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博碩士論文 etd-0512114-151016 詳細資訊
Title page for etd-0512114-151016
論文名稱
Title
台灣抗循環資本緩衝機制之研究-利用Credit-to-GDP gap搭配本國銀行放款預期損失
On the Study for Taiwan’s Counter-Cyclical Capital Buffer-using Credit-to-GDP gap coupled with Expected Loss of Domestic Banks
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
74
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2014-06-07
繳交日期
Date of Submission
2014-06-12
關鍵字
Keywords
Basel III、總體審慎、抗循環資本緩衝、金融壓力指數、一階自我迴歸模型
Financial Stress Index, Countercyclical Capital Buffer, Macroprudential, Basel III, AR(1)
統計
Statistics
本論文已被瀏覽 5739 次,被下載 112
The thesis/dissertation has been browsed 5739 times, has been downloaded 112 times.
中文摘要
本研究著重於Basel III總體審慎監理工具下的抗循環資本緩衝可行機制之設計,以BCBS(2010)各國主管機關抗景氣循環緩衝資本操作指引(Guidance for national authorities operating the countercyclical capital buffer)中的共同參考指標Credit-to-GDP gap為主要指標,並參考郭照榮(2013)的ㄧ階自我迴歸模型,估計跨循環(through the cycle)下的不良放款率,再計算本國銀行放款預期損失,當本國銀行放款預期損失增加,代表發出預警訊號,並以此為輔,來對台灣抗循環資本緩衝可行機制提出建議,接著參考Balakrishnan et al.(2009)的金融壓力指數(FSI),考量台灣經濟發展狀況,降低認定壓力事件的金融壓力指數門檻值,利用金融壓力指數認定的壓力高峰期間,檢視抗循環緩衝資本機制的成效。實證結果發現,金融壓力指數可以認定出以下六次台灣遭遇的壓力事件,分別為亞洲金融危機、本土金融風暴、網路泡沫化、次貸危機、金融海嘯和歐債風暴,而Credit-to-GDP gap搭配本國銀行放款預期損失在上述危機發生時點之前,確實都能預先至少兩季發出計提抗循環資本緩衝的訊號,並說明應計提抗循環緩衝資本的多寡。
Abstract
This thesis focuses on the research of macroprudential supervision tool which is the mechanism of countercyclical capital buffer in Basel III. First of all, we use Credit-to-GDP gap as the main indicator which is based on BCBS (2010) Guidance for national authorities operating the countercyclical capital buffer, and adopt Chau-jung ,Kuo (2013) AR(1) model to estimate through-the-cycle non-performance rate. Then, we can calculate expected loss of domestic bank which is subsidiary indicator. If expected loss of domestic banks increases, it signal the crisis. We tie in two indicators as the mechanism of countercyclical capital buffer. Second, we refer to Balakrishnan et al. (2009) definition of financial stress index and consider Taiwan’s economy condition to lower the threshold to identify stress episodes. Finally, we test the effect of our approach by financial stress index. The empirical results show that financial stress index can define six periods of high stress in Taiwan which are Asian Financial Crisis, Local Financial Crisis, the Burst of Internet Bubbles, Subprime Mortgage Crisis, the Financial Tsunami and Eurozone Debt Crisis. The mechanism of this thesis can signal at least two seasons and the amount of countercyclical capital buffer before the period of high stress.
目次 Table of Contents
目錄
論文審定書 i
誌謝 ii
中文摘要 iii
Abstract iv
第一章 緒論 6
第一節 : 研究背景與動機 6
第二節 : 研究目的 8
第三節 : 研究流程與架構 9
第四節 : 研究貢獻 11
第二章 文獻探討 13
第一節 : BaselⅢ主要內容 13
第二節 : 金融危機定義與起因 20
第三節 : 金融危機預警系統 23
第四節 : 抗循環資本緩衝機制設計與相關工具 25
第三章 研究方法與模型應用 27
第一節 : 研究方法步驟 27
第二節 : 模型應用 28
(一) H-P filter模型 28
(二) 共同參考指標 Credit-to-GDP gap 29
(三) AR(1) 30
(四) 金融壓力指數 34
(五) 抗循環資本緩衝機制之設計 36
第四章 實證結果與分析 38
第一節 : 樣本資料說明與來源 38
第二節 : 金融壓力指數 42
第三節 : 本國銀行放款預期損失實證結果 51
第四節 : Credit-to-GDP gap與抗循環資本緩衝機制之設計 57
第五章 結論與建議 64
第一節 : 研究結論 64
第二節 : 研究建議 65
參考文獻 66
一. 中文 66
二. 英文 67
參考文獻 References
中文
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3.沈中華、賴柏志與張家華 (2005),「總體經濟因素在Basel II 資本適足率公式的內涵及意義」,金融風險管理季刊,第一卷第二期,頁97-108。

4.郭照榮 (2013),Basel III對金融穩定及貨幣政策之影響,中央銀行委託研究報告,101CBC-金-1。

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英文

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