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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.
    Reference: 中央銀行 (2008)，金融穩定報告，第1期，中央銀行出版。
    中央銀行 (2021)，金融穩定報告，第15期，中央銀行出版。
    金融業務檢查處 (2018)，我國金融脆弱度總指標之建構-雷達圖分析法，自行研究報告，民國107年3月。
    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，37，3-34。
    徐士勛 (2023)，我國金融脆弱度指標之建構，中央銀行委託研究計畫，110cbc-金1
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    黃富櫻 (2010)，簡介「金融穩定」與「總體審慎」，國際金融參考資料，60，116-122。
    葉錦徽、徐之強、黃裕烈(2022)，臺灣金融穩定性風險指數之編製與應用，中央銀行委託研究計畫，110cbc-經2。
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    Vermeulen, R., M. Hoeberichts, B. Vašíček, D. Žigraiová, K. Šmídková, and J. de Haan, 2015, "Financial stress indices and financial crises," Open Economies Review, Vol. 26, No. 3, pp. 383–406.
    Vašíček, B., D. Žigraiová, R. Vermeulen, M. Hoeberichts, K. Šmídková, and J. de Haan, 2017, "Leading indicators of financial stress: New evidence," Journal of Financial Stability, Vol. 28, pp. 240–257.
    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:[Department of International Business] Theses

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