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研究生:龍湘霖
研究生(外文):Hsiang-lin Lung
論文名稱:雙重危機的相依結構-Copula分析
論文名稱(外文):Dependence Structure between the Twin Crises: A Copula Analysis
指導教授:賴宏彬賴宏彬引用關係
學位類別:碩士
校院名稱:國立中正大學
系所名稱:國際經濟所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:英文
論文頁數:63
中文關鍵詞:雙重危機Copula模型外溢效果
外文關鍵詞:twin crisescopulaspillover
相關次數:
  • 被引用被引用:0
  • 點閱點閱:341
  • 評分評分:
  • 下載下載:52
  • 收藏至我的研究室書目清單書目收藏:2
本論文以copula模型探討外匯市場和貨幣市場之間的相依結構。我們選擇使用混合型copula模型,以此可囊括大部份相依結構的型態。在實證研究部份,我們選擇泰國為樣本國家。我們發現泰國的外匯市場與貨幣市場之間有非對稱的相依結構,並存在著雙重危機。我們更以copula模型檢測出外溢效果的存在,此結果與其他比較模型的結果一致。
This thesis investigates the dependence structure between banking and currency crises using the concept of copula. Moreover, we use the mixed copula which nests most patterns of dependence structure and is useful in characterizing the co-movements of financial markets. In empirical study, we choose Thailand as our sample country and find that the dependence structure is asymmetric and put more observations in the left tail. We also the twin crises exists in Thailand case and the tendency that two markets are more likely to be in tension together in crises periods. Finally, we detect the evidence of spillover by using the estimated copula model and obtain the consistent results of other comparison models.
Contents
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . …….. 4
2 Definition of Two Market Indexes . . . . . . . . . . . . . . . . . . . . . 8
2.1 ISP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ………... . . 8
2.2 IMP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ………… . 9
3 The Copula Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . ... . 10
3.1 Definition, Sklar’s Theorem and Some Properties . . . . . . . 10
3.2 Measure of Concordance . . . . . . . . . . . . . . . . . . . . . ….. 12
3.3 Tail Dependence . . . . . . . . . . . . . . . . . . . . . . . . . . . ……16
3.4 The Parametric Copulas and Their Properties . . . . .. . . . ..17
3.5 The Mixture Copula . . . . . . . . . . . . . . . . . . . . . . . . …….18
4 Model Estimation and Specification . . . . . . . . . . .. . . . . . . . 20
4.1 Procedures for the Empirical Study . . . . . . . . . . . .. . . . . . 21
4.2 Filter of Stochastic Volatility . . . . . . . . . . . . . . . . …. .. . . 22
4.3 A Two-stage Semiparametric Estimation Method . . . . . . . 23
4.4 A Test for Specification on Copula Function . . . . . . . .. . . 24
5 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . …….29
5.1 Data Source and Univariate Models . . . . . . . . . . . . . . . . . 29
5.2 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ……….. . 31
6 Application of the Model . . . . . . . . . . . . . . . . . . . . . . . … . 33
6.1 Copula Method . . . . . . . . . . . . . . . . . . . . . . . ……. . . . . 33
6.2 Probit Model . . . . . . . . . . . . . . . . . . . . . . ……... . . . .. . 37
6.3 Volatility Transmission . . . . . . . . . . . . . . . ……. . . . . . . . 40
7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ……. . . 41
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6.Embrechts Paul, F. Lindskog, and Alexander McNeil (2003) "Modeling Dependence with Copulas and Applications to Risk Management," in Handbook of Heavy Tailed Distributions in Finance, ed. S. Rachev, Rotterdam, NL: Elsevier, Chapter 8, 329-384.
7.Genest, Christian, K. Ghoudi and Louis-Paul Rivest (1995), "A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions," Biometrika, 82:543-552.
8.Glick, Reuven and Michael M. Hutchison (2001), "Banking and Currency Crises: How Common Are Twins?" in Reuven Glick, Ramon Moreno and Mark M. Spiegel (eds.), Financial Crises in Emerging Markets, Cambridge University Press
9.Goldstein, Morris, Graciela L. Kaminsky and Carmen M. Reinhart (2000), Assessing Financial Vulnerability: An Early Warning System for Emerging Market, Institute for International Economics.
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12.Fortin, Ines and Kuzmics, Christoph (2002), "Tail-Dependence in Stock-Return Pairs," International Journal of Intelligent Systems in Accounting, Finance & Management, Vol.11,pp.89-107.
13.Kaminsky, Graciela and Carmen M. Reinhart (1999), "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review 89:473-500.
14.Mashal, Roy, and Assaf Zeevi (2002), "Beyond Correlation: Extreme Co-movements Between Financial Assets," Working paper, Columbia University.
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16.Patton, Andrew J. (2005), "Modelling Asymmetric Exchange Rate Dependence," Working paper, London School of Economics.
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18.Hagen, von Jürgen and Tai-kuang Ho (2004), "Empirical Links between Twin Crises in the 1980s and the 1990s: Were There Differences?" in Frenkel, Karmann, and Scholtens eds. Sovereign Risk and Financial Crises, Springer.
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