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    题名: 臺灣與中國系統性重要金融機構連動性之研究
    Study on the Connectedness of Systemically Important Financial Institutions between Taiwan and China
    作者: 陳彥民
    Chen, Yan-Min
    贡献者: 郭維裕
    Guo, Wei-Yu
    陳彥民
    Chen, Yan-Min
    关键词: 系統性重要銀行
    銀行系統性風險
    主成分分析法
    Granger因果關係檢定
    日期: 2023
    上传时间: 2023-07-06 16:32:06 (UTC+8)
    摘要: 本研究有感於 2023 年銀行倒閉風險肆虐，因此對臺灣與中國系統性重要銀行之連動性進行實證研究，希望了解過去系統性重要銀行間的系統性風險變化以及風險網路傳遞，為臺灣金融穩定性做出貢獻。本研究應用 Billio, Getmansky, Lo, and Pelizzon (2012)使用的主成分分析(Principal Component Analysis)以及 Granger 因果關係檢定(Granger Causality Test)，使用 Datastream 資料庫蒐集 2007 年至 2022 年間臺灣與中國共計 24 間系 統性重要金融機構之交易資料進行實證研究。

    本研究將總樣本期間切分成 8 個子樣本，觀察不同期間內系統性風險以及 Granger 因 果檢定，並視覺化成 Granger 因果網路。實證結果指出臺灣與中國系統性重要銀行間長期 存有相當程度的連動性，而在 2007 年-2008 年以及 2017 年-2018 年間，系統性風險有增 加的趨勢，前者可能是受次貸危機所影響，後者可能是受中美貿易戰所影響。此外，根據 Granger 因果關係檢定，臺灣系統性重要銀行中，富邦金最容易傳達風險，第一金最容易 接收風險，整體而言第一金有最高的連動性;中國系統性重要銀行中，平安銀行最容易傳達風險，中國建設銀行最容易接收風險，整體而言中國建設銀行有最高的連動性。
    參考文獻: Adrian, Tobias, and Markus K Brunnermeier, 2011, Covar, (National Bureau of Economic Research).
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    Reinhart, Carmen M, and Kenneth S Rogoff, 2009, This time is different, in This time is different (princeton university press).
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    李君屏, 楊子萱, 王佳眞, 2017, 台灣金融機構的系統風險－∆CoVaR、分量迴歸模型與隨機優勢檢定的應用, 風險管理學報 19, 61-86.
    林莉娜, 2016, 台灣金融機構之系統風險—CoVaR方法, 統計學系 國立臺北大學, 新北市.
    王曉輝, 2018, 臺灣銀行業考量CoVaR後其競爭性對穩定性之影響, 國際商務系碩士班 國立臺北商業大學, 台北市.
    鍾經樊, 2011, 涵蓋信用風險, 銀行間傳染風險, 與流動性風險的台灣金融系統風險量化模型, 中央銀行季刊.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    110351038
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0110351038
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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