臺灣博碩士論文加值系統

由於金融市場有自我預期實現之特性，股市泡沫的增長與崩滅反映了市場對於泡沫信念之強化與削弱。由Minsky (1991)所提出的金融市場不穩定假說認為經濟體的波動有可能是來自金融市場的不穩定，而此不穩定不需藉由非預期到的外在力量來達成。由於貨幣市場主導了股票市場籌碼的增減與信用擴張之程度對未來景氣預期的影響，如果金融市場不穩定假說可以充分描述經濟體系的不穩定，那貨幣市場便有可能主導市場對於未來泡沫的預期。由於理性預期假說無法解釋經濟體的內在波動亦無法解釋為何泡沫完全崩滅後會再度形成，本研究主要目的便是檢驗究竟在金融市場不穩定假說的架構下，市場對於泡沫的重複形成與崩滅之信念是否由貨幣市場來主導。
因此，本研究在股利價格比的架構下，推導出當存在本質泡沫與只反映市場基要的共整合向量，用以過濾出市場對泡沫的信念。接著利用Probit模型去描述貨幣市場變數對先驗泡沫信念的影響，然後結合貝氏估計與馬可夫轉換下去估計共整合向量與Probit模型。藉由結合貝氏估計與馬可夫轉換，實證結果能夠顯示市場對於泡沫信念之強化與削弱的動態過程，並且能夠檢驗貨幣市場變數是否對股市泡沫的信念有顯著影響。

Since the financial market posses the feature of the self-fulfilling prophecy, the growth and collapse of stock market bubbles reflects the amplification and diminishing of the beliefs of bubbles. The financial instability hypothesis proposed by Minsky (1992) suggested that the fluctuation in the economy may be resulted from the instability of financial market and such instability could be triggered without exogenous disturbances. As the money market dominates the increases and decreases in stock market funds and the impact of credit amplification on the future expectation of the economy, the money market may be capable of dominating the expectation of bubbles in stock market if the economy system is characterized sufficiently by the financial instability hypothesis. Due to that the rational expectation hypothesis is unable to illustrate endogenous fluctuations in the economy and the reoccurrence of bubbles after complete collapse, the goal of this thesis is to examine whether the belief of repeated crash and arise on bubbles is dominated by the money market following the structure of the financial instability hypothesis.
Therefore, this thesis derives cointegration vectors which represent existing intrinsic bubbles and market fundamentals. These vectors can be utilized to filter out the market participant’s belief about bubbles. By using Probit model, the influence of monetary variables on the prior belief of bubbles can be depicted. These vectors and Probit model can be estimated by combining Bayesian econometric framework and Markov Regime-switching approach. The empirical result can display the dynamic process of beliefs of repeat crash and arise on bubbles and show how money market does play a crucial role to dominate these beliefs.

Acknowledgment i
Chinese abstract ii
English abstract iii
1. Introduction 1
2. Literature review 4
2.1 A review of the financial instability hypothesis and stock market bubbles 4
2.2 Methodologies for testing bubble 6
3. Econometric modeling 12
3.1 The background 12
3.2 Modeling framework 15
3.3 Estimation procedure 24
4. Empirical results 31
4.1 Data description and choice of the prior state variable 31
4.2 Estimation outcomes and their implication 33
5. Conclusions 39
References 40

Albert. J., and S. Chib, 1993a, Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts, Journal of Business and Economic Statistics, vol. 11, pp.1-15.
Albert. J., and S. Chib, 1993b, Bayesian analysis of binary and polychotomous response data, Journal of the American Statistical Association, vol. 88, pp.669-679.
Bohl, M.T., 2002, Periodically collapsing bubbles in the US stock market? International Review of Economics and Finance, vol. 12, pp.385–397.
Campbell, J., A. W. Lo, and A.C. MacKinlay, 1997, The Econometrics of Financial Markets, Princetion University Press.
Campbell, J., and R.J. Shiller, 1988, The dividend–price ratio and expectations of future dividends and discount factors, Review of Financial Studies, vol. 1, pp.195–227.
Coakley, J., and A.M. Fuertes, 2005, Valuation ratios and price deviations from fundamentals, Journal of Banking and Finance, vol. 30 , pp.2325–2346.
Cochrane, J., H. 1992, Explaining the variance of price dividend ratios, Review of Financial Studies, vol. 5, pp.243-280.
Craine, R., 1989, Asset prices and economic fundamentals: A new test, manuscript, Berkeley.
Diba, B.T., and H.I. Grossman, 1998a, Explosive rational bubbles in stock prices? American Economic Review, vol. 78, pp.520–530.
Diba, B.T., and H.I. Grossman, 1998b, The theory of rational bubbles in stock price, Economic Journal, vol. 98, pp.746–754.
Enders, W., and C.W.J. Granger, 1998, Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates, Journal of Business and Economic Statistics, vol. 16, pp.304–311.
Enders, W., and P.L. Siklos, 2001, Cointegration and threshold adjustment, Journal of Business and Economic Statistics, vol. 19, pp.166–176.
Evans, G.W., 1991, Pitfalls in testing for explosive bubbles in asset prices, American Economic Review, vol. 81, pp.922–930.
Filardo, A.J., and S.F. Gordon, 1998, Business cycle durations, Journal of Econometrics, vol. 85, pp. 99-123.
Flood, R.P., and P.M. Graber, 1980, Market fundamentals versus price-level bubbles: The first tests, Journal of Political Economy, vol. 88, pp.745-770.
Froot, K.A., and M. Obstfeld., 1991, Intrinsic bubbles: The case of stock prices, The American Economic Review, vol. 81, pp.1189-1214.
Fukuta, Y., 1998, A simple discrete time approximation of continuous time bubbles, Journal of Economic Dynamics and Control, vol. 22, pp.937-954.
Gallagher, L.A., and M.P. Taylor, 2001, Risky arbitrage, limits of arbitrage, and nonlinear adjustment in the dividend–price ratio, Economic Inquiry, vol. 39, pp.524-536.
Hall, S.G., Z. Psaradakis, and M. Sola, 1999, Detecting periodically collapsing bubbles: A Markov-switching unit root test, Journal of Applied Econometrics, vol. 14, pp.143–154.
Hamilton, J.D., 1986, On testing for self-fulfilling speculative price bubbles, International Economic Review, vol. 27, pp.545-552.
Hamilton, J., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, vol. 57, pp.357-384.
Hansen, L., and T.J. Sargent, 1979, Formulating and estimating dynamic linear rational expectations models, Working Paper, University of Carnegie-Mellon, Graduate School Indus. Admin.
Manzan, S., 2004, Nonlinear Mean Reversion in Stock Prices, Working Paper, University of Amsterdam, Department of Quantitative Economics.
Minsky, H.P., 1992, The financial instability hypothesis, Working Paper, The Jerome Levy Economics Institute of Brad College.

Poterba, J.M., and L.H. Summers, 1986, The persistence of volatility and stock market fluctuations, American Economic Review, vol. 76, pp.1142-1151.
Singleton, K., 1979, On the estimation of linear macroeconomic models with rational expectations, Working Paper, University of Virginia, Department of Economics.
Timmermann, A., 1995, Cointegration tests of present value models with a time-varying discount factor, Journal of Applied Econometrics, vol. 10, pp.17-31.
Vanden, J.M., 2005, Equilibrium analysis of volatility clustering. Journal of Empirical Finance, vol. 12, pp.374–417