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    题名: 金融危機迴歸模型之建構：論美國次級房貸風暴的衝擊
    Constructing the Regression Model of the Financial Crises : The Impact of the Subprime Mortgage Crisis in U.S.
    作者: 盧孟吟
    Lu, Meng Yin
    贡献者: 胡聯國
    Hu,Len Kuo
    盧孟吟
    Lu,Meng Yin
    关键词: 金融危機
    金融自由化
    Logistic迴歸模型
    次級房貸
    financial crisis
    financial liberalization
    logistic regression model
    subprime mortgage crisis
    日期: 2008
    上传时间: 2016-05-09 11:26:28 (UTC+8)
    摘要: 過去三、四十年來世界各地發生金融危機的頻率較從前高出許多，探究原因後可以發現，與各國陸續開放金融自由化以及國際金融市場快速成長有極大的關係。除此之外，在各國中，金融危機的發生通常具備一些共同特徵，諸如危機發生時會導致資金外流、匯率大幅貶值、股市重挫、產出減少、進出口減少…等影響。因此，面對這一波次級房貸風暴，本研究也即將檢視美國在總體經濟數據上各方面的表現，希望能利用1970年以來已開發國家和開發中國家歷年來所發生的貨幣、銀行危機下所代表的各種總體經濟數據，經過轉化整理後，透過Logistic迴歸模型建立一個迴歸方程式，以了解金融危機的發生與實質匯率、進出口…等其他解釋變數之間的關聯，並利用此模型探測現階段次級房貸風暴對美國可能引發金融危機的機率值，以探討其合理性。
    We find that the frequencies of the financial crises are higher for the past forty years in the world. It is due to the financial liberalization and international financial markets which grow rapidly. Besides, financial crises usually company with some common characteristics such as capital outflow, the depreciation of the foreign exchange, the shock of the stock market, the decreasing of the production and so on. Therefore, in order to understand this financial crisis of the subprime mortgage, this thesis surveys the economic data of developed countries and developing countries from 1970s and figures out the performances of these countries under balance-of -payments crises or banking crisis. We use the logistic regression model and transform the data to construct a regression model. After understanding the relationship between the explaining variables, we use this model to predict the probability of possible financial crisis in U.S. under the subprime mortgage crisis and then discuss the rationality of those predicted values.
    參考文獻: 中文參考文獻
    黃仁德、林進煌，2007，國際金融危機的經驗與啟示，台北市，聯經出版社
    王濟川、郭志剛，2005，Logistic迴歸模型─方法與應用，台北市，五南書局
    王鶴松，2005，金融危機與金融改革，台北市，台灣金融研訓院
    華英惠，2003，贏戰金融危機，台北市，聯經出版社
    王政東、吳美華，2002，經濟金融危機的防範與因應─各國經驗，台北市，台灣金融研訓院
    殷乃平主持，沈中華協同主持，1999，各國對金融危機處理策略及我國因應之道，行政院研究發展考核委員會編印
    葉秋南，1999，國際金融危機剖析，台北市，財團法人金融聯合徵信中心編輯委員會編印
    吳宗正，1993，迴歸分析，台北市，三民書局


    英文參考文獻
    Atif R. Mian and Amir Sufi. “The Consequence of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis.” Working Paper, January 2008.
    Borio, C. “The financial turmoil of 2007-?: a preliminary assessment and some policy considerations.” BIS Working Paper No 251, March 2008.
    Calvo, Guillermo A.; Leiderman, Leonardo and Reinhart, Carmen M. “Capital Inflows and Real Exchange Rate Appreciation: The Role of External Factors.” International Monetary Fund Staff Papers, March 1993, 40 (1), pp. 108-151.
    Caprio, G., D. Klingebiel, L. Laeven, and G. Noguera. “Banking Crisis Database.” In patrick Honohan and Luc Laeven (eds.) Systemic Financial Crises. Cambridge: Cambridge University Press, 2005.
    Caprio, G. “Bank Regulation: The Case of the Missing Model.” World Bank Policy Research Working Paper No. 1574, January 1996.
    Chomisisengphet, S., and A. Pennington-Cross. “The Evolution of the Subprime Mortgage Market.” Federal Reserve Bank of St. Louis Review, January/February 2006, 88(1), pp. 31-56.
    Demyanyk, Y., and O. V. Hemert. “Understanding the Subprime Mortgage Crisis.” Working Paper, February 2008.
    Doms, M., F. Furlong, and J. Krainer. “Subprime Mortgage Delinquency Rates.” Working Paper, November 2007.
    Dornbusch, Rudiger; Goldfajn, Ilan and Valdes, Rodrigo O. “Currency Crises and Collapse.” Brookings Papers on Economics Activity, June 1995, pp.219-270.
    Eichengreen, Barry; Rose, Andrew K. and Wyplosz, Charles. “Contagious Currency Crises.” Centre for Economic Policy Research (London) Discussion Paper No. 1453, August 1996a.
    _______. “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks.” Economic Policy, October 1996b, 21 (21) pp.249-312.
    Frankel, Jeffrey and Rose, Andrew K. “Exchange Rate Crises in Emerging Markets.” Journal of International Economics, November 1996, 41 (3-4), pp. 351-368.
    Jomo, K. “Tigers in Trouble: Financial Governance, Liberalization and Crises in East Asia.” Zed books, 1999.
    Kaminsky, G. L., and C. M. Reinhart. “The Twin Crises: The Cause of Banking and Balance of Payments Problems.” American Economic Review, Vol. 89, No. 3, January 1999, pp. 473-500.
    Kindelberger, C. “Manias, Panics and Crashes.” New York: Basic Books, 1978.
    Krugman, P. “A Model of Balance of Payment Crises.” Journal of Money, Credit and Banking, , Vol. 11, No. 3, August 1979, pp. 311-325.
    Mishkin, Frederic S. “Understanding Financial Crises: A Developing Country Perspective.” In Michael Bruno and Boris Pleskovic, eds, Annual World Bank conference on development economics. Washington DC: World Bank, 1996, pp. 29-62.
    Reinhart, C. M., and K. S. Rogoff. “Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison.” Working Paper, January 2008.
    Sachs, J. and S. Radelet. “The Onset of the East Asian Financial Crises.” NBER Working Paper No. 6680, 1998.
    Stoker, J. “Intermediation and the Business Cycle Under a Specie Standard: The Role of the Gold Standard in English Financial Crises, 1790-1850.” Mimeo, University of Chicago, 1994.
    Velasco, Andres. “Financial Crises and Balance of Payments Crises: A Simple Model of the Southern Cone Experience.” Journal of Development Economics, October 1987, 27(1-2), pp. 263-283.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    95351041
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095351041
    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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