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論文名稱 Title |
台灣金融綜合指標與抗循環資本緩衝機制之研究 On the Study for Taiwan's Financial Composite Indicators and Counter- Cyclical Capital Buffer |
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系所名稱 Department |
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畢業學年期 Year, semester |
語文別 Language |
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學位類別 Degree |
頁數 Number of pages |
78 |
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研究生 Author |
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指導教授 Advisor |
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召集委員 Convenor |
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口試委員 Advisory Committee |
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口試日期 Date of Exam |
2013-06-22 |
繳交日期 Date of Submission |
2013-06-27 |
關鍵字 Keywords |
金融壓力指數、總體審慎、金融穩定、雜音訊號比、抗循環資本緩衝 Financial Stress Index, Noise-to-Signal ratio, Countercyclical Capital Buffer, Financial Stability, Macroprudential |
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統計 Statistics |
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中文摘要 |
台灣自亞洲金融風暴後,歷經數次重大金融危機,因危機所蒙受的損失及社會成本也相當龐大,因此建立有效的金融危機預警系統,並制定相關管理規範實為監管當局重要課題;本文研究以Balakrishnan(2009)建構的金融壓力指數(Financial Stress Index)作為定義金融危機時間點,並採Kaminsky(1998)雜音訊號比以中央銀行發布的金融健全指標編製金融綜合指標,與BCBS (2010f) 「各國主管機關抗景氣循環緩衝資本操作指引」的Credit-to-GDP gap指標做搭配,供我國監管機關對Basel III提出的抗循環資本緩衝做出建議,以達金融穩定之效。本研究實證結果發現:若金融綜合指標可以持續的發出訊號,就代表未來很有可能發生重大危機,而金融綜合指標與國際參考指標Credit-to-GDP gap指標做搭配,確實可預先對台灣過去重大危機發出計提抗循環資本緩衝訊號,並說明應計提量的多寡,可供監管機關參考使用。 |
Abstract |
Since the Asian financial crisis, Taiwan have gone through several major financial crisis, the loss suffered by the crisis and social costs are enormous, so the establishment of an effective early warning system for financial crisis and the development of relevant regulations is indeed an important issue for supervisory authorities. This thesis uses Balakrishnan’s (2009) Financial Stress Index to define the time of financial crisis and adopt Kaminsky (1998) Noise-to-Signal ratio coupled with Financial Stability Indicators to establish Financial Composite Indicators, and tie in with Credit-to-GDP gap in "Guidance for national authorities operating the countercyclical capital buffer" to give supervisory authorities feasible mechanism for countercyclical capital buffer in Taiwan in order to achieve financial stability effect. The empirical results show that: If Financial Composite Indicators signal continuously, it will have a major crisis in the near future. And collocate Credit-to-GDP gap and Financial Composite Indicator this two signal methods will indeed signal countercyclical capital buffer requirement previously, and indicate the amount of the amount accrued. These valuable results may be helpful for the Taiwan’s supervisory authorities. |
目次 Table of Contents |
論文審定書 I 誌謝 II 摘要 III ABSTRACT IV 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 3 第三節 研究內容與流程 4 第二章 文獻探討 7 第一節 金融穩定簡介與定義 7 第二節 金融危機與成因 8 第三節 預警系統 10 第三章 BASEL III主要內容 13 第四章 研究方法與模型應用 19 第一節 研究步驟與方法 19 第二節 模型應用 21 第五章 實證結果與分析 29 第一節 樣本變數衡量與資料來源 29 第二節 金融壓力指數 33 第三節 金融綜合指標 41 第四節 CREDIT-TO-GDP與抗循環資本緩衝工具之設計 55 第六章 結論與建議 63 第一節 研究結論 63 第二節 研究建議 64 參考文獻 65 附錄 67 |
參考文獻 References |
1. 中央銀行 (2003),中華民國中央銀行之制度與功能,中央銀行。 2. 中央銀行 (2009),全球金融危機專輯,中央銀行。 3. 中央銀行 (2010), 國際金融參考資料第六十輯,中央銀行。 4. 中央銀行 (2012),金融穩定報告,中央銀行。 5. 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。 6. 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。 7. 黃富櫻 (2010),「簡介「金融穩定」與「總體審慎」」,國際金融參考資料,第60輯,頁116-122,中央銀行經濟研究處編印。 8. 楊淑涵(2011)「從金融壓力指數探討先進國家金融危機對亞洲新興市場國家之傳遞效果」,私立逢甲大學經濟學研究所碩士論文 9. 潘雅慧 (2006),「國際間促進金融穩定之評估架構及實務運作」,金融監理與風險管理選輯,頁171-188,中央銀行編印。 10. Balakrishnan, R., S. Danninger, S. Elekdag and I. Tytell (2009), “The Transmission of Financial Stress from Advanced to Emerging Economies”, IMF Working Papers, May. 11. Bank for International Settlements (2009), Annual Report. 12. Basel Committee on Banking Supervision (2010a), "Basel III: A global regulatory framework for more resilient banks and banking systems.", Bank for International Settlements. 13. Basel Committee on Banking Supervision (2010b), "Basel III: International framework for liquidity risk measurement, standards and monitoring.", Bank for International Settlements. 14. Basel Committee on Banking Supervision (2010c), "Guidance for national authorities operating the countercyclical capital buffer.", Bank for International Settlements. 15. Basel Committee on Banking Supervision (2013), “Basel III: The liquidity coverage ratio and liquidity risk monitoring tools”, Bank for International Settlements. 16. Bongini, P., C. Claessens and G. Ferri (1999), The Political Economy of Financial Institution Distress: Evidence from East Asia, World Bank Policy Research Papers, forthcoming. 17. Bongini, P., Claessens, S., Ferri, G., 2001. The political economy of distress in East Asian financial institutions. Journal of Financial Services Research 19 (1), 5–25. 18. Borio, C. and P. Lowe (2002), “Assessing the Risk of Banking Crises”, BIS Quarterly Review, 43-54. 19. Borio, C. and M. Drehmann (2009), “Assessing the Risk of Banking Crises - Revisited”, BIS Quarterly Review, 29-46. 20. Cardarelli, R., S. Elekdag and S. Lall (2009), ―Financial Stress, Downturns, and Recoveries, IMF Working Paper WP/09/100. 21. Davis, E. Philip and Karim, Dilruba (2008). “Comparing Early Warning Systems for Banking Crises”, Journal of Financial Stability, 4(2), 89 – 120. 22. Demirgüç-Kunt, A and Detragiache, E (1998), "The Determinants of Banking Crisis in Developing and Developed Countries", IMF Staff Papers, Vol. 45, No.1. 23. Drehmann, M., C. Borio, L. Gambacorta, G. Jimenez and C. Trucharte (2010), “Countercyclical Capital Buffers: Exploring Options”, BIS Working Paper, No. 317. 24. Hardy, D. C., and C. Palzaebasioglu.(1999),“Determinants and leading indicators of banking crises.”further evidence. IMF Staff Papers 46: 247-258 25. Hervé Hannoun(2010), “The Basel III Capital Framework : a decisive breakthrough”, Bank for International Settlements. 26. International Monetary Fund (1998), “Chapter IV, Financial Crises: Characteristics and Indicators of Vulnerability”, World Economic Outlook, Washington, DC: IMF. 27. Kaminsky, Graciela L., Saul Lizondo and Carmen M. Reinhart (1998), "Leading Indicators of Currency Crises," IMF Staff Papers, Vol.45, No. 1, March. 28. Kaminsky, Graciela L. (1998), "Currency and Banking Crises: The Early Warnings of Distress," International Finance Discussion Paper, No. 629, Washington: International Monetary Fund. 29. Repullo, R., J. Saurina and C. Trucharte(2009), "Mitigating the Procyclicality of Basel II", Banco de Espana. |
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