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    Title: 臺灣跨境資本移動極端事件驅動因素之實證分析
    An empirical study on the driving forces of extreme capital flows episodes in Taiwan
    Authors: 陶佳妤
    Tao, Jia-Yu
    Contributors: 朱美麗
    陶佳妤
    Tao, Jia-Yu
    Keywords: 跨境資本移動極端事件
    推拉因素框架
    Cloglog模型
    Date: 2022
    Issue Date: 2022-08-01 18:26:57 (UTC+8)
    Abstract: 本研究為探討臺灣跨境資本移動的趨勢及其驅動因素,參考朱美麗等人(2022)的研究方法,將總資本移動依投資類型拆解為直接投資、證券投資及其他投資,討論1990年至2021年期間,臺灣跨境資本移動的週期性與波動性;並根據Forbes and Warnock(2012)對於極端資本移動事件之定義及方法,建構Cloglog模型進行迴歸,探討驅動臺灣跨境資本移動極端事件的國際推力因素及國內拉動因素。

    本研究發現,臺灣跨境資本移動的波動性在2014年聯準會縮表恐慌時期達到最高,同時,其他投資的波動率有逐漸高於證券投資波動率的趨勢,顯示各類型投資在不同時期可能作為臺灣跨境資本移動的主要驅動力,故進而以實證方法分析各類型投資的驅動因素。

    迴歸分析結果顯示,直接投資的極端事件主要受原油價格影響,高油價水準將提高資本流入激增與資本流出外逃事件的發生機率,而降低資本流入停止的發生機率;證券投資極端事件普遍受全球風險影響,當金融市場波動率指數升高,會降低資金流入激增事件發生機率,而提高流入停止及流出緊縮事件的發生機率;其他投資則依不同極端事件類型,分別由油價、先進經濟體利率所驅動。最後,本研究發現相較於國際推動因素,國內拉動因素對臺灣資本移動極端事件的影響較小,與過去研究新興市場的文獻結論一致。
    Reference: 朱美麗、馮立功、洪福聲 (2022),「全球跨境資本移動之變化與驅動因素及對 新興市場經濟金融之影響」,台北外匯市場發展基金會委託研究計畫。

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    Description: 碩士
    國立政治大學
    經濟學系
    109258005
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0109258005
    Data Type: thesis
    DOI: 10.6814/NCCU202200934
    Appears in Collections:[經濟學系] 學位論文

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