臺灣博碩士論文加值系統

近年來全球經濟互相依賴的關係日益加深，金融交易體系操作日趨複雜，使得金融環境的不安定因素逐步增加。全球經濟歷史上，爆發過許多次金融危機，金融危機一旦爆發時，對全球經濟市場都將產生無法估計的破壞，金融危機是全球經濟市場發展史上極具破壞力的不定時炸彈。除了帶給我們巨額的經濟損失之外，對全球經濟產生的影響至今還是令人記憶猶新彷彿還深陷在其中呢！尤其是2007年的金融海嘯，從美國金融業影響到美國實體經濟，進而蔓延至全球各國，不僅造成新興國家、美國、歐盟等國家之GDP趨緩更衍生出世界性的通貨膨脹，金融海嘯對世界各個國家未來的經濟發展影響甚巨。
本研究依據李桐豪等人(2010)之研究中，挑選出具有預測金融危機的領先指標，剔除資料長度不足變數，最後採納的資料包含台灣股價加權指數(SB01) 、貨幣供給額(M2) (MA0301)、台灣出口貿易總金額 (TC01)、西德州原油(PA16)、台灣進口貿易總金額 (TC02)、美元兌新台幣匯率(MC02)、美國道瓊工業指數(SB03)等等藉由具有領先效果、預警效果的指標、指數，參考侯德潛(2015)的做法，採用Eview 9.5套裝軟體來估算Band Pass Filter，並選擇全期非勻稱 (asymmetric)的CF Filter，探討寬頻濾波法的波動頻率探討金融危機領先指標是否具有預警效果。

In recent years, the interdependence of the global economy has become increasingly deepened, and the operation of financial transaction system has been complex day by day, resulting in an increase in the instability of the financial environment. In the history of global economic, there are lots of financial crises breaking out. Once the financial crisis breaking out, the outbreak of the global economic market will occur unpredictable damage. The financial crisis is the powerful loose cannon in the development of global economic market history. In addition to bring us the huge economic losses, the impact on the global economy is still remaining fresh memory as if still trapped in it! Particularly the 2007 financial crisis affected from the US finance to the US real economy, and then spread to countries worldwide. This caused not only the slowdown of the GDP for the developing countries, the United States, the European Union and other countries, but also derived the global inflation. The financial crisis made a quite huge effect for the future economic development to every country worldwide.

The study is based on the research of Lee, Tung-Hao et al. (2010), which selected the leading norms that could predict the financial crisis and eliminate the limited data. Taiwan Security Exchange Corporation-Weighted Stock Index(SB01), Money Supply (M2)(MA0301 ), USD Value of Export- Total- Taiwan(TC01), West Texas Interm ediate (PA16), US. Value of Imports- Total- Taiwan(TC02), The US dollar against the Taiwan dollar (MC02), The Dow Jones Industrial Average (SB03) and other leading. Referring to the ractice of Hou, De-Qian et al. (2015), estimate Band Pass Filter by using Eview 9.5 package and select the full period of non-symmetric (asymmetric) CF Filter, to explore if the fluctuation frequency of the Band Pass Filter had the warming effect to the financial crisis leading norm or not.

目 錄
第 一 章 緒論…………………………...………....…………..………………… 1
第一節 研究動機與目的…….……………….…………………….…….………. 1
第二節 研究架構………….….…………………….………………….…………. 3
第 二 章 文獻探討......................................................................................... 4
第 三 章 研究方法…..………………………………………………..………..... 6
第一節 時間序列資料處理....………………...…………….……………………. 6
第二節 Band Pass Filter理論說明.……………………………..………………. 8
第 四 章 實證結果與分析……………...……...……………………….………… 16
第一節 IPI指數驗證…………………...…..………………………....…………... 17
第二節 台灣金融循環領先指標驗證與探討………………….....…….………... 19
第 五 章 結論與建議……………………………….…………….……………….. 23
參考文獻…………………………...…………………………...…………………. 25






圖　次
圖4.1 工業生產指數IPI指數驗證………………………………………............ 18
圖4.2 IPI指數與景氣同時指標………………………………………………… 19
圖4.3 相同濾波下，台灣金融循環與工業生產指數(IPI)…............................ 21
圖4.4 台灣金融循環…………………………………………………………….. 22













表 次
表3.1 各變數的原始資料………………………………………………………… 6
表3.2 變數平穩性檢驗(unit root tests)…………………….…………….....…… 8
表4.1 台灣歷次景氣循環峰谷日期……..……………….……………………… 17
表4.2 台灣金融循環領先、落後期數…………………………………………... 22

參考文獻
侯德潛(2015)。我國總體金融穩定健全指標之評估與建構，中央銀行季刊，第37卷第1期，頁3-34。
李桐豪、江永裕、李立璿、楊啟均(2010)。台灣金融危機領先指標之研究，台灣金融服務業聯合總會委託計畫。
楊喻翔(2012)。金融情勢指標建構與央行利率法則之探討，國立臺北大學經濟學系研究所碩士論文。
管中閔、徐之強、黃裕烈、徐士勛(2014)。臺灣金融情勢指數與總體經濟關係，台灣經濟預測與政策，中央研究院經濟研究所，第44捲 第2期，頁103-132。
Baxter, M., & King, R. G. (1999). Measuring business cycles: approximate band-pass filters for economic time series. Review of economics and statistics,81(4), 575-593.
Christiano, L. J., & Fitzgerald, T. J. (2000). Understanding the fiscal theory of the price level (No. w7668). National bureau of economic research.
Christiano, L. J., & Fitzgerald, T. J. (2003). The band pass filter. international economic review, 44(2), 435-465.
Hodrick, R. J., & Prescott, E. C. (1997). Postwar US business cycles: an empirical investigation. Journal of Money, credit, and Banking, 1-16.
Stiglitz, J. (2000). What I learned at the world economic crisis. Globalization and the poor: Exploitation or equalizer, 195-204.
Reinhart, C. M., & Rogoff, K. S. (2010). Growth in a time of debt (digest summary). American Economic Review, 100(2), 573-578.