臺灣博碩士論文加值系統

本文的主要目的是在找出造成亞洲金融危機的主要原因為何。本文首先使用GARCH模型，探討亞洲金融危機是否會在金融市場傳遞，亦即某一國家的金融危機是否會傳遞到其它國家，造成其它國家發生危機。實證結果發現金融危機在金融市場確實存在傳遞效果，而且外匯市場的傳遞效果最強、股票市場傳遞效果次之、利率市場傳遞效果最弱。
接著本文檢驗亞洲金融危機發生是因為基本面惡化或是傳染所引起。使用虛擬變數區分經濟體質脆弱與否及外匯準備適足性低或高的情況，探討危機是否易發生在經濟體質疲軟及外匯準備適足性低的國家，實證發現金融危機會發生在那些遭受實質匯率升值、金融體質脆弱及外匯存底適足性低之基本面疲弱之國家。
接著使用總體經濟環境類似指標來檢查危機的發生是否和傳染有關，實證發現存在傳染的跡象，但效果不強。本文亦發現國家間緊密的直接貿易往來亦是造成危機的重要因素之一。 但是外資流入、短期外資流入、外人直接投資及經常帳總體變數皆無法解釋金融危機的發生。

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 1
第三節 研究方法 2
第四節 研究流程 2
第二章 亞洲金融危機 4
第一節 金融危機的定義 4
第二節 傳染定義及管道 5
第三節 亞洲金融危機文獻探討 7
第四節 亞洲金融危機歷程 11
第三章 金融市埸傳遞效果 13
第一節 外匯市埸 14
第二節 股票市埸 18
第三節 貨幣市埸 20
第四章 基本面 24
第一節 匯市壓力危機指標 24
第二節 虛擬變數及其它指標 26
第三節 基本模型 31
第四節 其它模型設定 35
第五節 其它經濟變數影響力探討 42
第六節 貿易關連性 48
第五章 傳染 55
第一節 傳染定義 55
第二節 總體經濟類似指標 56
第三節 總和檢定 63
第六章 結論及建議 65
附錄A 資料來源及資料構建 67
附錄B 亞洲金融風暴大事記 68
參考文獻 73

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