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研究生:盧孟吟
研究生(外文):Lu,Meng Yin
論文名稱:金融危機迴歸模型之建構:論美國次級房貸風暴的衝擊
論文名稱(外文):Constructing the Regression Model of the Financial Crises : The Impact of the Subprime Mortgage Crisis in U.S.
指導教授:胡聯國胡聯國引用關係
指導教授(外文):Hu,Len Kuo
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際經營與貿易研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:66
中文關鍵詞:金融危機金融自由化Logistic迴歸模型次級房貸
外文關鍵詞:financial crisisfinancial liberalizationlogistic regression modelsubprime mortgage crisis
相關次數:
  • 被引用被引用:9
  • 點閱點閱:303
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
過去三、四十年來世界各地發生金融危機的頻率較從前高出許多,探究原因後可以發現,與各國陸續開放金融自由化以及國際金融市場快速成長有極大的關係。除此之外,在各國中,金融危機的發生通常具備一些共同特徵,諸如危機發生時會導致資金外流、匯率大幅貶值、股市重挫、產出減少、進出口減少…等影響。因此,面對這一波次級房貸風暴,本研究也即將檢視美國在總體經濟數據上各方面的表現,希望能利用1970年以來已開發國家和開發中國家歷年來所發生的貨幣、銀行危機下所代表的各種總體經濟數據,經過轉化整理後,透過Logistic迴歸模型建立一個迴歸方程式,以了解金融危機的發生與實質匯率、進出口…等其他解釋變數之間的關聯,並利用此模型探測現階段次級房貸風暴對美國可能引發金融危機的機率值,以探討其合理性。
We find that the frequencies of the financial crises are higher for the past forty years in the world. It is due to the financial liberalization and international financial markets which grow rapidly. Besides, financial crises usually company with some common characteristics such as capital outflow, the depreciation of the foreign exchange, the shock of the stock market, the decreasing of the production and so on. Therefore, in order to understand this financial crisis of the subprime mortgage, this thesis surveys the economic data of developed countries and developing countries from 1970s and figures out the performances of these countries under balance-of -payments crises or banking crisis. We use the logistic regression model and transform the data to construct a regression model. After understanding the relationship between the explaining variables, we use this model to predict the probability of possible financial crisis in U.S. under the subprime mortgage crisis and then discuss the rationality of those predicted values.
摘 要 i
Abstract ii
目 錄 iii
圖 目 錄 iv
表 目 錄 v
第一章 緒論 1
第一節 研究背景和動機 1
第二節 研究目的 2
第三節 研究架構 2
第四節 研究限制 4
第二章 文獻探討 6
第一節 論金融危機 6
第二節 金融危機文獻探討 7
第三節 次級房貸風暴文獻探討 9
第三章 研究方法 13
第一節 本文研究論據 13
第二節 邏輯迴歸模型 22
第四章 實證分析 25
第一節 樣本期間與樣本選取 25
第二節 變數選取與研究假設 25
第三節 分析方法 26
第四節 實證結果 28
第五章 結論 36
中文參考文獻 37
英文參考文獻 38
附 錄 41
第一節 各國實證資料歸納 41
第二節 簡述次級房貸風暴 56
中文參考文獻
黃仁德、林進煌,2007,國際金融危機的經驗與啟示,台北市,聯經出版社
王濟川、郭志剛,2005,Logistic迴歸模型─方法與應用,台北市,五南書局
王鶴松,2005,金融危機與金融改革,台北市,台灣金融研訓院
華英惠,2003,贏戰金融危機,台北市,聯經出版社
王政東、吳美華,2002,經濟金融危機的防範與因應─各國經驗,台北市,台灣金融研訓院
殷乃平主持,沈中華協同主持,1999,各國對金融危機處理策略及我國因應之道,行政院研究發展考核委員會編印
葉秋南,1999,國際金融危機剖析,台北市,財團法人金融聯合徵信中心編輯委員會編印
吳宗正,1993,迴歸分析,台北市,三民書局


英文參考文獻
Atif R. Mian and Amir Sufi. “The Consequence of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis.” Working Paper, January 2008.
Borio, C. “The financial turmoil of 2007-?: a preliminary assessment and some policy considerations.” BIS Working Paper No 251, March 2008.
Calvo, Guillermo A.; Leiderman, Leonardo and Reinhart, Carmen M. “Capital Inflows and Real Exchange Rate Appreciation: The Role of External Factors.” International Monetary Fund Staff Papers, March 1993, 40 (1), pp. 108-151.
Caprio, G., D. Klingebiel, L. Laeven, and G. Noguera. “Banking Crisis Database.” In patrick Honohan and Luc Laeven (eds.) Systemic Financial Crises. Cambridge: Cambridge University Press, 2005.
Caprio, G. “Bank Regulation: The Case of the Missing Model.” World Bank Policy Research Working Paper No. 1574, January 1996.
Chomisisengphet, S., and A. Pennington-Cross. “The Evolution of the Subprime Mortgage Market.” Federal Reserve Bank of St. Louis Review, January/February 2006, 88(1), pp. 31-56.
Demyanyk, Y., and O. V. Hemert. “Understanding the Subprime Mortgage Crisis.” Working Paper, February 2008.
Doms, M., F. Furlong, and J. Krainer. “Subprime Mortgage Delinquency Rates.” Working Paper, November 2007.
Dornbusch, Rudiger; Goldfajn, Ilan and Valdes, Rodrigo O. “Currency Crises and Collapse.” Brookings Papers on Economics Activity, June 1995, pp.219-270.
Eichengreen, Barry; Rose, Andrew K. and Wyplosz, Charles. “Contagious Currency Crises.” Centre for Economic Policy Research (London) Discussion Paper No. 1453, August 1996a.
_______. “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks.” Economic Policy, October 1996b, 21 (21) pp.249-312.
Frankel, Jeffrey and Rose, Andrew K. “Exchange Rate Crises in Emerging Markets.” Journal of International Economics, November 1996, 41 (3-4), pp. 351-368.
Jomo, K. “Tigers in Trouble: Financial Governance, Liberalization and Crises in East Asia.” Zed books, 1999.
Kaminsky, G. L., and C. M. Reinhart. “The Twin Crises: The Cause of Banking and Balance of Payments Problems.” American Economic Review, Vol. 89, No. 3, January 1999, pp. 473-500.
Kindelberger, C. “Manias, Panics and Crashes.” New York: Basic Books, 1978.
Krugman, P. “A Model of Balance of Payment Crises.” Journal of Money, Credit and Banking, , Vol. 11, No. 3, August 1979, pp. 311-325.
Mishkin, Frederic S. “Understanding Financial Crises: A Developing Country Perspective.” In Michael Bruno and Boris Pleskovic, eds, Annual World Bank conference on development economics. Washington DC: World Bank, 1996, pp. 29-62.
Reinhart, C. M., and K. S. Rogoff. “Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison.” Working Paper, January 2008.
Sachs, J. and S. Radelet. “The Onset of the East Asian Financial Crises.” NBER Working Paper No. 6680, 1998.
Stoker, J. “Intermediation and the Business Cycle Under a Specie Standard: The Role of the Gold Standard in English Financial Crises, 1790-1850.” Mimeo, University of Chicago, 1994.
Velasco, Andres. “Financial Crises and Balance of Payments Crises: A Simple Model of the Southern Cone Experience.” Journal of Development Economics, October 1987, 27(1-2), pp. 263-283.
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