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研究生:蔡佾璋
研究生(外文):Yi-Chang Tsai
論文名稱:歐元危機之領先指標_以KLR警訊模型
論文名稱(外文):Leading Indicators for Eurozone Crisis_Based on KLR Signal Approach
指導教授:沈中華沈中華引用關係
口試委員:黃台心聶建中林昆主
口試日期:2013-06-27
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2013
畢業學年度:103
語文別:英文
論文頁數:56
中文關鍵詞:金融危機貨幣危機預警系統
外文關鍵詞:Financial CrisisCurrency CrisisEarly Warning System
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  • 點閱點閱:99
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2009年以來,整個歐元區一直飽受經濟衰退,此次的金融危機的時間和嚴重程度,卻讓市場措手不及。現今不少相關預警系統的文獻,主要在於系統化預測金融危機研究。當中最為人所知的“訊號預警系統”方法是由Kaminsky,Lizondo和Reinhart(KLR)提出。[領先指標的貨幣危機,國際貨幣基金組織工作人員論文第45號,1998年,1-48頁]。本文檢測KLR方法是否可在較早的時間點預測到歐元區的金融危機。使用了一系列廣泛的指標證明,KLR方法對於預測歐元區危機具有某程度上的預警能力。

Despite the fact that whole the Euro area has been suffering from recession since 2009, the timing and severity of the recent financial crisis surprised most observers. There is an extensive literature on early warning systems, which claim to be apt for a systematical prediction of financial crises. One of the most prominent “early warning system” approaches was first developed by Kaminsky, Lizondo, and Reinhart (KLR) [Leading Indicators of Currency Crises, International Monetary Fund Staff Papers No. 45, 1998, pp. 1–48]. This paper analyzes whether the KLR approach could have predicted the Eurozone financial crisis at an earlier point in time. Using a broad set of indicators, it is shown that the forecasting quality of this approach is fairly good in the case of Eurozone area.

中文摘要 4
Abstract 5
Chapter 1: Introduction 6
Chapter 2: Literature Review 8
Signal Approach 11
Problem Definition 13
Chapter 3: Eurozone Crisis Background 14
Nowadays situation 18
Thesis Purpose 21
Chapter 4: Methodology 22
Chapter 5: Empirical Results 27
Prediction of Current Crisis 29
Probability of Future Crisis 32
Chapter 6: Conclusion 35
Chapter 7: References 36
Complementary Data 40


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