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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/59966
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59966


    Title: 編製台灣金融情況指數之可行性研究
    The feasibility study on building Taiwan financial conditions index
    Authors: 郭涵如
    Contributors: 李桐豪
    郭涵如
    Keywords: 主成分分析法
    三次平滑樣條
    向量自我迴歸模型
    Granger因果關係檢定
    Date: 2010
    Issue Date: 2013-09-04 10:07:19 (UTC+8)
    Abstract: 金融情況指數(FCI)是欲融合影響實質經濟活動過程不同貨幣傳遞管道,描述實際金融市場情形,被定義為金融變數與經濟活動之間的關係,主要是描述一些金融變數如何影響經濟現有以及未來的經濟情況,觀察執政者是否能透過執行政策使經濟活動獲得改變,甚或是推斷未來經濟情勢的特性。
    在之前國內建立的金融情況指數研究文章僅包括了利率、匯率與資產價格的貨幣傳遞過程,但信用傳遞過程對於現今總體經濟影響的重要性也不容小覷。本文即嘗試加入信用傳遞管道相關變數,依據Jan Hatzius et al.(2010)針對美國所建構的金融情況指數所選取的變數,依照台灣目前現有金融市場的變數或是具有相同概念之變數作為選取,透過主成分分析法挑選並建立五個小指標,再將小指標簡單平均,經過三次平滑樣條消除雜訊後建構出金融情況指數。
    研究結果顯示,於2003年2月至2010年12月期間,金融情況指數確實對於景氣情況之預測具有一定的實質幫助。以同時指標綜合指數當作台灣當前景氣狀況,金融情況指數的預測能力平均為55.3%。使用向量自我迴歸模型可發現金融情況指數在5%顯著水準下,前8期大都對於當期同時指標綜合指數具有影響力,而應用Granger因果關係檢定結果,在5%顯著水準下,金融情況指數具有領先同時指標綜合指數之關係。
    Reference: 徐千婷,2001,“我國貨幣情況指數之實證研究”,中央銀行季刊,23卷1期,頁69-95
    _____,2008,“我國金融情況指數之實證研究”,中央銀行季刊,30卷3期,頁5-48
    梁國源,2009,從經濟金融面指標判斷台灣景氣何時復甦,行政院經濟建設委員會委託計畫。
    梁國源、朱家祥、王凱民、白紋薰、周大森,2005,解讀台灣景氣密碼-預測經濟與股市波動。台北:富翁情報有限公司。
    陳順宇(民94)。多變量分析。四版。台北:華泰書局。
    鍾惠民、周賓鳳、孫而音(民98)。財務計量;Eviews的應用。初版。台北:新陸書局。
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    Boivin, J., M. Kiley, and F. Mishkin(2010), “How Has the Monetary Transmission Mechanism Evolved Over Time?” NBER Working Paper No. 15879.
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    de Boor, C. (1978) A practical guide to splines. Springer, New York.
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    Dudley, W., J. Hatzius, and E. McKelvey(2005),“Financial Conditions Need to Tighten Further,”US Economics Analyst, Goldman Sachs Economic Research.
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    Guichard, S. and D. Turner (2008), “Quantifying the effect of financial conditions on US activity,” OECD Economics Department Working Papers.
    Hatzius, J., P. Hooper, et al. (2010). "Financial Conditions Indexes: A Fresh Look after the Financial Crisis," NBER Working paper No. 16150.
    Hooper, P., T. Mayer and T. Slok (2007), “Financial Conditions: Central Banks Still Ahead of Markets,” Deutsche Bank, Global Economic Perspectives.
    Hooper, P., T. Slok and C. Dobridge (2010), “Improving Financial Conditions Bode Well for Growth,” Deutsche Bank, Global Economic Perspectives.
    Lin, Jin-Lung(1999), “The Monetary Conditions Index in Taiwan,”Academia Economic Papers, 27:4, 459-479.
    Macroeconomic Advisers(1998), “From the U.S. Economic Outlook,”Technical Notes: September 5.
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    Description: 碩士
    國立政治大學
    金融研究所
    98352019
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0098352019
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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