臺灣博碩士論文加值系統

本文利用36 個國家，從1995 年到2012 的年資料，透過Logit 計量模式探討國內對私部門授信、房地產價格及總體經濟變數對金融危機之關係，其中金融危機又可分為銀行危機、通貨危機與主權外債危機，而為了增加研究的完整性，本文亦探討若發生所謂過度信用擴張(Credit Boom)與房價大幅上揚(Housing Boom)時，是否更會增加金融危機的發生；此外，本文也採用偏離值的概念，以各變數的實際觀測值減去以時間序列的平方算出的趨勢值後，將所得的差額(GAP)進行分析，藉以期盼能有更好的危機預測能力。
實證結果發現，前一期的國內對私部門授信佔GDP 的比例與銀行危機的發生有關，且若發生信用過度擴張及房價大幅上揚時，更會增加銀行危機發生的機率；通貨危機則與國內對私部門授信佔GDP 的比例、房價指數都無顯著的關係；主權外債危機則是要在發生過度信用擴張或房價大幅上揚時才呈現顯著的相關。而若以差額進行分析則發現，國內對私部門授信佔GDP的比例或房地產價格指數的差額皆與銀行危機的發生有顯著的正向關係，與使用原始值分析的結果相似；通貨危機的發生則與國內對私部門授信佔GDP 的比例的差額有關，但房地產價格的差額仍無顯著關係；主權外債危機則是與房地產價格指數的差額有顯著關係，與國內對私部門授信佔GDP 的比例則無顯著關係。

In recent years, a number of countries have experienced different type of financial crisis, including banking crisis, currency crisis and the sovereign debt crisis; some researchers have mentioned that many crises are associated with the credit boom and housing boom. It means that the rapid growth of domestic credit and house price may increase the likelihood of financial crises. This paper uses Logit Model to determine whether the financial crises are associated with the booms or other macroeconomic variables. According to the definition of the booms, domestic credit to private sector share of GDP and housing price index are employed as proxies of credit boom and housing boom. We choose the sample from 36 countries around the world with the sample period extend from 1995 to 2012 with annual data to examine the relationship. In addition, we also used the concept of deviation value. We use the actual observed values of each variable minus the square of the time-series trend of the calculated value to be our deviation value (or call it GAP) to determine whether it has a better forward predictive power in crises.
Empirical results show that the ratio of the previous period of domestic credit to the private sector share of GDP are related to banking crisis, and if a credit boom or a housing boom occurs, it will increase the probability of having a banking crisis; as to currency crises, both domestic credit to the private sector share of GDP and housing price index have no significant relationship; sovereign debt crisis is only significantly to credit booms or housing booms. As to the deviation value, both the gap of the domestic credit to private sector share of GDP and housing price index are significantly associated with banking crises. While the currency crises are only associated with the gap of domestic credit to private sector share of GDP. Sovereign debt crises are only associated with the gap of housing price index.

中文摘要 ..................................................................... I
英文摘要 ..................................................................... II
第一章 緒論 .................................................................. 1
第一節 研究動機 .............................................................. 1
第二節 研究目的 .............................................................. 2
第三節 研究架構 .............................................................. 3
第二章 文獻回顧............................................................... 5
第一節 信用過度擴張與風險 .................................................... 5
第二節 房地產價格大幅上揚與風險 .............................................. 9
第三節 金融危機 .............................................................. 12
第三章 研究設計............................................................... 19
第一節 資料來源與基本統計量 .................................................. 19
第二節 變數定義 .............................................................. 28
第三節 模型設定 .............................................................. 32
第四章 實證結果分析 .......................................................... 37
第一節 相關性分析 ............................................................ 37
第二節 迴歸結果分析 .......................................................... 37
第五章 結論與建議 ............................................................ 43
第一節 研究結論 .............................................................. 43
第二節 政策面義涵 ............................................................ 44
第三節 研究限制與建議 .........................................................45
參考文獻...................................................................... 46
一、中文參考文獻 ............................................................. 46
二、英文參考文獻 ............................................................. 46
附錄一 房價指數來源 .......................................................... 49
附錄二 實際值與趨勢之差額 .................................................... 51
著作權聲明 ................................................................... 57

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