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    题名: 金融穩定性之探討與預測
    Exploration and Prediction of Financial Stability
    作者: 黃詩茜
    Huang, Shi-Qian
    贡献者: 郭維裕
    黃詩茜
    Huang, Shi-Qian
    关键词: 金融穩定性
    金融壓力
    系統性壓力
    Financial Stability
    Financial Stress
    Systemic Stress
    日期: 2024
    上传时间: 2024-08-05 11:56:11 (UTC+8)
    摘要: 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.
    參考文獻: 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
    陳裴紋 (2013)，金融壓力指數之建置與應用－台灣的個案研究，中央銀行季刊，35，11-62。
    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。
    Babecky, J., T. Havránek, J. Mateju, K. Rusnák, K. Smídková, and B. Vasícek, 2014, "Banking, debt, and currency crises in developed countries: Stylized facts and early warning indicators," Journal of Financial Stability, Vol. 15, pp. 1–17.
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    Cambón, M. I., and L. Estévez, 2016, "A Spanish Financial Market Stress Index (FMSI)," The Spanish Review of Financial Economics, Vol. 14, No. 1, pp. 23–41.
    Cardarelli, R., S. Elekdag, and S. Lall, 2009, "Financial stress, downturns and recoveries," IMF Working Paper, pp. 1–58.
    European Central Bank, 2009a, "Box 1: A Global Index of Financial Turbulence," Financial Stability Review, December, pp. 21–23.
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    European Central Bank, 2010, "Special Feature B: Analytical Models and Tools for the Identification and Assessment of Systemic Risks," Financial Stability Review, June, pp. 138–146.
    European Systemic Risk Board, 2012, "ESRB Risk Dashboard," Issue 1, September.
    Gadanecz, B., and K. Jayaram, 2009, "Measures of financial stability – A review," A chapter in Proceedings of the IFC Conference on "Measuring financial innovation and its impact," Basel, 26-27 August 2008, No. 31, pp. 365–380, Bank for International Settlements.
    Gray, D. F., R. C. Merton, and Z. Bodie, 2007, "New framework for measuring and managing macrofinancial risk and financial stability," NBER Working Paper No. 13607, November.
    Grimaldi, M. B., 2010, "Detecting and interpreting financial stress in the euro area," ECB Working Paper Series, No. 1214.
    Hawkins, J., and M. Klau, 2000, "Measuring potential vulnerabilities in emerging market economies," BIS Working Papers, No. 91, October.
    Hollo, D., M. Kremer, and M. Lo Duca, 2012, "CISS – a composite indicator of systemic stress in the financial system," ECB Working Paper, No. 1426.
    Illing, M., and Y. Liu, 2003, "An index of financial stress for Canada," Bank of Canada Working Paper, 2003-14.
    Illing, M., and Y. Liu, 2006, "Measuring Financial Stress in a Developed Country: An Application to Canada," Journal of Financial Stability, Vol. 2, No. 3, pp. 243–265.
    IMF, 2006, "Financial soundness indicators: compilation guide," Washington, D.C.: International Monetary Fund.
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    Nelson, W., and R. Perli, 2005, "Selected indicators of financial stability," Irving Fisher Committee on Central Bank Statistics, No. 23, pp. 92–105.
    Sandahl, J. F., M. Holmfeldt, A. Rydén, and M. Strömqvist, 2011, "An Index of Financial Stress for Sweden," Sveriges Riksbank Economic Review, No. 2, pp. 49–67.
    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.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    111351013
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0111351013
    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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