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| Title: | 金融穩定性之探討與預測
Exploration and Prediction of Financial Stability |
| Authors: | 黃詩茜
Huang, Shi-Qian |
| Contributors: | 郭維裕
黃詩茜
Huang, Shi-Qian |
| Keywords: | 金融穩定性
金融壓力
系統性壓力
Financial Stability
Financial Stress
Systemic Stress |
| Date: | 2024 |
| Issue Date: | 2024-08-05 11:56:11 (UTC+8) |
| Abstract: | 在新冠疫情爆發後，各界開始關注金融體系穩定狀況，希望能識別國家金融市場體系系統性風險，判斷其脆弱及嚴重程度已制定相關對應政策，「金融穩定性」及「金融壓力」又再次受到關注。本文從Vašíček et al. (2017)的研究中選擇了潛在領先指標，最終留下19個宏觀經濟和金融變數，分為消費、企業、政府、外部、金融和市場六個部門，應用於台灣金融體系的分析。參考Holló et al. (2012)的方法，構建了允許動態權重變化的綜合系統性壓力指標(CISS)，以更準確衡量金融壓力及穩定性，該指標綜合考慮了各部門間的壓力及關係，反映市場系統性困境，有助於理解金融體系運作和風險管理，提供更全面的預測和監測視角。本文建立了「綜合金融壓力指標」及「金融穩定性指標」以衡量台灣金融體系狀況，實證結果顯示兩者皆具解釋力，相輔相成，對政策制定者和市場投資人具有重要參考價值。
In the wake of the COVID-19 pandemic, there has been increased focus on the stability of financial systems globally. Stakeholders aim to identify systemic risks in national financial markets and assess their vulnerabilities and severity to formulate appropriate policy responses. "Financial stability" and "financial stress" have once again garnered significant attention. This study draws on the research by Vašíček et al. (2017) to select potential leading indicators, ultimately narrowing down to 19 macroeconomic and financial variables categorized into six sectors: consumption, business, government, external, financial, and market, for analysis of Taiwan's financial system. Following the methodology of Holló et al. (2012), a Composite Indicator of Systemic Stress (CISS) with dynamic weighting is constructed to more accurately measure financial stress and stability. This indicator comprehensively considers the pressures and interrelations among the various sectors, reflecting systemic market distress. It aids in understanding the functioning and risk management of the financial system, offering a more comprehensive perspective for prediction and monitoring. The study establishes a "Composite Financial Stress Indicator" and a "Financial Stability Indicator" to evaluate the condition of Taiwan's financial system. Empirical results demonstrate that both indicators possess explanatory power and are complementary, providing valuable insights for policymakers and market investors in devising relevant policies and investment strategies. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
111351013 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111351013 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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