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研究生:徐嘉嶸
研究生(外文):Chia-jung Hsu
論文名稱:本國金融危機預警之研究
指導教授:陳碧綉陳碧綉引用關係
指導教授(外文):Chen, Bih-Shiow
學位類別:碩士
校院名稱:東吳大學
系所名稱:經濟學系
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:2009
畢業學年度:97
語文別:中文
論文頁數:43
中文關鍵詞:亞洲金融風暴本土性金融危機雙卡風暴雙變量Probbit模型
外文關鍵詞:Asian financial crisislocal financial crisisdouble-card debt crisisBivariate probit model
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回朔台灣歷年的重大金融危機,如1997年亞洲金融風暴、1998年本土性金融危機、2005年雙卡風暴,以及美國次級房貸引發全球性的金融海嘯,各個成因與傳導機制不盡相同,但對本國各個層面將產生一定程度的破壞,所必須付出的成本實在難以估計,因此本文嘗試以本國為單一研究對象,分析歷年重大之金融危機,探究何種指標具有危機之預測能力且在合理的預測誤差範圍內,提供危機發生前之即時警訊。
金融危機發生背景與成因不儘相同,不同金融危機是否有著相同產生因素,或看似彼此獨立的風暴個體是否潛藏交互影響的因素,本文將進一步討論彼此的相關性。如1997年第四季本國受亞洲金融風暴波及之後,於隔年第四季因地雷股效應引發本土性金融風暴,相隔不過數個月時間,危機所帶來的衝擊,由貨幣面影響到實質面,兩者之間很難斷定是否獨立發生,或是存在交互影響關係,所以在實證部份將釐清兩者之間的相關程度,且在有相關程度下,分析是否能提供更多之預警訊息。本文實證結果顯示,以較高的預測危機發生正確率與較低的型一、型二誤差之模型,分別提出對各個金融危機有預警效果之研究變數,且在後續檢定危機之間存在交互作用,再由雙變量Probbit模型分析得知,影響本土性金融危機之研究變數「M1b增加率」由兩個部份組成,除了對危機本身的直接效果,且涵蓋來自於亞洲金融風暴的間接效果。
Taiwan's major financial crises over the past years included Asian financial crisis in 1997, local financial crisis in 1998, double-card debt crisis and global financial tsunami triggered by U.S. sub-prime loan. Each of them may have its own cause and transmission mechanism, but definitely did hut Taiwan in many aspects. It is hard to estimate the induced cost. This study, hence, analyzes the major financial crises of Taiwan in the past years. The main purpose is to find out the predictive leading indicators which provide immediate warnings prior to the crisis within reasonable forecast errors.
The background and causes of all financial crises are not exactly the same. Different financial crises may be induced by the same factors or seemingly independent but are interactive with potential factors. This study will discuss further the relevance of crises. After the outbreak of Asian financial crisis in the fourth quarter of 1997, anther local financial crisis from junk stocks happened in less than a few months. The influence of these crises affected Taiwan from monetary aspect to real aspect. It is difficult to determine whether the two crises occurred separately or there is an interaction between them. Therefore, this study tries to clarify the correlation between two crises in empirical part and analyzes whether the early warning can be provided when they are relevant. Under criterion of high forecast accuracy of crisis, the empirical results find leading predictive variables for each financial crisis. Furthermore, Bivariate probit model with interaction between crises is analyzed, the results show that the “Increasing rate of M1b”affecting 1998 local financial crisis in Taiwan consists of two parts. One is the direct effect from crisis itself and another is the indirect effect from Asian financial crisis.
第一章 緒論.......................................................1
第一節 研究背景與動機........................................1
第二節 研究目的..............................................2
第三節 論文架構與流程........................................2
第二章 文獻回顧...................................................4
第一節 金融危機之定義與成因探討..............................4
第二節 金融危機之領先指標....................................8
第三節 總體審慎指標 .........................................9
第三章 研究方法 .................................................11
第一節 金融危機預警模型介紹.................................11
第二節 變數選擇-主成份分析法...............................14
第四章 實證分析..................................................17
第一節 研究變數說明與主成份分析法...........................17
第二節 單變量Probit計量模型................................24
第三節 雙變量Probit計量模型-交互影響分析..................34
第五章 結論......................................................39
參考文獻...........................................................41
參考文獻
中文文獻
吳懿娟 (2003),「我國金融危機預警系統之研究」,中央銀行季刊,第25卷第3期。
曾秀英 (1999),「東亞金融危機之成因探討-四小虎及其與台灣、新加坡、香港之比較」,國立台灣大學財務金融研究所碩士論文。
鄧家駒 (2004),多變量分析,台北:華泰文化。
劉憶如、何佳 (1999),東亞十國金融風暴前與後,台北:商鼎財經顧問。
英文文獻
Corsetti, Giancarlo, Paolo Pesenti, and Nouriel Roubini(1999),”Paper Tigers?A Model of the Asian Crisis,” European Economic Review,43, 1211-1236.
Demirguc-Kunt, A. and E. Detragiache,(1998a), ”The Determinants of Banking Crises in Developing and Developed Countarise,” IMF staff papers,45(1), 81-109.
Demirguc-Kunt, A. and E. Detragiache, (1999), ”Monitoring Banking Sector Fragility: AMultivariate Logit ApproachWith an Application to the 1996/97 Banking Crises,”IMF Mimeo.
Demirguc-Kunt, A. and E. Detragiache, (1998b),”The Determinants of Banking Crisis in Developing and Developed Countries,”IMF Staff Papers, 45(1).
Frankel, J. and A. K. Rose, (1996), ”Currency Crashes in Emerging markets: An Empirical treatment,” Jounal of International Economics, 41, 351-66.
Frankel, J. and A. K. Rose, (1996),”Currency Crashes in Emerging Markets: Empirical Indicators,”NBER Working Paper, 5437, Cambridge, Massachusetts: National Bureau of Economic Research, January.
Gonzalez-Hermosillo, B., C. Pazarbasioglu and R. Billinnngs, (1997),”Determinants of Banking System Fragility: A case study of Mexico,” IMF staff papers, 44(3), 295-314.
Hardy, D. C. and C. Pazarbasioglu (1999), ”Determinants and Leading Indicators of Banking Crises: Further Evidence”, IMF Staff Papers , 46(3).
Kaminsky, G.. L., S. Lizondo and C. M. Reinhart,(1998),”Leading Indicator of Currency Cris,” IMF working papers,45(1), 1-48.
Kaminsky, G. L. and C. M. Reinhart,(1999), “The Twin Crises: The Causes of Banking and Balance-of-Payments Problems,” American Economic Review, Vol. 89, No 3, June, 473-500.
Kaufman, G. G. (2000), “Banking and Currency Crises and Systemic Risk: Lessons from Recent Events,” Economic Perspectives, Third Quarter, Federal Reserve Bank of Chicago, 9-28.
Krugman, Paul,(1979),”A Model of Balance of Payments Crises”, Journal of Money, Credit, and Banking 11, August, 311-25.
Morris, G., G. L. Kaminsky and C. M. Reinhart ,(2000), ”Assessing Financial Vulnerability: An Early Warning System for Emerging Markets,” Institute for International Economics, Washington, DC.
Michael H., and KathleenMcDill,(1999), ”Are All Banking Crises Alike? The Japanese Experience in International Comparison”, Pacific Basin Working Paper Series, No. PB9902.
Mishkin, F. S., (2001), “Financial Policies and the Prevention of Financial Crises in Emerging Market Countries”, NBER Working Paper, 8087, January.
Obstfeld, M., (1996), “Models of Currency Crises with Self-fulfilling Features,” European Economic Review, April, 40(1), 1037-47.
Park, J. and P.C.B. Phillips (2000),”Nonstationary Binary Choice,”Econometrica, 68(5), 1249-1280.
Persaud, A. D., (2000),” Sending the Herd Off the Cliff Edge: The Disturbing Interaction Between Herding and Market-Sensitive Risk Management Practices,”The Institute of International Finance Essay Competition in honor of Jacque de Larosiere.
Reinhart, C. M. and K. S. Rogoff,(2008), ”This Time is Different:A Panoramic View of Eight Centuries of Financial Crises,”NBER Workung Paper.
Sachs, J. D., A. Tornell and A. Velasco, (1996),“Financial Crises in Emerging Markets: The Lessons from 1995.” Brookings Papers on Economic Activity 1: 147-215.
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