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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/50844
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/50844


    Title: 建構台灣金融市場預警系統-馬可夫轉換模型之運用
    Markov-Switching Model for Taiwan financial crises
    Authors: 楊瑋勻
    Contributors: 李桐豪
    楊瑋勻
    Keywords: 馬可夫轉換模型
    金融市場危機
    Date: 2010
    Issue Date: 2011-09-29 16:50:33 (UTC+8)
    Abstract: 我國金融業歷經國內外多次金融風暴,風暴後的金融重建工作往往耗費極大的人力與社會資源,我們若能早日建構金融預警系統,藉由相關指標的變動趨勢來評估整體金融體質脆弱程度,期望建構出的金融預警系統可以在危機發生前發出警訊,使決策者得以及時採取適當防範措施,及早發現問題並提出因應對策,將可有效降低金融危機發生的機率或減輕其所造成的影響。
    本研究歸納國際上對於金融危機及預警系統之重要研究後,選擇馬可夫轉換過程為主要理論基礎,考量台灣本身的特殊性,在變數選擇上,本研究共選擇三大類共22個解釋變數,分別為(1)總體經濟指標變數(2)資本帳指標變數(3)金融部門穩健度指標變數,輔以主成份分析法找出台灣金融市場特有指標變數後,利用兩個主成份因子套入馬可夫轉換過程,即可獲得每一個時間點下的危機推論機率。
    本研究發生危機的推論機率結果和「台灣金融服務業聯合總會委託計畫-台灣金融危機領先指標之研究」比較,發現其預測能力準確程度頗為優異,在臨界機率為10%下,可以預測到全部的危機發生,唯領先期間略有差異。此外,使用者可以自行選擇不同的臨界機率,以反映對危機的趨避程度,也提供系統使用者操作上的彈性。
    Reference: 中文文獻
    吳懿娟(2003),”我國金融危機預警系統之研究”,中央銀行季刊,第二十五卷第三期,9月,5-42頁。
    陳順宇(2005),多變量分析。華泰書局,2005年四版。
    張瑞元、林金賢(2005),”建構銀行危機預警模型―訊號法與Panel Logit 之結合”,會計與公司治理,第一卷第二期,9-32頁。
    李桐豪、江永裕(2009),”台灣金融服務業聯合總會委託計畫-台灣金融危機領先指標之研究-台灣金融危機領先指標之研究”,台灣金融服務業聯合總會
    英文文獻
    Abiad, Abdul, (2003) "Early-Warning Systems: A Survey and a Regime-Swtiching Approach,” IMF Working Paper,WP/03/32.
    Bongini, Paola & Stijn Claessens & Giovanni Ferri, (2001) "The Political Economy of Distress in East Asian Financial Institutions," Journal of Financial Services Research, Springer, vol. 19(1), pp.5-25, February
    Caprio, Gerard, Klingebiel, Daniela, (2003) “Episodes of Systemic and Borderline Financial Crises.” World bank Research Dataset.
    Cerra, Valeriem and Sweta Chaman Saxena, (2002) “Contagion, Monsoons, and Domestic Turmoil in Indonesia’s Currency Crisis,” Review of Internaitonal Economics 10(1), pp.36-44(February).
    Davis, E.P. and Karim, D, (2008) “Comparing early warning systems for banking crises”, Journal of Financial Stability, 4, 2, pp 89- 120.
    Demirgüç-Kunt, A and Detragiache, E, (1998) "The Determinants of Banking Crisis in Developing and Developed Countries", IMF Staff Papers, Vol. 45, No.1.
    Goldstein Morris, Graciela L. Kaminsky and Carmen M. Reinhart, (2000) "Assessing Financial Vulnerability: An Early Warning System for Emerging Markets," Institute for International Economics, Washington, DC, June.
    Hardy, Daniel C. and Ceyla Pazarbasioglu, (1999) "Determinants and Leading Indicators of Banking Crises: Further Evidence", IMF Staff Papers 1999, (September/December), Volume: 46, No. 3.
    Jeanne, Olivier, and Paul Masson, (2000) “Currency Crises, Sunspots and Markov-Switching Regimes.” Journal of International Economics 50(2), pp.327-50(April)
    Kaiser, H. F., (1974) ”An Index of Factorial Simplicity,” Psychometrika, 39, pp.31-36.
    Kaminsky, Graciela L., Saul Lizondo and Carmen M. Reinhart, (1998) "Leading Indicators of Currency Crises," IMF Staff Papers, Vol.45, No. 1, March.
    Jahangir Aziz, Francesco Caramazza, Ranil Salgado, (2000) ”Currency Crises: In Search of Comment Elements, ” IMF Working Paper,WP/00/67.
    Martinez-Peria, Maria Soledad, (2002) “A Regime Switching Approach to Studying Speculative Attacks: A Focus on EMS Crises,” Empirical Economics 27(2), pp.299-334.
    Description: 碩士
    國立政治大學
    金融研究所
    97352013
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097352013
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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