 1.830191 0.0672
McFadden R-squared 0.501964 Mean dependent var 0.181818
S.D. dependent var 0.391675 S.E. of regression 0.311815
Akaike info criterion 0.896519 Sum squared resid 2.527948
Schwarz criterion 1.213960 Log likelihood -7.792570
Hannan-Quinn criter. 1.003329 Deviance 15.58514
Restr. deviance 31.29319 Restr. log likelihood -15.64660
LR statistic 15.70805 Avg. log likelihood -0.236138
Prob(LR statistic) 0.015410
Obs with Dep=0 27 Total obs 33
Obs with Dep=1 6
) ??? ???? A-4 (
???????? ???? - (??????? ????) ?????? Expectation-Prediction Table
Expectation-Prediction Evaluation for Binary Specification
Success cutoff: C = 0.5
38 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
Estimated Equation Constant Probability
Dep=0 Dep=1 Total Dep=0 Dep=1 Total
P(Dep=1)C 1 4 5 0 0 0
Total 27 6 33 27 6 33
Correct 26 4 30 27 0 27
% Correct 96.30 66.67 90.91 100.00 0.00 81.82
% Incorrect 3.70 33.33 9.09 0.00 100.00 18.18
Total Gain* -3.70 66.67 9.09
Percent Gain** NA 66.67 50.00
Estimated Equation Constant Probability
Dep=0 Dep=1 Total Dep=0 Dep=1 Total
E(# of Dep=0) 24.69 2.55 27.24 22.09 4.91 27.00
E(# of Dep=1) 2.31 3.45 5.76 4.91 1.09 6.00
Total 27.00 6.00 33.00 27.00 6.00 33.00
Correct 24.69 3.45 28.14 22.09 1.09 23.18
% Correct 91.44 57.53 85.28 81.82 18.18 70.25
% Incorrect 8.56 42.47 14.72 18.18 81.82 29.75
Total Gain* 9.62 39.35 15.03
Percent Gain** 52.93 48.09 50.51
*Change in "% Correct" from default (constant probability) specification
**Percent of incorrect (default) prediction corrected by equation
) ??? ???? A-5 (
doc_118679901.pdf
The Sudan currency crisis in 2012 occurred when the Sudanese pound lost 66 percent of its value against
the US dollar. In this article we adopt statistical methods such as the signal approach and econometric
methods such as the Probit Model for identifying and evaluating the currency crisis. We utilize some
economic indicators that have the ability to predict the crisis. We examined the capability of these
indicators in generating an early warning system for Sudan currency crisis. The study confirms that the
incidence of currency crisis in Sudan increases by increase in inflation rate, increase in import percentage
of GDP, rise in claims against the central government, reduction in external reserves and existence of
political crisis. Moreover, the study finds that the most important predictor of currency crisis in Sudan is
decline in external reserves
2214-4625/$ – see front matter © 2015 Holy Spirit University of Kaslik. Hosting by Elsevier B.V. All rights reserved.http://dx.doi.org/10.1016/j.aebj.2015.02.002
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
Contents lists available at ScienceDirect
ScienceDirect
j our nal homepage: www. el sevi er. com/ l ocat e/ aebj
HOSTED BY
Arab Society of
Faculties of Business,
Economic & Political
Sciences
* Alamedine Bannaga. Tel.: 00249911103364;
E-mail address: [email protected]
Peer review under responsibility of Holy Spirit University of Kaslik.
?????? ???? ????????? ?? 2012 : ????? ????? ?
Currency Crisis in Sudan in 2012: An Econometric Analysis
Dr. Alamedin Bannaga*
Univeristy of Sudan for Sciences and Technology – Khartoum - Sudan
A R T I C L E I N F O
Article history:
Received 15 October 14
Received in revised form 14 Feruary
15
Accepted 24 February 15
:?????? ???????
?????? ????
???????
????? ????
????????? ????????
Keywords:
Currency crisis
Sudan
Exchange rate
Empirical evidence
????
?????? ???? ???? ??? ?? ????????? 2012 ???????? ?????? ??? ????? 66 .??????? ?????? ???? ????? ?? ?????? ?? ?? ???????? ?? ?
) ?????? ?????? ??? ?????? ??????? ??? ??????? ??? Signal approach ? ( ) ???????? ??????? ????? Probit Model ( ??????
?? ??? ? ??? ???? ??? ???????? ???? ????? ?? ???????? ??? ????? ??????? ? ?????? ?????? ??? ??????? ??? ???? ????????? ????
? .????? ????? ???? ????? ???????? ? ?????? ???? ?????? ????? ??????? ?? ?????? ???? ????? ???? ?????? ?? ??????? ???? ??
???? ?? ????? ? ??????? ?????? ?? ?????? ??? ???? ??? .???????? ????????? ??????? ? ???????? ????? ? ???????? ??????? ????????
.????? ??? ??? ???????? ?????? ? ????????? ?????? ?? ??????? ?? ?????? ???? ????? ????? ???? ??? ?? ??????? ?????
.????????
ABSTRACT
The Sudan currency crisis in 2012 occurred when the Sudanese pound lost 66 percent of its value against
the US dollar. In this article we adopt statistical methods such as the signal approach and econometric
methods such as the Probit Model for identifying and evaluating the currency crisis. We utilize some
economic indicators that have the ability to predict the crisis. We examined the capability of these
indicators in generating an early warning system for Sudan currency crisis. The study confirms that the
incidence of currency crisis in Sudan increases by increase in inflation rate, increase in import percentage
of GDP, rise in claims against the central government, reduction in external reserves and existence of
political crisis. Moreover, the study finds that the most important predictor of currency crisis in Sudan is
decline in external reserves.
© 2015 Holy Spirit University of Kaslik. Hosting by Elsevier B.V. All rights reserved.
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 23
1 . ?????
??? ?????? ?? ??????? ? ???????? ????? ?? ?????? ???? ?? ? .
?
????? ?
?
????? ?????? ?????? ?????? ????? ???? ?????? ???? ????? ) ???? ?????? ???? ?????? ?????? ??? ???? ?? ? .??? Bretton
Woods System ( ) ?????? ?? 1971 - 1973 ) ??? ?? ???????? ?? ????????? ?????? ???? ?( 1976 ) ???????? ????? ??? ???? ???? ?( European Exchange Rate Mechanism ????? ?? (
) 1992 / 1993 ?( ) ????? ?? ??????? ???? ?????? 1994 / 1995 ) ????? ?? ??????? ?????? ?????? ?( 1997 / 1998 ?????? ?( ) ????? ?? ??????? ?????? 1998 ?????? ?? ??????? ?????? ?????? ?(
) 1994?2001 ) ??? ?? ???????? ???? ?????? ?( 2002 ) ??? ?? ???????? ??????? ????? ????? ???? ???????? ????????? ? ( 2008 .(
???????? ??????? :??????? ?????? ????? ????? ??? ?? ????? ?? ????? ) ??????? ?????? ???? ?????? ??????? ? Overvaluation ??? ??? ??? ???? ????? ?????? ?????? ????? ?? (
? ?????? ????? ?? ??????? ????? ?????? ??????? ???????? ???? ???????? . ?????? ??? ? ???????? ?? ?????? ????? ???????? ????? ??? ?????? ??? ?? ???? ???? ? ???????? ????? ?
?????? ??? ????? ?????? ????? ???? ? ????? ???? ?????? ?? ? ???? ????????? ?????? ?? ????? ???? ????? ??????? ??? ???? ??????? ??????? ???????? ?????? ?????? ?? ????? ????????
??????? .?????? ? ?????? ????? ??? ??? ??? ?????? ????? ???? ??? ??????? ???????? ???????? ??????? ?????? ?????? ??? ?? ?????? ???? ???? ?? ??? ? .?????? ????????? ???????? ?????
?? ?????? ????? ????? ??? ????? ?? ????? ??? ) Devaluation ???? ??? ??????? ??? ????? ?? ? ?( ??? ? ????? ????????? ?????? ??????? ??? ??????? ?? ? .?????? ?????? ???? ?????
?????? ???? ???? ??? ????????? ??? ???? ???? ????? ???? ??? ??? ?????? ???? ?????? ???? ???? ????? ? .??????? ?????? ??
?
??????? ???? ? ???????? ????? ??? ?????? ????? ??? ?????
???? ?????? ????????? ???????? .??????? ??? ? ?????? ? ??????? ??
??? ??
?
?????
?
????????
?
?????? ??????? ???? 2012 ?????? ???? ????? ? ??????? ?????? ? ?????? ?????? ? ??????? ? ??????? ??????? ????? ?? ???? ? ??? ?????? ???? ???) ????? ????
??? ??? ?? ? .(??????? ?? ?????? ????? ?? ???? ?????? ???? ????? ? ????? ?? ??????? ????? ????? .????? ??? ?? ????????? ?????? ??? ??? ?????? ????????? ??????? ????? ??? ?? ???? 2012
?? ????? ????? ?? ???????? ? ????? ????? ?????? ???????? ??? ? ??? .?????? ????? ????? ????
????? ??????? ?????? .(???? ??????? ? ????? ?? ?? ? ??????? ????? ??????? ??? ?? ?
?
?????? ???????? ?????? ?????? ??? ?? ) :?????? ?? ?
??? ?? ???????? ?????? ??? ??? ?? ??????? ??????? ?? ??????? ????? ????? ???? ? ? 2013 ? 2014 ?? ??????? ?? ???????? ??????? ????? ??? ?? ? ?? ?????? ? ????? 2014 ???? ? .
??? ??????? ???? ? ????? ????? ?????? ??????? ??? .??????? ?? ??????? ????? ?? ?????? ?????? ???? ??? ?? ??????? ????? ???? ????? ??? ??? ??????? ?? ?????? ????? ????? ???? 25
) ??????
?
??? ?
?
????? Laeven and Valencia, 2008 ???? ??? ( ??? ????? ??? ?? ???????? ?????? ?????? ?? ????? ??? ?? ? .??????? ??? ????? 2013 .??????? ???????? ??? ???
? ??????? ??? ???? ??? ??? ?? ????????? ?????? ???? ????? 2012 ???????? ??? ?? ??????? ?????? ?????? ?????? ????? ? ???? ???? ?? ? .????????? ????????? ? ??????? ????? ?
????? ???? ???? ???? ?????? ?? ????????? ) ???????? ??????? ????? ???????? ? Probit Model ???? ?????? ( ??????? ?? ?????? ???? ???? ???????? ? ????????? ??? ??? ?? ?????? ?????? ? .
????? ? ??????? ????? ????? ? ??????? ?? ?????? ???? ????? ?????? ?? ????????? ???????? ??? ????? ??? ????? ?? ??????? ??? ?? ?? ???????? ??????? ?????? ???? ???
.????? ???
? ? ?? ?? ? .?????? ????? ??? ???? ?? ?? ????? ??? ???? ??
?
????? ? .?????? ???? ?? ????? ? ???? ???? ???? ????? ?????? ???? ??? ???? ??? ?? ?????? ?? ?????? ???? ???? ????
????????? ??? ???? ??? ????? ??? ??? ?????? ?????? ?????? ????? ???????? ?? ??????? ? ?? ?????? ?????? ???? .????? ?????? ????? ??? ???? ?? ?????? ??????? ??? ??????
?? ????????? ??? ????? ??????? ????? ???? ? .???????? ?????? ???? ? ?????? ? ?????? ???????? ? ??????? ?????? ??? ?????? ??????? ? ??????? ?????? ???? ?????? .?????????? ??? ???????
??????? ??? ???? ??? ???? ? .??????? ? ?????? ?????? ???? ????? ????? ??? ?????? ?? ??????? ??? ????? ??? ?? ?????? ?????? ?????? ???? ?????? ??????? ????? ?? ?????? ????? ????????
??? ??? ??? ???????? ????????? ???? ??? ?? ???? ???? ? ??????? ????? ? .?? ?? ???? ?? ?????? ????? ????? ???) ?????? ???? ???? ????? ?? ??? ?????? ????? ???????? ?? ???? ?????
??? ????? ???? ????? ?????? ???? ??????? ?????? ???? ????? ??? ????? ????? ?? ? .?????? ?????? ?? ????? ??????? (???????? ? ??????? ????? ? ?????? ? .????????? ????? ??? ?????? ?? ??
??? ????? ??
?
?????? ???? ?? ????? ??? ???? ???????? ??????? ???
?
??????? ????? ???????? ????????? ??????? ??? ????? ??? ) ????? ???
?
????? ????? ???? ??? ???????? ?? Milesi-Ferretti
and Razin, 1998; Gupta et al, 2003 ???????? ?????? ?? ??????? ??? ???????? ????? ???? ??? ??????? ??????? ?? ?????? ???????? ??? ???? ??? ???? ??? ????? ? .( ????? ???
) ?????? ?? ??????? 1997–98 ?( ) Glick and Hutchison, 2011 .(
? ??????? ??????? ?????? ?? ????? ??? ?? ????? ??? ??? ?? ????? ??? ?? ????????? ?????????? ????? ? .??????? ? ?????? ????????? ?? ????? ?????? ?? ???? ??? ???? ????? ??? ?
) ???????? ?????? ????? Economic adjustment ? ??????? ? ????? ????? ?????? ??????? ???? ?????? ????? ????? ??? ????? ??? ???? ??? .( ??? ????? ??????? .??????? ?????????
????? ???? ?????? ??? .???????? ??????? ????? ? ??????? ??????? ??? ?????? ??? ????????? ?????? ?? ?????? ?????? ?? ????? ????? ??????? ? ????? ?????? ????? ??? ????? ???
? ???? ????? ????? ?? ? .??????? ???????? ?? ????? ??? ????? .??????? ? ??????? ????? ??? ??????? ?????? ????? ? ????? ?????? ????? ?????? ????? ??? ????? ??? ???? ?? ????? ????
??????? ??? ??????? ????? .???????? ? ??????? ????? ????? ??? ???? ? (???????? ?????? ??????? ????? ????? ??????) ??????? ? ??? (???????? ?????? ??????? ????? ????? ??????) ????????
) ??? ?????? ?????? ??? ?? ????? ??? ? .??????? ????????? ????? ??? ?????? the Marshal Lerner condition ????????? ????? ????? ?? ????? ??? ????? ???? ?? ???? ???? ? (
????? ??? ) ??????? ????? ?? ????? ?? ??? ?????? ?????? ?? ???? ?????? ?? ???????? ? ???????? ?????? ????? ??? The elasticity approach ???? ???????? ?? ? .( ? ???? ????
) ???????? ????? ????? ??? ????? ????? Absorption Approach ???? ?? ??? ????? ? ??????? ??????? ? ( ?? (Cook and Kirkpatrick, 1990) .
)) ??????? ?????? ??????? ?? ???? ?????? .????? ??? ???? ????? ?????? ???? ??????? ??????? ??? ???? Krugman (1979 ?? ????? ???? ??????? ??? ????????? ???????? ?? ????? (
?? ????? ?????? .??????? ????? ?? ?????? ???? ???? ????? ???? ????? ???? ??????? ?? ? .??????? ????????? ????? ?? ????? ???? ?????
?
???? ?????? ?????? ??????? ?? ???? ??? ???? ??????
?
????? ? ?????? ??? ) ?????? ?? ??????? ???? ?????? ?????? ??????? ??? ???? ?? ?? ? .?????? ????? ??? ???? ?????? 1973 - 1982 ) ?????? ?? ???????? ? ( 1978 - 1981 )) ?( Glick and
Hutchison (2011) and Krznar (2004 ???????? ????? ??? ??????? ????? ????? ?? ?????? ????? ??? .( Obstfeld ) 1986 ? 1996 ??????? ????? ?? ?????? ?? ????? ?( ??? ?????? ???
???? ????? ??? ??? ) ????? ????? ????? Multiple equilibria ??????? ??? ???? ? .( ??? ?????? ???? ????? )
?
????? ????? ???? Self-fulfilling ?????? ???? ???? ?? ???? ????? ?( ???? ???
?? ? .????? ?????? ???? ????? ?? ?????? ????? ??? .?????? ????? ??????? ?? ??????? ? ?????? ?? ?????? ????? ????? ?? ??????? ??? ??????? ???? ???? ???????? ? ??????? ?????? ??? ?????
???? ????? ?? ??? ???? ) ?????? ????? ??? ?????? ??? ?? ? .?????? Moral hazard ? ( ) ??????? ?????? ?????? Contagion ??? ?????? ? ??????? ???? ??? ??????? ???????? ??????? ??? ?? (
????? ?????? ????? ?????
*
.
*
Aghion, Bacchetta, and Banerjee (2001), Chang and Velasco (2001), Burnside, Eichenbaum, and Rebelo (2001 and 2004).
24 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
??????? ???? ? ????? ????? ?? ?????? ???? ?? ?????
) ??? ?????? 1 ??????
?
???? ???????? ???????? ?????? ? ?????? ????? ???? ( ) Laeven and Valencia, 2008 ? ????? ??? ??????? ??????? ?????) ??????? ???? ? ????? ????? ?? (
) ?????? ?? (????? 1970 - 2008 ?? ????? ??????? ??? ?? ? ? ( 16 ?????? ???? ???? ??? ?? ? .?????? ??? ?? ?????? ??? ?? ???? ?? ??????? ??? ???? ????? ?? ?? ???? 25 ?? ? .??????? ?? ???
???? 13 ?????? ?????? ??? ????? ??? ?????? ???? ??????
?
????? ????? ???? ??? .?????? ???? ?? ???? 5 ??????? ?????? ??? ??????? ? ????? ?? ?? ????? ????? 3 ???? ??? ????
??? ???? ??? ?????? ?? ??????? ???? ?? ?????? ?????? ? .??????? 2012 ??? ????? ?? ???? ??? ????? ???? ?????? ? 2012 ??? ????? ? 2013 .????? ??? ??????? ???????? ??? ???
) ??? ?????? ?? ??????? ???????? ???????? ?????? ??????? ??? 1 ????? ??? ??? ?( 12 ) ?????? ??? ???? 1970 - 2008 ?? ???? ???? ????? ??? ??? ? .?????? ????? ??? ??? ?? ??? ???? ?? ?(
??????? ?????? ?????? ??? ?? ??? ?????? ?????? ????? ?? ????? ?? ? ???? ????? ??? ???? ????? ?? ????? ?? ? ?????? ?????? ????? ?? ???? ???? ????? ??? .????? ? ??????? 3 ???
) ??? ?????? ?? ????? .???? ? ?????? ? ?????? ?? 1 .??????? ??? ???? ??
?
????? ????? ?? ?????? ????? ?? ?(
????? ??????? ????????? ???????? ?? ?????? ????? ???? ?????? (?????? ? ?????? ? ???? ?????) ?????? ?????? ???? ????? ?? ?? ?? ?????? ??? .???????? ????? ?? ?????? Blanco and Garber
(1986), ?????? ?? ????????? ?????? ????? ?????? ???? ????? ????? 1976 ? 1981 - 1982 ?? ????? ???? ???????? ?? ????? ?? ? ? ? .(?????? ??????) ????? ??? ????? ??? ?????? ?????? ?
???? ??? ????? ????? ?????? ???? ????? ?? ??? ?? ??????? ??? ?? ?? ????? ??? ??? ) ?????? ????????? Fundamentals ?????? ??
?
?????? ???? ?????? ?? ????? ???? ?? ??????? ??? ??? ?(
.???????
??????? ? ) ????????? ??????? ?????? ????????? ???????? ??? Probit and Logit ?? ?? ????? ???????? ??? ?? .????????? ?? ?????? ???
?
??????? ????? ???? ???????? ?????? (
(Eichengreen, Rose and Wyploz (1996), ????? ? Frankel and Rose (1996) ????? ? ? Kumar et al (2003)) ????? ??? ? Kaminsky, Lizondo, and Reinhart (1998) ?
????? Kaminsky and Reinhart (1999) ?? ?? ??? ?? ? .?????? ?????? ?? ????????? ????????? ??? ????? ?????? ?????? ?????? ??????? ??? Kaminsky (2003) ? Saravelos
(2012) Frankel and ???? ?????? ??????? ? .?????? ?
?? ?????? ?????? ????? ?????? ????? ??????? ??????? ?? ?????? ???? ???? ???? ?????? ?????? ????? ??? ??????? ??? ????? ?? ? ???? ? ??????? ?? ????? ??? ?????? ???????? ??????? ??????
? ??????? ???? ? ????????? ? ????????? ??????? ?????? ????? .???????? ? ??????? ????? ??? ????
2 ?? . ???????? ????? ??? ?? ?????? ???? ??? 2012
?????? ????? ???? ? ??????? ?????? ?? ??????? ?????? ????? 31 % ?????? ????? ? ??????? ?????? ???????? ?????? ?????? ?? 21 % ??????? ???? ? ??????? ?????? ?????? ?? ?
?????? ????? 48 % ) ??????? ?????? ?????? ?? CBOS, 2010 ) ??? ????? ?? ???? ?? ??? ( 1 ?????? ??? ??? ???????? ??????? ?? ????? ?????? ?? ? .( ?????? ??? ????? ???? ????
) ??? ????? ???? ? .????? ?????? ????? ?? ????? ?????? ?????? ??????? ?????? 1 ? ???? ( ) ?????? ?? ????? ??? ??? ???????? ???????? ???????? ?????? ?? ??? ???????? ??????? ??? 1975 -
2009 ?????? ?????? ??? ? ?????? ?????? ??? ??? ????? ??? ???? ? ( .??????? ?????? ?????? ?? ???????
???? 1 - ?? ??????? ???? ? ????? ????? ?? ?????? ????? ) ?????? 1970 - 2008 ( .
) ?????? Laeven and Valencia, 2008 (
?????? ???? ??? ??????? ??????
??? ?? ????? ????? ?????? ?????? ???? ?? ??? ???????? ?? ??????? ?????? ??????? ??? 1994 ??????? ??????? ??? ???? ??? ??? ?? ? . 14 ??? ??
?
???? 2009 ????? ? ??? ??? ???????
??????? ?????? ?????? 2012 ?? ? ??? 34
?
????? ??? 627
?
???? ????? ?? ????? ???? ? ???? .
?????? ?????? ?????? ???? Systemic Banking Crisis ???? ???? Currency Crisis
??????? 1990 1988, 1994
????? ??? - 1994
?????? 1991 -
??? 1980 1979, 1990
????? - 1985, 1993, 2000
????? 1989 1989
?????? 1982 -
????? 1990 1984, 1990
????? - 2002
????????? 1984 1993
?????? 1980 1981
??????? - 1981, 1988, 1994
????? - 1988
???? 1991 -
????? 1982, 2000
1978, 1984, 1991, 1996, 2001
????? 1996
1985, 1995
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 25
????? 1 - ???????? ??????? ???? .
???????? ??? )??????? ??????? ??? :?????? 2012 .(
???? ?????? ??????? ??? ???? ? .???????? ??????? ?????? ????? ?? ????????? ??????? ???? ?????? ????? ?? ????????? ????? ?? ? ?????? ??????? ??????? ??? ???? ?? ??? ?????
???? 18 % ??? ?? 1999 ???? ?? ???????? ?????? ??????? ? ??????? ????? ???? ????? ???
?
????? ??????? ?? ??????? ?????? ??? ??? ????? ??? ???? ???? ??? ????? ? ??????
??? ?? ?????? ???? ???? ??? ??? ???? 2012 ??????? ?????? ?????? ??? ??? ??? ??? ????? ???????? ??????? ?????? ????? ??? ????? ???? ??? ??? .? 7 ? ?????? ?? 10 ?? ?????? ??
?????? 2009 ? 2010 ????? ?????? ??? ???? ??? ?????? ??? ???????? ?????? ???? ?????? ? ??????? ????? ?? ??????? ???? ?? ?? ? ??????? ??? 20 ? ?????? ?? 14 ???? ?? ?????? ?? 2009
? 2010 ??????? ?????? ???????) ????? ?????? ?????? ????? ??? ?? ? 2011 .(
?????? ???? ??? ????? ???
??????? ??? ??? ??
?
??????
?
???? ??????? ???? ? .???? ???? ?????? ???? ????? ???? ?????????? ????? ??????? ?? ????? ??? ??? ? ??????? ?? ????? ??????? ?? 60 % ????? ??
??? ?? ??????? ?? ??????? 2009 ) IMF, 2010 ??? ???? ??????? ?? ??????? ??? ???? ???
?
????? ? .( ????? ?? ????? ????? ????? ?????? ??? .?????? ??????? ??? ???? ?? ???? ????? ???
? ???????????? ???????? ??????? ?????? ???? ???? ??? ??? ??? ???? ? ???????? ??????? ????? ???? ?????? ??????? ?? ??????? ?? ???? ??????? ???? ??? 15 % ? .??????? ????? ??
? ????? ?? ???????? ?? 7.6 ?? ?????? ??? ?????? ?? 2006 - 2007 ??? 2.4 ?????? ??? 2008 - 2009 ??? ???? ??????? ?? ????? ?? 2.2 ??? ?? 2010 ?????? ?????? ??? ?????? ??? ? .
) ???????? ????? ???? ??? ???????? ???? ??????? 2008 - 2009 ?? ??? ( ??? ??? ????? ?? ????? ??? ?? ? .?????? ???????? ????? ???? ?? ??? ???????? ???? ??? ????? ????????? ??????? ????? ?
2010 ??? ??????? ?????? ??? ?? ???????? ?? ??? ??? ??? ???????? ??? ???? ????? ????? ??? ? ??????? ?? ???????? ????? ???? ??? ? ?? ?? ??????? ?? ???????? ?? ??
?
????? ???? ? ?????? ?
? ??? ??
?
?????
?
??????
?
??? ???? ? ??????? ????? ? ??????? ????? ????? ??? ???????? ??? ????? ?????? ???? ???????? ?????? .???????? ????
) ?????? ??? 1992 - 2012 ??? ??? ???? ?? ? .???????? ??????? ????? ????????? ??????? ???? ( ??? ???
?
??????
?
????????
?
???????? ??? 2000 .???????? ????? ????? ????? ? ?? ??????? ????? ?
??? ?? ????? ??? ???? ????? 1998 ?? ??? ??? ????????? ??? ?????
?
????? ????? ????? ????? ?? ?????? ???????? ??? ???? ??? ? .??????? ?? ???? ???? ??? ? 1 % ???? ?? ?????? ??
??? ?? ??????? ? ?????? ????? ??? ?????? ??????? ?? ???? ????? ??? ??????? .??????? 1997 ??????? ? ????? ????? ????????? ? ??????? ???? ????? ??????? ??? ???? ?? ? .
????? ?????????? ???????? ??????? ??? ???? ?? ????? ?????? ?????? ??? ????? ) ???????? ????? ????? ??? ?????? ????? ? ??????? The IMF, 1999, 2000 ?? ??????? ????? ??? ???? .(
?? ? .?????? ????? ?????? ? ??????? ???????? ????? ?????? ?????? ????? ??? ??? ?????? ????? ? ?????? ????? ???????? ????? ??? ?????? 1998 ? ????? ????? ?? ? ? ?????? ????
???????? ?????? ????? ? ??? ???? ???????? ??? ??? ??????? ?????? ??? .????? ??????? ???? ??? ?? ????? ????? 2000 ????? ???????? ??? ??? ??? ? .????? ??? ????? ?
??? ?? ???????? ??????? 1999 ??? ??? ??? ?????? ???? ?????? ?? ? . 2012 ? ???
?
????? ????????? ?????? ????? .
3 ??? ?? ????????? ?????? ???? ????? . 2012
3.1 ????? ??? ???????? ??????? ???? ?????
???? ) ??? ?????? 2 ) ??? ????? ? ( 2 ) ?????? ?? ??????? ???????? ????? ( 1980 - 2010 ???????? ??????? ???? ??? ?????? ??? ?? ???? ? .( ) ?????? ??? 1980 - 1989 ??? ??? ?(
????? ???????? ????? ???? ????? 1 % ) ?????? ??? ??? .???? ????
?
??? ????? ????? ?? ? ??? 1990 - 1999 ????? ???? ???????? ????? ???? ???? ??? ( 6 % ????????? ????? ?? ?????? ????
????? ??? ?????? ???? ????? ????? ??? ? 80 % ?? ) ???? ???? ?? ? ?????? ??? Hyper-inflation ) ?????? ?????? ??? ??? .?????? ??? ??? ??????? ?????? ???? ?????? ???? ? ( 2000 -
2010 ?? ??? ??? ?????? ???? ????? ?????? ?????? ????? ???????? ??????? ???? ???? ??? ?( 10 % ? ???? ???????? ?????? ??? ??? ????? ? ??? ?????? ?? ???? ?? ??? ??????? ?????
) 2 .(
) ??? ????? ???? ? 2 ???? ??? ???? ????? ?? ? .?????? ????? ????? ??? ????????? ???????? ???? ?????? ( ) ?????? ?? ???????? ????? 1980 - 1989 ?? ????? ???????? ?????? (
??????? ??? .?????? ??????? ?? ????? ) ???????? ???????? ??? ????? ? ????? ??????? ?? ?????? ????????? ???? ??
?
?????
?
??????? ????? ??? ?????? ????? 2000 - 2005 ) ?( 2006 - 2010 ? .(
) ??? ????? ???? 2
?
??????
?
??????? ??????? ? ????? ???????? ?????? ?????????? ???? ?? ????????? ??? ?????? ?
?
???? ( ) ?????? ?? 2000 - 05 ??? ??????? ????? ? ( ?????? ?????? ?? ????
) 2006 - 2010 ) ????????? ?? ?????? ?? ???? ????? ??? ( 1990 - 1999 ) ??? ????? ????? ?????????? ????? ??? ??????? ??? .( 2 ) ?????? ??
?
??????
?
????? ??? ?? ??? ( 2000 - 05 ??? ??? ?? (
? ????? ??? ???? ) ?????? ?????? ? 2006 - 10 ??? ?? ???????? ??????? ???? ???? ????? ? .( 2011 ) ??? ?????? ?? ??????? ???????? ????? ?????? ?? ??????? 2 ????? ???? ?????? ?(
?? ????? ???????? 60 ) ?????? ?? ???? ??? ??? ?? ?????? ?? 2006 - 2010 ?? ????? ?????? ???? ????? ? ( 70 ?? ????? ????????? ??? ??? ? ? ?????? ??? ?????? ?????? 50 ????? ? ?????? ??
.?????? ????? ??????? ?????? ??? ??? ????? ? ??? ? ??? ?? ????? ????????? ????? ???
0
20
40
60
80
100
120
Services
share (%)
Industry
share (%)
Agricultur
e share
(%)
26 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 27
????? 4 - ?????) ?????? ????? ???????? ?????? ??? ??? 2010 - ????? 2012 ( .
??????? ??????? ??? :??????
????? 5 - ) ??????? ?? ??????? ????????? 1972 - 2012 ( .
) ?????? ????? :?????? WEI-2012 (
3.2 ????????? ???????? ? ?????? ???? ?????? ?????
??????? ?? ???????? ??? ?? ) ?????? ????? ??? ??? ???? Foreign Exchange Market Pressure Index(FEMPI) ( ??????? ?? ?????? ???? ????? ???? ?????? ?????? ??? ?
?????? ???? ?????? ??
?
????? ???????? ???? ?? ? ?? ?????? ????? ???????? ? ????? ??? ?? ?????? ???? ???????? ?????? ?? ?? ? . ?????? .
FEMPI = % et - % rt
:?? ???
t e : ??????? ?????? ??? ?????? ???? ??????? ?????? ??? ??? ?? t ?
t r ) ??????? ???????? ?????? ????? ???????? ?? : International reserves in US dollars ??????? ?????? ??? ( t ?
t e % ?? ?????? ?????? ?? : ?????? ???
t r % : ?????? ????? ???????? ?? ?????? ?????? ??
? ?????? ???????? ??????? ??? ????? ??? ?? ?????? ?????? ???????? ??????? ???? ?? : .?????? ????? ???????? ?? ?????
?????? ? ??????? ?????? ???? ??????? ?????? ????? ??? ??? ???? ???? ? .?????? ????? ???????? ? ????? ????? ?????? ????? (Threshold) ????? ???? ????? ?????? ?????
0
1
2
3
4
5
6
8
/
7
/
2
0
1
0
0
8
-
1
4
-
2
0
1
0
1
2
/
9
/
2
0
1
0
1
0
-
1
3
-
2
0
1
0
1
1
-
1
7
-
2
0
1
0
1
2
-
1
5
-
2
0
1
0
0
1
-
1
6
-
2
0
1
1
0
2
-
1
5
-
2
0
1
1
0
3
-
1
9
-
2
0
1
1
0
4
-
1
8
-
2
0
1
1
0
5
-
1
9
-
2
0
1
1
0
6
-
2
1
-
2
0
1
1
0
7
-
2
4
-
2
0
1
1
0
8
-
2
4
-
2
0
1
1
0
9
-
2
9
-
2
0
1
1
2
/
1
1
/
2
0
1
1
4
/
1
2
/
2
0
1
1
4
/
1
/
2
0
1
2
2
/
2
/
2
0
1
2
5
/
3
/
2
0
1
2
5
/
4
/
2
0
1
2
3
/
5
/
2
0
1
2
5
/
6
/
2
0
1
2
4
/
7
/
2
0
1
2
Exchange rate Crash in 2012 from Dailly
Data
Exchange rate
1
2
3
4
5
6
7
8
1975 1980 1985 1990 1995 2000 2005 2010
LOG(INTERNATIONAL_RESERVES)
28 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
.???? ???? ????? ???? ?????? ?????? ?????? ??? ??????? ??? ???? ??? ?? ????? ?????? ??????? ? ??????? ?? ?????? ???? ????? ) ?????? 2000 - 2012 ( ) ??? ????? ???? ? . A-1 ?????? ?? (
?? ????? ??? ?????? ?????? ?? ?????? ???? ???? ????? ?????? ??? ?? ????? ??? ?? ???? ? ???????? ?? ?????? ????? ??? ??? ???? ) ?????? ? 2000 - 2012 ??? ?? ??? ? ( 2012 ????
) ?????? ??? ????? ??? ??????? ?? ?????? ???? ????? ???? ???? ??? 2000 - 2012 .(
) ??? ????? ???? ? A-1 ) ?????? ??? ??????? ?? ?????? ????? ??? ??? ???? ?( 2000 - 2012 ) ?????? ????? ?? ?????? ??? ?????? ????? ????? ??? ?? .( 2000 - 2012 ??? ???? ??? (
??? ??? ??? ? ??????? ??? ?? ????? ??? ????? ? ?????? ????? ??? ????? ?????? ??? ??? ????? ??????? ?? ?????? 2001 ??? ???
?
????? ????? ??? ??? ????? ?? 2010 ??? ????? ?
??? ??? ????? ??????? ?? ?????? 2011 ??? ?? ?????? ?????? ??????? 2012 ????? ??? ?? ????? ??? ?????? ???? ??? .
??? ?????? ?? ????????? ???????? ?? ?????? ??????? ?????? ?????? ?????? ?
†
? ?? ???????? ??????? ? .??? ?????? ???? ? ????? ?????? ???? ??? ????? ????? ???? ???? ??????? ???? ???????
?????? 12 ????? ? ????????? ??????? ??????? ????? ??? ??????? ??????? ??? ???????? ?????? ??????? ?????? ???? ??????? ???? ?????? ?? ??????? . :?? ?? ???????? ??? ??? ? ????
?????? ???????? ?????? ?????? ?? ????? ???????? ???????? ?????? ?????? ?? ????? ?????? ?????? ????? ??????? ??? ??? ??????? ????? ?????? ???? ???????? ?????? ?????? ?? ????? ??
?? ???? ????????? ???? ?? ???????? ??????? ???????? ??? ???? ??????? ??? ??? ????????? ???? ????????? ????????? ??? ??????? ??????? ?????? ?????? ? ? ?????? ?????? ??? ?? ?????
????? ????? ?? ????? ???? ????? ??????? ?? ???????? ????? ???? ?????? ???????? ?? ? .???????? ????? ) ???????? ????? ?? ???? ?????? ???????? ????? ??? Political Crisis ? (
???? ? .???? ???? ?? ??? ????? ???? ????? ????? ?? ? ?????? ?????? ?? ????? ???? ???? ??? ?????? ???? ??????? ????? ??? ???? ) ???????? ???????? ?? ?????? ?? Attempted Coup ( ??? ?
???? ?? ????? ???? ?
?
????? 4 ?????? ?????? ??? ????? ???? ??? 4 ) ????? ???? ????? ?? ???????? ???????? ???? ??? Successful coup ??????? ?( 3 ???????? ???? ????? ???? ????? ?? ????????
) ????? Failed coup ?????? ? ?( 2 ????? ???? ???? ?????? ???? ???? ????? ) Plotted coup ?????? ? ?( 1 ) ?????? ??????? ?????? ????? ???? ????? Alleged coup ??? ??? ??? ?????? ? ?(
.??????? ?????? ?????? ??? ?? ?? ???? ????? ???????? ???????? ???? ?? ??????? ?? ???????? ????? ?? ???????? ??? ?? ?? ?
‡
?? ?? ??????? ???? ???? ? ? ?????? ???????? ???????? ??
? ?????? ????? ?????? ????? ?? ????? ?? ??? ????? ???????? ?????? ??? .?????? ??? ?? ???????? ???????? ????? ??? ? ????????? ?????? ?? ? .??????? ??????? ??? ?? ??????? ???????? ?????
?????? ??? ???? ????? ???? ??? ??????? .??????? ?? ?????? ????? ??
) ?????? ?????? ?? ????? ???????? ??????? ????? ?? ?????? ????? ?????? ?? ????????? ???????? ?????? ???????? ??????? ??? Signaling approach ???????? ?????? ??? ????? ? (
???? ???? ?????? ??????? ????? ????? ??????? ???????? ????? ??? ???????? ??? ????? ? .????? ??? ?????? ????? ???? ????????? ?? ???????? ??? ???? ? .?? Kaminsky, Lizondo, and
Reinhart (1998) ???????? ??? . ??? ????? ????? Berg and Patillo (1999) ) ????????? ??????? ???????? ??? ?????? ? . Probit/logit ???? ????????? ???? ???????? ???????? ?????? (
??? ?? ??????? ?? ?????? ???? ?????? ?????????? ????? ?? ?? ?????? ??? ??? ??????? ?? ? .????? ???? 2012 .
) ?????? ?????? Signaling approach (
?? ???? ?? ????? ???? ????? ?????? ??? ??? ???? ? ????? ????? ????? ????? ????? ???? ??? ?????? ????? ???????? ?????? ????? ?????? ??????? ?????? ? .????? ??? ????? ??
) Percentiles distribution ? ??? ??????? ? ??????? ?????? ?????? ???????? ( ) ?????? ??? ? ?????? ?????? ??? abnormal - Normal ?? ?????? ????? ?????? ???? ????? ???? ? ??? ? .(
??? ?? ?????? ???? ?? (?????? ?????? ??) ??????? ??????? ?? ?????? ?????? ????? ????? ????? ?????? ???? ???? ???? .??????? ) ??? (Tranquil times ???? ?? ? . ????? ?????? ???? ???? ???
25 % ????? ? ????? ???
?
????
?
??????? ????? ???? ???????? ???? ?? ?????? ??????? ?? 75 % ????? ???
?
????
?
??????? ????? ???? ???????? ???? ??
§
?????? ?? ??????? ?????? ???? ? .
???? ??? ??? ?????? ???? ? ???? ??? ???? ???????? ) ???? ????? ?? ????? ????? ????? ????? ????? ???? ?? ? ?????? False Alarm .(
???? ????? ?? ? .?????? ?? ?????? ???? ?? ?????? ????? ???? ?? ??????? ?? ????????? ???????? ?? ???? ?? ???? ????? ?? ? 75 % ???? ? ?????? ???? ?????? ???? ?? 25 % ???? ??
????? ??? ????? ?????? ?? ???? ???? ???????? ?? ??? ??????? ????? ??? .?????? ???? ? 2012 ??? ??? ?? ???????? ?? 12 ?????? ?? ????? ???????? ??????? ???? :?? ????????? ?? ????
???? ????????? ????????? ??? ??????? ??????? ?????? ?????? ??? ???? ???????? ?????? ????? ????? ?? ?? ? .???????? ????? ? ?????? ?????? ??? ?? ????? ???????? ??????? ???????? ???
) ?? ?????? ?? ?????? ?????? A-2 ) ??? ? ( A-6 ) ??? ?????? ?? ( 1 .???????? ??????? ??? ???? ??? ??????? ??????? ?? ? .(
?????? ?? ??????? ???? ???????? ????? ) ??? ????? ? .?????? ???? ?? ??????? ??? ?? ?????? ????? A-2 ???? ?????? ?? ( ???? ????? ????? ?????? ???? ???? ? .?????? ???? ?????? ???????
???? ????? ??? ?????? 75 % ) ??? ????? ???? ? .??? ??? ????? ????? ?????? ?????? ?? A-2 ?? ( ????? ????? ?????? ???? ???? ????? ????? ?????? ??? ???? ?? ? .????? ??? ?????? ???
???? ??? 2012 ???? ??????? 75 % ) ?????? ??? ?????? ??? ?? ??????? ??????? ?????? ?????? ??? .?????? ?????? ?? 2000 - 2010 ?????? ????? ??? ??? ???? ????? ???? ??? ???? ?? (
?? ????? ????? ????? ) ???? ????? ?????? ??????? ??? ????? ??????? ? ???????? ??? (False Alarm .
) ??? ????? ? .?????? ????? ?????? ????? ??????? ?????? ?????? ?? ????? ???????? ???????? ?? ? A-3 ???? ????? ?????? ??? ???? ? .?????? ? ????? ???? ?? ?????? ??? ???? ???? (
????? ???? ????? ??? ? 75 % ) ??? ????? ???? ? .?????? ?????? ?? A-3 ????? ????? ?????? ??? ?????? ??? ???? ??? ??????? ?? ?????? ??????? ??? ????? ????? ?????? ?? ???????? ?? (
) ?????? ??? ?????? ??? ?? ??????? ???? ???????? ???? ? ? .?????? ???? 2004 - 2007 ? ( ?????? ?????? ??? ???? ??? .??????? ??? ?? ????? ?????? ????? ??? ??? ???? ????? ???
) ??? ????? ?? ?????? ?? ??? ?????? ?????? ????? ?????? ??????? A-4 .?????? ??? ?? ??????? ??????? ??? ???? ? ( ? ????? ????? ???? ????? ????? ???????? ????? ???? ???? ????
???? ??? ????? ??? ?????? 25 % ) ??? ????? ???? ? .??? ??? ????? ????? ?????? ?????? ?? A-4 ) ?????? ??? ??????? ???? ?? ?????? ??? ?? ( 2000 - 2012 ???? ??????? ?? ? ???? ??????? (
??? ?? ?????? 2012 .?????? ??? ?? ???? ???? ???? ????? ????? ????? ?
? ) ??? ????? ???? ? .???????? ????????? ??? ?????? ???? ?? ?????? ???????? ?? A-5 ????? ??????? ????? ???????? ????????? ??? ???? ? .?????? ??? ?? ??????? ??????? (
???? ??? ????? ??? ?????? ???? 25 % ) ??? ????? ???? ? .?????? ?????? ?? A-5 ? ?????? ??? ?? ( ???? ????? ????? ?? ??? ? ? ?? ?????? ??? ?????? ???? ?????? ??? ??????? ?????? ???
) ?????? ????? 2000 - 2012 ??? ???? ??? ?????? ????? ??????? ???? ??? ?? ? .?????? ??? ?? ???? ???? ???? ????? ????? ??? ( 2012 ??? ? ????? ??? ??? ????????? ???? ????
???? .???????? ????? ????? ?????? ???? ??? ??????? ??????? ?????? ????? ? ??? ???? ????? ????? ????? ?????? ???? ????? ?????? ?????? ??? ?? ????? ???????? ??????? ???????? ??? ????
???? ????? ?????? ??? ?????? ???? ????? 75 % ??? ????? ???? ? .?????? ?????? ?? ) A-6 ?? ( ??? ?? ?????? ???? ???? ????? ????? ???? ?? ?????? ??? 2012 ?? ?????? ???? ?????? ??? ? ?
??? 2002 ????? ?? ????? ?????? ??? ? .???????? ????? ????? ?????? ???? ?????? ?? ? .????? ??? ?? ????? ???? ???? ???? ??? ????? ??? ) ????? binary variable ?? ????? ???? ???? (
???? ????? ??? ?????? ???? ????? ????? ?????? ??? ???? ? .?????? ?????? 75 % ??? ???? ???? ????? ????? ?????? ??? ???? ?? ? .??? ??? ????? ????? 2012 ????????? ???????? ???? ??? .
†
Kaminsky, Lizondo and Reinhart (1998)
‡
The Center for Systemic Peace (CSP), Armed Conflict and Intervention (ACI) Datasets
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 29
? ?????? ?? ???? ?? ? ?????? ?? ????? ??? ??? ????? ??? ?? ?????? ???? 2012 .
??? ?? ????????? ?????? ????? ?????? ?? ????? ?? ???????? ?????? ??? ?? ?????? ????? ?? ????? 2012 ????????? ????????? ??? ??????? ?????? ?? ????? ???????? ??????? ???? :?? ?
?????? ????????? ???? ???????? ?????? ?????? ??? ???? ?? ????? ????? ???? ?? ????
?
????? ????? ?????? ?? ???? ??????? ? .???????? ????? ? ?????? ??? ?? ????? ??????? ???????? ??? ???? ???
??????? ? ???? ????? ?????? ???? ? ????? ????? ?? ??????? ???? ???? ???????? ?????? ??? ????? ? .??????? ?? ?????? ???? ??????? ?????? ????? ?? ? .?????? ?????? ????? ???
??????? ?? ?????? ???? ????? ???? ? ????????? ??? ??? ?????? ????? ? ????? ?? ????? ??? ??????? ????? .
3.3 ???????? ??????? ????? ) (Probit regression model
?? ???????? ???????? ?? ?????? ??????? ) ??????? ?????? ??????? ?????? ?????? ????? Discrete Dependent Variable ) ???????? ??????? ???? ?? ( Probit model ???????? ?? (
) Logit model ??? ? .?????????? ????? ??? ???????? ????????? ?? ?????? ? ?????? ???? ????? ???? ???????? ??? ??????? ??? ???? ? ?( ?? ????? ???? ?? ??? ?????? ??? ?? ?????? ??????? ?
?????? ? ?????? ???? ?????? ??? ?????? ????? ??????? ???????? ??????? ?????? ???? ? .?????? ????? ?? ??????? ?????? ?????? ??????? ?????? ??????? ?? ???? ???????? ??? ????? ? .?????? ??
.??????? ?????? ?? ?????? ???? ??????? ?? ??? ? ??????? ???? ???? ???????? ???? ???? ??? ??????? ??? ???? ????? ????? ???? ??????? ???? ???? ?? ?????? ????? ???? ???? ?
?
???? ???????? ?????????
???? ????????? ?? ?????? ???????? ??????? ??? ???? ????? .?????? ????? ????? ?????? ??????? ??? ??????? ???? ???????? ????? ?? ? .??? ??? ?? ???????? ????????? ?????? ?????? ????
????? ?????? ???? Frankel and Rose (1996) ???????? ?? ????? ?
**
.
) ???????? ??????? ????????? ??? ???? ?? ? Probit model ???? ?????? ???? ?????? ??????? ( ?????? ??? ?? ?????? ????? ?????? ?????? ???? ??????? ??? ???? ???? ???? ?????? ??? ?? :
) ??????? ? ??? ??? ???? ??? ??????? ????? ?? ?????? ????? ????? ?????? ????? ?? ????? ???? ???? ???? ???? Reliability .??????? ??? ( ????? ????? ???? ????? ???? ?????
?
?????? ??????? ??
) ???????? ??????? ????? ????? ????? ?? ????? ?????? ????? ????????? ?????? ?????? ??? Probit model )
?
????
?
????? ??
?
???? ???????? ???? ? ??????? ??? ?? ????
?
?????? ???? ( Marginal
effect ?????? ?????? ?? ??? ???? .??????? ??????? ( ??? ??? ??????? ?? ???? ????? ????????? ???? ?????? ??? ????? ? ????? ??? ???? ??????? ????? ??
?
?????? ??????? ? (Kaminsky
et al, 1998) .
?? ? .??? ?????? ? ?????? ???? ????? ??
?
????? ????? ?? ???? ???????? ??????? ?? ?? ????????? ??? ?? ????? ??? ?????? ???????? ????? ??? ????????? ????? ???? ???????? ??? ????
????? ???? ??????? ???? ???? .?????? ????? Berg and Pattillo (1999a, 1999b) ????? :?? ? ?????? ????? ?????? ????? ???? ?? ???? ??????? ? Kaminsky et al, 1998 ????? ?
Frankel and Rose (1996) ????? ? Sachs, Tornell and Velasco (1996) :???????? ???????? ??????? ?? ??????? ??? ???? ?? ??? ??????? ??? ???? ?? ? . Frankel and Rose
(1996) :???????? ?????? ????? ???? ? Kaminsky et al, 1998 ?????? ???? ?????? ?????? ?? ???? ??? ????? ??????? ??? . ??????? ? ?????? ????? ?? ?? ??????? ??? ?? ???????? ?? ? .
? ???? ?????? ???????? ???????? ??? ?? ????????? ????? 2012 .
??????? ?? ?????? ???? ???????? ??????? ????? The probit model specification
?? ?????? ?????? ??????? ???? ??????? ?? ????? ??? ?? ???
?
????? ??????? ?? ???? ? ?????? ???? ????? ???? ?????? ?? ?????? ???????? ???????? ???? ?? ? .????? ? ?????? ?????? ??? ? ?????
?? ??? ? (????? ???? ?? ??) ?????? ???? ???? ??? ?????? ?????? ??????? ??? ???? ???? ? .??????? ?????? ????? ??? ??? ???? ?????? ? .(?????? ???? ?? ??) ??? ???
:??????? ????????? (????? ???? ?????) ???? ???? ?????? ?????? ???????? ????? ????? ????????? ???????
Pr(y
ì
= 1 x
ì,
[) = 1 - F (- x
ì
i
[)....................(1)
?? ??? F ?? ??????? ??? ? ?????? ? ?????? ?????? ??? ???? ?????? ??? ???? ? ?????? ??????? ???? ?? F :?? ??? ?? ????? ???????? ???? ????
Pr(y
ì
= u x
ì,
[) = F (- x
ì
i
[)……………….(2)
? ????? ???????? ???????? ??????? ????? ????? ???? ??????? ???????? ?? ? ) ????? ??????? ??? Maximum Likelihood :????????? ?????? ??? ???? ??? (
l([) = o
0
+ _ y
ì
log(1 - F (- x
ì
i
[)) + (1 - y
ì
)log( F (- x
ì
i
[))
n
ì=0
....................(3)
) ???????? ??????? ????? ???? ???????? ??? ?? Probit model :????? ?????? ?????? (
y
ì
= (1 - F (- x
ì
i
[)) + e
ì
…………………(4)
?? ??? e
ì
) ??????? ?? ????? ?? Residuals ( ) ??????? ?????? ?? ???????? ??????? ?? ?????? ??????? ?????? ???? ? Conditional Mean ( :???? ? ?
E(e
ì
x
ì,
[) = u………………………….(5)
Ior(e
ì
x
ì,
[) = F (- x
ì
i
[)(1 - F (- x
ì
i
[)) …(6)
??????? ?? ?????? ???? ???????? ??????? ????? Estimating the probit model
??????? ????????? ?? ?????? ? ??????? ?? ?????? ???? ????? ???? ?? ???? ???????? ?? ? ?????? ??????? ??? ??????? ?????? ???? ??????? ??? ???? ? ? :??? ?????? ?????? ??? ??
) ?????? ???? Inf ) ???????? ????????? ???? ???? ?( lreserv ) ??????? ?????? ?????? ?? ????? ???????? ????????? ??? ?? ( limp ???????? ??????? ???????? ??? ???? ????????? ??? ?? (
) ?????? ?????? ??? ?? ????? claims ?????? ??? ???? ?( ) ??????? ?????? gr ) ???????? ????? ? ?( pol ) ?????? ???????? ??????? ?????? ???? ? .( 1980 - 2012 ?? ?????? ( ??? ???? ?????
????? ????????? .???? ???? ????????? ????????? ??? ????? ????? ??????? ? ????? ???? ????? ?? ?? ? ???? ?????
) ?????? ?????? 1980 - 2012 ??? ??????? ???? ?? ???? ( 33 ??? ??? ?????? ????? ??? ??? ???? ??? ?????? ?? ??? ??????? ??????? ???? ??????? ? .??????? ??????? ?? ????? ??? ??????
.?????? ?????? ?? ????? ???? ?????? ??? ?????? ????? ?????? ???? ????? ???? ???? ???
?
????? ? .?????? ????? ?? ???? ? 6 ?????? ?? ??? ? ???????? ?????? ????? ????? 1981 ? 1985 ?
1987 ? 1991 ? 1996 ? 2012 ?? ???? ????????? ?????? ???? ??????? ??? ?? ?? ?? ? . 65 % ????? ???? ????? ????? ???????? ????? ?? ?????? ???? ??? ? .????? ?????? ????? ?? ?????? ??
? ) ?????? ?????? ???? ???? ?????? ??????? ??? ????? ? .????? ??????? ????????? ?????? ?? ?? y = 1 ( ???? 6 ) ????? ???? ? ???????? y = 0 ???? ( 27 .??????
) ????? ??????? ???? ????? ???????? ?? ? Maximum Likelihood
?
????? ???????? ???????? ??????? ?????? ( ?????? ??? Quadric Hill Climbing ????? ?????? ? Huber/White
**
Eichengreen, Rose and Wyplosz (1996), Goldfajn and Valdes (1997), Berg and Pattillo (1999a and 1999b), IMF (1998), Kruger,
Osakwe and Page (1998), and Kumar, Moorthy and Perraudin (2002).
30 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
for robust covariance ????? ????? ????? ?????? ???? ???????? ?? ??????? ????????? ? ??????? ?? ?????? ???? ????? ???? ?????? ??? ?????? ?????? ? . ????????? ??? ?? ????? ???? ????? ?
?? ?? ??????? .????? ????? ?? ??????? ??? ?? ????? ?? ????? ????? ??????? ??????? ?? ? .?????
) ??? ?????? A-1 ? ?????? ??????? ??? ??????? ????? ?? ??? ?????? ?? ????? ? .???? ??????? ????? ????? ???? ??????? ?? ( 5 ) ?????? ???? :??? ?????? ??????? Inf ???? ???? ?(
) ???????? ????????? lreserv ) ??????? ?????? ?????? ?? ????? ???????? ?( limp ) ???????? ??????? ???????? ?( claims ) ??????? ?????? ?????? ??? ???? ? ?( gr ?? ?????? ?? ???? ? .(
?? ?? ?? ????? ?????? ?
?
??????? ????? ??????? ?? ?????? ???? ????? ???? ?????? ??????? ???? ?????? ???? ?? ? .???????? ??????? ???????? ? ???????? ?????? ?????? ?? ????? ????????
:????????? ??? 6 % ? 4 % ? 6 % ) ??????? ??????? ??????? ?? ???? ???? .??????? ??? A-1 ???
?
?????
?
??????? ?????? ??????? ?? ?????? ???? ????? ???? ???????? ?? ( ????????? ????????? ???? ??
??? ?????? ?????? ? 2 % .
?????? ?? ????? ???????? ? ?????? ???? ?????? ????? ??????? ?? ?????? ???? ????? ???? ?????? ?? ??? ??????? ??? ????? ???? ? ??????? ? ??????? ???????? ? ??????? ??????
?? ???? ??? .???????? ????????? .??????? ??? ?? ????? ??? ??? ???????? ?????? ?????? ?
??? ???? ????? ???? ?????? ???????? ????? ???? ????? ? ??????? ?????? ?????? ??? ???? ??????? ?? ??? ??????? ??????? ?? ??? ) ??? ?????? ???? ? .??????? ?? ??? A-2 ????? ??????? ?? (
?? ??????? ????? ?? ??????? ?? ?????? ???? ????? ???? ?????? ?? ?? ? ????? ??????? ????? ???? ??????? ??? ????? ?? ?????? ??? ?? ???? ? .???? ?? ?? ?? ????? ?????? ?
?
????
?
??????? ???
???????? ????????? ???? ???? ? ???????? ?????? ?????? ?? ????? ???????? ? ?????? ???? ?????? ?????? ??? ???? ? ???????? ??????? ???????? ?? ??? ??? ? .??????? ??????? ???? ?
. ??????? ??? ?? ?????? ??? ???????
? ???????? ??????? ?????? ???? ?? ??????? ??? ?? ??????? ????? ?????? ???? ?????? ?? ?????? ???? ??? ??????? ??????? ?? ??? ? ?? ) ??? ?????? ???? ? .??????? ?? ????? ??? A-3 ?? (
?? ?? ??? ?????? ??? ???????? ??? ?? ??????? ???????? ????????? ?? ?? ????? ?????? ??? ?? ? .??????? ??? ????? ????? ??????? ??? ?????? ????? ??????? ??????? ????? 00 % - 5 % ??????? ? ?
?? ??????? ?? ??????? .??????? ??? ???? ???????? ????? ???? ? ??????? ?????? ?????? ??? ???? ??? ??????? ???????? ???????
???????? ????? ???????? ????? ???? ??????? ?? ?????? ??????? ?? ????????? ?? ??? ?????? ??? ?????? ? ?????? ??????? ?? ??? ) ???????? Attempt Coup ( ??
?
????? ???? ???? ?? ? ?
) ??? ?????? ???? ? .??????? ??? ?????? ???????? ??????? ?????? ?? ????????? ????? ?? ? ?? ?????? ?????? A-4 ????????? ?? ?? ?????? ?? ????? ? .?????? ??????? ????? ????? ??????? ?? (
??????? ?????? ? ????? ?????? ??? ???????? ?????? ???????? ????? ??????? ?????? ????? ? .????? ??? ??? ??????? ?????? ?????? ??? ???? ???????? ????????? ??????? ?? ????? ?? ???? ??
.??????? ?? ?????? ???? ???? ?????? ?? ???? ???????? ???????? ??? ?????? ?????????? ???? ??? ???? ??????
???? ) ????????? ????????? ?? ?????? ?????? ???? ??? ????? ???????? ?? ?????? ???? ????? ?? ??????? ??????? ???? ?? ?????? ??? Diagnostic Testing ??? ??????? ? ??? ?????? (
) ??? ?????? ???? ?? ???? .??????? A-4 ??????? ????? ???????? ???????? ???????? ?? ??? ( ) ????? Likelihood Ratio Statistics ?????? ? ???? ????? ???????? ????? ?? ????????? (
) ????? ??????? ?????? LR Statistic ) ????? ?????? ???? ?? ??? ????? ?? ??? ???? ? ( Null Hypothesis ??? ?????? ? .
?
???? ????? ??????? ????? ???? ?? ???? ???? ? ??????? (
? ) ??? ?????? ???? ? .??????? ?????? ???????? ?????? ?????? A-4 ??? ?????? ?????? ???? ?? ?? ????? ?????? ?? ( 1 % ??????? ?? ?????? ???? ???? .??????? ?????? ???????? ??? ???? ??? ?
squared - McFadden R ???? ????? ???? ?
2
R ???????? ??????? ?????? ??????? ?? ???? ?? 0.50 % ??????? ?????
?
???????
?
???? ???? ??? ? ???????? ?? ????? ??? ?? ?????? ???? ?? ?
) Goodness of fit tests .(
???????? ???? - (??????? ????) ?????? Expectation-Prediction Table
) ??? ?????? A-5 ???????? ???? ???? ??????? ?? ( - ???? ?????? ??????? ????? ????? ?????? ??? ?????? ? ???????? ????? ???????? ????? ? .???????? (Correct observation) ???? ??
) ?????? y = 0 ) ?? ??????? ??????? ???? ???? ????? ( Predicted probability ) ???? ??
?
??? ????? ?? ?? ??? ( Cut-off ????? ( 0.50 ??? ????? ???? ?? ? ) ????? ?? ? ?? ?????? ??? ?? ? y =
1 .( ??????? ?? ??????? ????????? ???? ???? 33 ?????? ??????? ??? ?? ? .?????? 26 ???? ?? ?????? 27 ) ?????? ??? ?? ?????? y = 0 ( ??????? ? ?
?
?????
?
?????? 4 ???? ?? ??????? 6
) ????? ???? ?? ??????? y = 1 ???? ???? ? .( ?????? ????? ????? ?????? ??????? 90.9 % ???? ?????????? ???? ?? 96.3 % ? ?????? ??? ?? 66.67 % .????? ??? ??
) ??? ??????? ???? ?? ???????? ??????? ????? ???? A-5 ) ?????? ( Gain ?? ????? ????? ?? ?????? ??? ????? ????? ??? ?????? ??? ???? ????????? ??? ?? ( ??????? ?? ?? ???????
) ?????? ???????? Constant probability model ) ????? ????? ????? ? .?????? ???? ??? ?????? ??????? ??? ?( Total gain ???? ???? ??? ??? ?? ??????? ??? ?? ??? ??????? ??????? (
) ????? ???? ?? ?????? ??????? y = 1 ?????? ( 66.67 % ???? ?? ? ) ?????? ?????? - 3.75 ?? ??????? ???????? ??????? ?????? ?????? ??????? ? ( 9.09 % ?????? ???? ??????? ???????? ?? ???? ??? .
9.09 % ) ?????? ???????? ???????? ?????? ??????? ????????? ?????? ??????? ???????? ?????? ?? Constant probability model .( ?????? ??? ? ???? ????? ????? ?????? ??????? ?? 50 % ???? ??
) ??? ?????? ?? ???? ?? ??? ????? ??????? A-5 .(
) ??? ?????? ?? ????? ????? A-5 ) ???????? ?????? ???? ??? ????? ????? ? ??????? ???????? ????? ???? ????? ???? ( Expected value .( ????? ??????? ???????? ??????? ) ?????? ???? ?? ? y =
0 ?? ( 24.69 ??? ?? ?????? 27 ??? ?? ???? .?????? 6 ) ????? ???? ?? ??????? y = 1 ?( ?? ?????? ??????? ???????? ?????? ?? ??? 3.45 ??? ??? ???? ?????? ??????? ??? ??????? ? .??????
) Total gain ????? ( 15.03 % ?????? ???? ?????? 50.5 % ? ?? .?????? ??????? ????
) ??????? ???? ?????? Goodness of fit tests (
?????? ??? ?? ?????? ?????? ???? - ) ??? ????
2
Pearson ?????? ??? ??????? ?? ????? ????? ???? ??????? ??? ?? ? .?????? ?????? ????? ???? ?????? ( Lemeshow - Hosmer
(1989) ?????? ? Andrews (1988a, 1988b) ) ??????? ??????? ??????? ????? ?????? ??? ????????? ??? ???? ? . fitted expected values ?????
?
????? ?????? ????? ??? ???? .???????? ????? ?? (
?????? ??? ???? ??? ? .???????? ???? ? ??? ????? ????? ??? ?????? ???? ??????? ???? Andrews (1988a, 1988b) ?????? ??
?
???? ???? ??? Hosmer-Lemeshow (1989) .
) ??? ?????? ???? A-6 ??????? ???? ?? ????? ?????? ??? ?? ? .?????? ??????? ????? ???? ?????? ????? ( Andrews ???? ?????? ?????? ????? ?????? ??? ???? ? 1 % ???? ??????? ? ?
? ?????? ??????? .??????? ???? ?? ???? ????? ?? ?????? ??????? ?? ??
) ???????? ??????? ????? ?????? ????? Probit model ????? ???????? ? ?????? ???? :?? ????? ????? ???? ????????? ???????? ????????? ??? ?? ??? ??? ??????? ?? ?????? ???? ??? (
???? ?????? ?????? ?? .??????? ????? ?????? ???? ??? ??????? ?????? ?? ? .???????? ????? ? ???????? ????????? ? ???????? ??????? ???????? ? ???
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 31
3.4 ??? ?? ????????? ?????? ???? ????? 2012
??? ?? ?????? ?????? ??? 2012 )
?
????? ????? ???? ???? ??? 1999 - 2011 ????? ???? ? ( ??? ?? ???? ?? ????? ??????? ??? ?? ? .??????? ?????? ??? ??? ???? 2012 ?????? ??? ?????
???????? 66 % ) ?? ????? ??????? ??????? ?????? ???? ????? ??
††
1 US $ = 262.51 SD ??? ?? ( 2011 ) ??? 1 US $ = 442 SD ??? ?? ( 2012 ???????? ?? ?????? ????? ?? ? .
???? ?? ?????? ?????? .???????? ??? ?????? ??? ?? ????? ????? ????? 19 % ??? ?? 2011 ??? 34 % ?? 2012 ????? ??????) 79 % ????? ??? ???????? ????? ????? ? ( 2.7 % ???? ???
?? ?????? ? ???????? ????????? ?????? ? ?????? ????? ?? ????????? ????? ??? ???? ?? ???? ?? .??????? ???? ??????? ???????? ???
???? ???? ?????? .?????? ? ?????? ? ???? ????? ?? ? ?????? ???? ?????? ????? ???? ???? ??? ?????? ??????? ?????? ????? ?? .??????? ??? ? ?????? ????????? ??????? ???? ????? ?????
?????? ???? ????? ????? ?? ??? ??? ?? ??? ???? ? ?? ??? ?? ??? ??????? ??? ?? ???? ??????? ????? ???? ????? ???????? ??????? ??? ???????? ????????? ???????? ????? ???? ??????? ??
????? ??? ?? ?????? ?? ????? ??? ??????? ?? ?????? ????? ??? .?????? ????? ??? ???? ??? ???? ???? ? ????? ??? ??? ?????? ??? ??????? ? ???? .????? ??
?
?????? ???? ??????? ?? ????
.???? ?????
????? ????? ?? ??? ????? ??? .??????? ?? ?????? ?????? ???? ??? ???????
?
????
?
?????? ?????? ? ???? ????? ????? ?? ?? ???? ) ??????? ??? ?? ????? ??? ????? ???? Economic
fundamentals ?????? ??? ????? ??? ? ( ) ??????? ?????? ?? ?? ????????? ??????? ??? ???? ? .?????? ? Causality ? ?????????? ?????? ??? ??????? ??? ?? ????? ??
?
????? ???? (
? ?? ??????? ?????? ??? ?????? ????? ????? ?? ??? .?????? ?????? ?? ???? ???
?
???? ???? ???????? ??? ?? ????? .????????? ? ???????? ??? ??????? ?? ???? ?? ???? ?? ?
?
??? ???????? ?? ???
????? ?? ?? ?????? ???? ??????? ??? ???? ? .??????? ??????? ???? ??? ?????? ????? ??? ??????? ??? ? ????? ?????? ????? ???? ? ? ????????? ? ?????????? ?????? ??? ????? ????? ?????
????? .?????? ???? ???? ???? ????? ??? ??? ????????? ???? ??? ????? ?????? ???? ??????? ? ???????? ?????? ????? ??? ?????? ???? ?????? ?? ????? ??? ?????? ????? ????? ???
??? ???? ???? ??? ? ??????? ??? ?????? ???? ??????? ??? ? ??????? ?????? ?????? ? ??????? ? ????? ?????? ????? ???? ??????? ? ???????? ?????? ?? ???????? ??? ? ???????? ? ??????? ???
.??????? ?????
?? ????? ?????? ????? ??? ?????? ??? ????? .????? ??? ????? ????? ?????? ???? ????? ??????? ????????? ???????? ???????? ? ??????? ???? ????? ?????? ?????? ????? ? ????????
??????? ????? ??? .????? ??????? ????? ? ?????? ??????? ????? ????? ??? ???? ??????? ?????? ??????? ??? ? ???????? ??????? ? ????? ?? ????? ????????? ??????? ???? ? ?????????
????? ????? ??? ????????? ?????? ??? ??????? ??? ??? ?? ???????? ??????? ??? ???? ??? ??????? ????? ??? .???????? ??? ??? ? ???????? ??????? ????? ?? ????????? ????? ???? ???
?? ????? ???????? ????? ??? ?? ? .???????? ??? ??????? ????? ?????? ? ?????? ??? ?? ???????? ????? ????? ????? ???????? ??????? ?? ?????? ?? ??????? ?????? ????? ??
?
?????? ?
?
???
???? ????? ???????? ?????? ??? ??? ??? ??????? ?????? ????? ? ?????? ??????? ????? ?? ???? ???????? ??????? ????? ?? ?? ?? ?? ? ??? ??????? ?????? ??????? ???? ? ??????? ?????? ??
???? ????? ??? ????? ??? .?????? ?????? ??? ??? ?????? ???? ???? ????? ????? ????????? ???????? ??? ?? ???? ????? ?????? ???? ??? ??? ??? ???? ????? ????????? ????????
?????? ??? ?? ?? ?????? ?????? ??? ??? ?? ?? ?????? ?????? ???? ????? ???? ??? ???????? ??????? .????? ???????? ?
????? ??? ?? ??????? ?? ???????? ????? ??? ?? ? ?????? ??????? ???????? ???????? ??????? ??????? ????? ? ????? ?????? ?????? ??????? ???????? ????
?
?????
?
?????? ?????? ?? ?
????? ???????? ??????? ?? ? ?????? ? ?????? ??? ????? ???? ??? ?? ???????? ??????? ?? ??? ??? ????? ????? ?????? ??? ??? ?? ? .???? ??? ?????? ??? 2012 ??
?
???? ????? ??? ? .
????? ? ????? ??????? ??????? ?????? ?? ??????? ???? ???? ?? ?
?
????? ????? ? ??????? ??????? ???? ??? ???? ??????? ???? ?? ? ????? ? ??????? ????? ???? ?? ?????? ????? ????
? ? .????? ????? ????? ?? ? ??? ????? ??????? ???
?
????? ????? ????? ??? ????? ??? ?? ? .?????? ? ?????????? ?????? ???? ???? ???? ?????? ???? ???????? ???????? ? ????????? ??????? ??????? ??? ???
?? ??? ?? ????? .????????? ??????? ?? ????? ? ??????? ? ???????? ????? ???????? ???????? ????? ??????? ? ?????? ???????? ??? ???????? ?
??? ?? ????????? ?????? ?????? ??? ?? ? 2012 ????? ??? ?????? ? ?????? ???????? ????? ???? ? ??????? ? ?????? ???????? ??? ??? ??????? ???? ? ????? ????? ? ????????? ??? ? ?????????
.?????? ? ?????? ???? ?? ??????? ?? ???????? ? ?????? ???? ??? ????? ??? ????? ????? ??????? ??????? ???? ????? ? ???????
??????? ????? ???
?? ?????? ??? ?????? ??????? ??? ??????? ??? ?? ???????? ) ???? Signal approach ) ???????? ??????? ????? ? ( Probit Model ???????? ??? ???????? ? ????? ??? ?????? (
??? ??????? ??? ???? ????????? .?????? ??????
1 - ?? ??? ??????? ????? ??? ?? ????? ????? ????? ???? ????????? ???????? ??? 2012 ?? ??? ????? ?? ? ???????? ??????? ??????? ??? ????? ???? ?? ? .
?
????
?
??????? ?????? ??? ????? ???
) ?????? ?????? ??? ?? ?????? ??????? Signal approach ) ???????? ??????? ????? ? ( Probit Model ?? ??? ????? ? .??????? ??????? ????? ?? ?? ?????? ??? ?????? ???? ?? ? .( ?????
??? ?????? ?????? ? ????????? ????????? ???? ?????
?
?????
?
??????? ?????? ??????? ?? ?????? ???? ????? ???? ???????? ?? ?? 2 % ?????? ?? ?????? ??? ????? ??? ???? ??? ??? ?? ??? ??
.??????
2 - ?? ??? ??????? ????? ??????? ???????? ??? ?? ?????? ???? ??? ?? ????? ????? ????? ???? ?? 2012 ? ?? ?????? ??????? ??????? ??? ????? ???? ?? ? .
?
????
?
??????? ?????? ??? ????? ???
) ?????? ?????? ??? Signal approach ) ???????? ??????? ????? ? ( Probit Model ???? ?????? ? .( ?? ?????? ???? ????? ???? ?????? ?? ????? ?????? ?????? ?
?
??????? ????? ???????
.?????? ???? ??
3 - ??? ??? ?? ?????? ????? ?????? ?? ?????? ???? ??? ???????? ????? ???? ) ?????? ?????? Signal approach ( ? ??? ?????? ???? ?? ??? ? .????? ??? ? ???
?
?????
?
??????? ????? ???
????? ?? ?????? ) ???????? ??????? Probit Model .(?????? ??????? ??) ?????? (
4 - ?? ??? ?????? ???? ??? ?????????? ???????? ????????? ?? ??? ?? ?????? ???? ??? ??????? ?????? ?????? ?? ????? ???????? ??? ??? ???? ??????? ??) ??????? ??????? ????? ?? ?? ????
.(?????? ) ?????? ??????? ?? ?????? ??? ?????? ???? ?? ? 0.017 .???????? ??????? ?? ?????
?
????
?
???? ???? ???? ???????? ?? ?????? ??? ? .(
5 - ???? ????? ???? ?? ? ?????? ?????? ??? ?? ????? ???????? ??????? ???????? ??? ???? ?? ?????? ??? ?? ?????? ?????? ?? ) ???? Signal approach ???????? ??????? ????? ? (
) Probit Model ) ????? ?????? ?????? ? ( 0.02 ) ?? ???? ?????? ?????? ??? ??? ?? ? ????????? ??????????? ?????? ??????? ???????? ????? ???? ????? ???? ?????? ? .( 0.05 ???? ?? ??? (
? ?? ?????? ??????? ???? ?? .?????
??? ?? ??????? ?? ?????? ????? ????? ???? ???????? ??? ?? ???? ?????? ??????? ?? 2012 ???? ???????? ?????? ?????? ?? ????? ???????? ??????? ???? ????????? ????????? ???? :??
? ???????? ??????? ???????? ??? ???? ??????? ??????? ?????? ?????? ??? ??????? ??????? ?? ?????? ???? ????? ???? ?????? ????? ??? .???????? ????? ? ?????? ?????? ??? ?? ????
††
) ?????? ????? ???? SD ????? ( 0.10 .?????? ????
32 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
? ???????? ??????? ???????? ????? ? ??????? ?????? ?????? ?? ????? ???????? ????? ? ?????? ???? ????? ? ????????? ????????? ?? ? ???????? ????? ?????? .???????? ????? ??
????? ?? ????????? ?????? ???? ?????? ?? ????? ???? :
??? ?? ?????? ???? ????? ??? ???? ??? ?????? ????? ?? ?????? ????? ?? ?????? 2012
?
????? ?????????? ???????? ?????? ??? ? ???????? ?? ????? ?????? ???? ?? ??????? ??
????? ???? ???? ?? ?????? ???? ???? ?? ??? .???? ?? ??? ? ?????? ?????? ??? ???????? ??????? ????? ??? ??????? ???? ??? ??????? ??????? ??? ?? ??? 2012 ???? ??????? ?? ??? ??
? ?????? ??? ?????? ??? ?? ?????? ?? ????? ??? ? .????? ?? ?????? ?? ????? ?? ??? ?????? .???????? ??????? ??? ?????
?
????? ???? ?? ?????? ????? ?? ?????? ????????? ?????? ???? ?? ?
?? ???? ? .??????? ?????? ???? ?? ??????? ???? ? ??????? ? ???????? ?????? ? ??????? ?????? ?????? ?? ???? ??? ????? ??? ?????? ? ???????? ???? ?? ?????? ??? .??????? ?? ?
??? ?? ??????? ?? ?????? ???? ??? ???? 2012 ?????? ?? ???? ?? ???) ???????? ????????? ????? ? ???????? ?????? ??? ???? ??????? ???? ???? ?? ???? ??? ?????? ?????? ???? .(???????
?????? ?? ??????? ??? ?????? ?????? ??? ???? ????? ?? ????? ? ??? ????? ??? ?????? ???????? ??????? ????? ??? ?
?
???? 2014 .
??? ?? ??????? ?? ?????? ???? ??? ?????? 2012 ???? ??? ???? ??????? ???? ????? ????? ? ???? ?? ????? ??? ???????? ?? ?? ???? ???? ????????? ?????? ?? ???? ?????? ?????? ????? 66 %
?? ?????? ?? ??????? ???? ???? ??? .???? ??? ?? ??????? ?????? ?????? ???? ??? ? ??????? ?????? ??? 54.6 % ??? ?? ????????? ?????? ???? ?? 1994 ???? ? ? 26.7 % ?????? ???? ??
??? ??????? 1998 ???? ? ? 24.3 % ??? ?????? ?? 1997 ???? ? ? 60.1 % ??? ???????? ?? 1999 ????? ? . ???? ?????? 100 % ??? ?? ??????? ?? 1997 .
??? ?? ??????? ?? ?????? ???? ??? ???? ???? ????? ???????? ?? ? 2012 ?? ???????? ??????? ???????? ??????? .???????? ????????? ?? ?????? ???? ? 1651 ??? ?? ???? ????? 2011
??? 262 ??? ?? ???? ????? 2012 ????? ?? ? 84 % ??? ?? ?????????? ?? ???? ???? ?????? ?? ???? ????? ? ????? ???? ??? ? . 1998 ??? ???? ??? 88 % ???? ?? ? ???? ??? ?? 111 %
.????? ??? ??
????? ???????? ?? ??????? ????? ??????
????? ????? ?? ??????? ??? ????? ????? Blaszkiewicz (2000) ) ?????? ?? ???? ??? ?? ?????? ????? ??? ????? ???? ? 1997 - 1998 ?? ??????? ?????? ????? ??? ???? ???? ? (
) ??????? Economic Fundamentals ?? ??????? ?? ??????? ???? ?? ???? ? ???????? ????? ????? ? ??????? ??????? ??? ????? ???? ?? ???? ?????? ????? ? ( ????? ??? .??????? ?? ??????
Jakubiak (2000) ??????? ?????? ?? ????? ?? ?????? ??? ????????? ?????? ????? ??? ???? ?? ??
?
????? ???????? ????????? ??? ????? ??? ???? ??? ? ???? ??????? ??? ? .???? ??? ? ?
.??????? ??????? ????? ?????
????? ?? ?????? ????? ) ??????? ??????? ??? ?????? ?????? ???? ??? Fiscal Imbalances ????? ??? ?????? ???? ? ( Kaminsky and Reinhart (1999) ???? ???? ??? ??? ???? ?
.????????? ???? ?????? ????? ??? Aziz et al (2000) ???? ? ??????? ??????? ??? ?????? ?? ??? ????? ??? ? ??? ?????? ???? ??? ??????? ??????? ?? ??? .????? ???? ?????? ?? ??????? ???????
???????? ??????? ???????? ???? ?????? ???? ??? .
4 ??????? .
??? ?? ????????? ?????? ???? ??????? ??? ?? ?????? 2012 ???????? ??? ??? ??? .?????? ???? ????? ???? ????? ???? ?????? ???? ???? ????????? ???????? ??? ???? ?????? ???? ?? ? .
??? ???? ?? ??????? ????? ? .????????? ????????? ? ????? ????? ??? ????????? ????? ?? ??????? ?? ?????? ???? ????? ?????? ????????? ??????? ???? ????? ??? ????? ? ???? ? .???? ?????
???? ??????? ?? ????? ?? ??????? ?? ???? ?? ? .???? ?????? ?? ??????? ??? ????????? ??????? ???? ??????? ?? ?????? ???? ????? ?????? ?? ?????? ?? ?? ??????? ?????? ????? ? ??????? ? ?
?.??????? ? ????????? ??????? ???? ????? ?? ???
?
???? ???? .???????? ??????? ?????? ?? ?
? ?????? ?????? :??? ?????? ???? ?????? ???????? ???????? ??? ?? ???????? ?? ? ) ???????? ??????? ????? Probit Model ??? ? .( ????? ????? ???? ??????? ??? ?? ?????? ?????? ????? ??
??? ?? ??????? ?? ?????? 2012 ? ????????? ????????? ??? ??????? ??????? ?????? ?????? ??? ???? ???????? ?????? ?????? ?? ????? ???????? ??????? ???? :?? ??????? ???????? ??? ???
?? ?? ????? ???????? ) ???????? ??????? ????? ????? ??? .???????? ????? ? ?????? ?????? ? Probit Model ?? ???? ??? ( ???? ?????? ????? ??????? ?? ?????? ???? ????? ???? ??????
?? ? ???????? ????? ? ???????? ??????? ???????? ? ??????? ?????? ?????? ?? ????? ???????? ? ?????? ??? ?? ????? ??? ??? ???????? ?????? ?????? ??? ???? ??? .???????? ????????? ?????
.???????
??? ???? ??? ???????? ????????? ?????? ??????? ?? ?????? ???? ????? ????? ???? ????????? ???????? ??? ?? ?? ??????? ???? ? ?? ????? ???????? ??????? ?? ??????? ???? ???? ? .????
?? ???? ??? ??? ????? ???? ??????? ??? .???? ?????? ? ???????? ??? ???? ???? ????? ????????? ?????? ?? ???????? ??? ??????? ??? ?? ?????? ????? ??? ???????
?
?????? ?????? ????? ?
2012 ???? ??? ? ??????? ?? ????? ??????? ??? ???? ??? ? ??? ?????? ??????? ??????? ?????? ????? ???? ??? ??? ???? ??? ??????? ????? ????? ?? ?? ??? ? .?????? ? ?????? ????
????? ????? ????? ??????? ???? ???? .??????? ????? ?? ???? ???????? ??????? ?????? ??? ????? ????? ??? ????? ??? ???? ????? ?? ? ?????? ???????? ? ???????? ????? ??
????? ????? ? ?????? ? ?????? ??????? ?????? ??????? ??? ?? ??????? ???? ??? .?????? ???? ????? ???? ??????? ??????? ??????? ???? ???? ?????? ????? ?????? ???? ? ???? ????? ???
????? ?? ???? ?????? ?????? ?????? ? ????????? ??????? ?????? ?????? ????? ??? ???????? ?????? ? ??????? ?????? ????? ??????? ????? ??? .????? ? ??????? ?????? ? ??????? ?????? ??
.???????
????? ?? ????? ?????? ??? ? ??????? ? ?????? ???? ???????? ????? ????? ?? ??? ??????? ??????? ???
?
????? ? ???????? ???? ?? ????? ??? ? .?????? ???? ???? ??? ?? ???? ????? ???????
?? ????? ?????? ????? ??? ??????? ????? ????? ??? ????????? ??????? ??????? ??? ?????? ????? ??? ?? ? ?????? ??????? ??????? ???? ????? ? .(??????? ???? ???? ????) ???
?? ??? ????? ??? ???????? ??????? ?????? ????? ????? ? ??????? ?? ?????? ???? ????? ????? ?????? ?????? ??? ? ??????? ?? ???????? ????? ?????? ????? ? ???????? ?????? ????? ? ?????
.?????? ? ?????? ??????? ????? ? ???????
??????? ??? ?????? ?? ?????? ??????? ????? ???? ???? ? ??? ??????? ???????? ???? ??? ????? ?????? ???? ????? ???? .???? ??????? ???? ??? ? ???????? ??????? ?? ???????? ?? ?
??????? ????? ??? ???????? ?? ????? ??? ??? ? .??? ???? ????? ????? ? ????? ???? ??? ????? ?? ??????? ???????? .
?? ????????? ? ? ???????? ??????? ?????? ?????? ??????? ?? ???? ?? ???? .??????? ???????? ??? ????? ????? ??? ??????? ?? ?????? ??????? ?? ??????? ??????? ??? ?????? ???? ???? ??
.??????? ??? ???????? ???????? ? ???????? ??????
REFERENCES
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45(7), 1121-1150.
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???? 1 - ) ?????? ?????? Signal Approach ( .
Source of data: Authors’ calculation
-250
-200
-150
-100
-50
0
50
100
150
Graph (A-1): Foreign Exchange Market
Pressure Index (FEMPI)
?????? ????? ??? ??? ???? Threshold
34 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
Source of data: CBOS Annual Report, Different Issues
Source of data: WDI
Source of data: WDI
0
0.2
0.4
0.6
0.8
1
1.2
Graph (A-2): Inflation rate percentile
distribution
?????? ???? Threshold
0
0.2
0.4
0.6
0.8
1
1.2
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Graph (A-3): Import as % of GDP Percentile
Distribution
???????? / ??????? ?????? Threshold
0
0.2
0.4
0.6
0.8
1
1.2
2000200120022003200420052006200720082009201020112012
Graph (A-4): GDP Annual Growth Rate Percetile
Distribution
???????? ????? ???? Threshold
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 35
Source of data: IMF IFS
???? 2 - ) ???????? ??????? ????? Probit Model Results ( .
???? ???????
Dependent Variable: Y
Method: ML - Binary Probit (Quadratic hill climbing)
Sample: 1980 2012
Included observations: 33
Convergence achieved after 5 iterations
QML (Huber/White) standard errors & covariance
Variable Coefficient Std. Error z-Statistic Prob.
C -4.959052 3.014892 -1.644852 0.1000
INF 1.488842 0.806294 1.846524 0.0648
LRESERV -0.503359 0.221550 -2.271986 0.0231
LIMP 1.891431 0.944290 2.003020 0.0452
CLAIMS 0.599557 0.325683 1.840923 0.0656
GR 3.446659 7.242427 0.475898 0.6341
McFadden R-squared 0.307100 Mean dependent var 0.181818
S.D. dependent var 0.391675 S.E. of regression 0.361616
Akaike info criterion 1.020698 Sum squared resid 3.530684
Schwarz criterion 1.292790 Log likelihood -10.84152
Hannan-Quinn criter. 1.112249 Deviance 21.68304
Restr. Deviance 31.29319 Restr. log likelihood -15.64660
0
0.2
0.4
0.6
0.8
1
1.2
2000200120022003200420052006200720082009201020112012
Graph (A-5): Intrnational Reserves Growth
Percentile Distribution
???????? ????????? ??? Threshold
0
0.2
0.4
0.6
0.8
1
1.2
2000200120022003200420052006200720082009201020112012
Graph (A-6): Claims on Government (% of
Broad Money) Percentile Distribution
??????? ???????? / ?????? ??? Threshold
36 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
LR statistic 9.610154 Avg. log likelihood -0.328531
Prob(LR statistic) 0.087066
Obs with Dep=0 27 Total obs 33
Obs with Dep=1 6
) ??? ???? A-1 ( .
?????? ???????
Dependent Variable: Y
Method: ML - Binary Probit (Quadratic hill climbing)
Sample: 1980 2012
Included observations: 33
Convergence achieved after 5 iterations
Covariance matrix computed using second derivatives
Variable Coefficient Std. Error z-Statistic Prob.
C -6.105887 3.313531 -1.842713 0.0654
INF 0.018269 0.010085 1.811563 0.0701
LRESERV -0.506272 0.260148 -1.946094 0.0516
LIMP 2.260247 1.143382 1.976808 0.0481
CLAIMS 0.006581 0.005351 1.229740 0.2188
POL 0.692578 0.944834 0.733016 0.4635
McFadden R-squared 0.342130 Mean dependent var 0.181818
S.D. dependent var 0.391675 S.E. of regression 0.351626
Akaike info criterion 0.987480 Sum squared resid 3.338308
Schwarz criterion 1.259572 Log likelihood -10.29342
Hannan-Quinn criter. 1.079031 Deviance 20.58684
Restr. Deviance 31.29319 Restr. log likelihood -15.64660
LR statistic 10.70635 Avg. log likelihood -0.311922
Prob(LR statistic) 0.057523
Obs with Dep=0 27 Total obs 33
Obs with Dep=1 6
) ??? ???? A-2 (
?????? ???????
Dependent Variable: Y
Method: ML - Binary Probit (Quadratic hill climbing)
Sample: 1980 2012
Included observations: 33
Convergence achieved after 5 iterations
QML (Huber/White) standard errors & covariance
Variable Coefficient Std. Error z-Statistic Prob.
C -7.024521 3.527256 -1.991498 0.0464
INF 0.019397 0.008999 2.155428 0.0311
LRESERV -0.502683 0.203221 -2.473582 0.0134
LIMP 2.459962 1.095126 2.246282 0.0247
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38 37
CLAIMS 0.660982 0.311320 2.123158 0.0337
GR 5.779862 6.938518 0.833011 0.4048
POL 1.002440 1.049153 0.955476 0.3393
McFadden R-squared 0.362166 Mean dependent var 0.181818
S.D. dependent var 0.391675 S.E. of regression 0.360109
Akaike info criterion 1.029086 Sum squared resid 3.371643
Schwarz criterion 1.346527 Log likelihood -9.979926
Hannan-Quinn criter. 1.135896 Deviance 19.95985
Restr. Deviance 31.29319 Restr. log likelihood -15.64660
LR statistic 11.33334 Avg. log likelihood -0.302422
Prob(LR statistic) 0.078605
Obs with Dep=0 27 Total obs 33
Obs with Dep=1 6
) ??? ???? A-3 (
?????? ???????
Dependent Variable: Y
Method: ML - Binary Probit (Quadratic hill climbing)
Sample: 1980 2012
Included observations: 33
Convergence achieved after 6 iterations
QML (Huber/White) standard errors & covariance
Variable Coefficient Std. Error z-Statistic Prob.
C -7.436029 3.480070 -2.136747 0.0326
INF 0.017840 0.010089 1.768233 0.0770
LRESERV -0.621626 0.181159 -3.431373 0.0006
LIMP 2.503044 1.051192 2.381149 0.0173
CLAIMS 0.683213 0.286492 2.384757 0.0171
GR 10.16280 8.258181 1.230634 0.2185
COUP 0.531351 0.290325 1.830191 0.0672
McFadden R-squared 0.501964 Mean dependent var 0.181818
S.D. dependent var 0.391675 S.E. of regression 0.311815
Akaike info criterion 0.896519 Sum squared resid 2.527948
Schwarz criterion 1.213960 Log likelihood -7.792570
Hannan-Quinn criter. 1.003329 Deviance 15.58514
Restr. deviance 31.29319 Restr. log likelihood -15.64660
LR statistic 15.70805 Avg. log likelihood -0.236138
Prob(LR statistic) 0.015410
Obs with Dep=0 27 Total obs 33
Obs with Dep=1 6
) ??? ???? A-4 (
???????? ???? - (??????? ????) ?????? Expectation-Prediction Table
Expectation-Prediction Evaluation for Binary Specification
Success cutoff: C = 0.5
38 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 22–38
Estimated Equation Constant Probability
Dep=0 Dep=1 Total Dep=0 Dep=1 Total
P(Dep=1)C 1 4 5 0 0 0
Total 27 6 33 27 6 33
Correct 26 4 30 27 0 27
% Correct 96.30 66.67 90.91 100.00 0.00 81.82
% Incorrect 3.70 33.33 9.09 0.00 100.00 18.18
Total Gain* -3.70 66.67 9.09
Percent Gain** NA 66.67 50.00
Estimated Equation Constant Probability
Dep=0 Dep=1 Total Dep=0 Dep=1 Total
E(# of Dep=0) 24.69 2.55 27.24 22.09 4.91 27.00
E(# of Dep=1) 2.31 3.45 5.76 4.91 1.09 6.00
Total 27.00 6.00 33.00 27.00 6.00 33.00
Correct 24.69 3.45 28.14 22.09 1.09 23.18
% Correct 91.44 57.53 85.28 81.82 18.18 70.25
% Incorrect 8.56 42.47 14.72 18.18 81.82 29.75
Total Gain* 9.62 39.35 15.03
Percent Gain** 52.93 48.09 50.51
*Change in "% Correct" from default (constant probability) specification
**Percent of incorrect (default) prediction corrected by equation
) ??? ???? A-5 (
doc_118679901.pdf