Abstract：China's exchange rate reform and RMB internationalization lead to significant increase in the fluctuation range of the exchange rate. Monitoring the fluctuation of China's foreign exchange market and early warning timely are the prerequisites for resisting the impact of external shocks. This paper aims to monitor and warn the fluctuation of China's foreign exchange market. First, we calculate the foreign exchange market pressure index(EMP) to reflect the fluctuations of the foreign exchange market and identify whether there is a currency crisis in China; then we select early warning indicators from the three aspects: macro economy, banking system and external shocks, and build four different forms of Logit models. Through HL and forecast-expectation analysis tests, we find that the dynamic Logit model has the best fitting effect. The model shows that the probability of currency crisis happening is negatively correlated with the foreign exchange reserve and inflation rate, but positively correlated with M2/domestic credit. Finally, this paper predicts the probability of the currency crisis happening in the following year based on dynamic model. By the BP neural network model and changing the recognition method, we conduct robust tests and conclude that China's foreign exchange market fluctuates steadily and the probability of currency crisis happening is very low.

Keyword：Exchange Market; Currency Crisis; EMP Index; Dynamic Logit Model; Neural Network Model;