請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/51805
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳旭昇(Shiu-Sheng Chen) | |
dc.contributor.author | Chih-Chia Huang | en |
dc.contributor.author | 黃智家 | zh_TW |
dc.date.accessioned | 2021-06-15T13:50:45Z | - |
dc.date.available | 2016-12-01 | |
dc.date.copyright | 2015-12-01 | |
dc.date.issued | 2015 | |
dc.date.submitted | 2015-10-13 | |
dc.identifier.citation | 1. 徐千婷,(2008),「我國金融情勢指數之實證研究」,中央銀行季刊,第30卷第3期,頁5-48。
2. 陳旭昇,(2013),「時間序列分析:總體經濟與財務金融之應用」2版,台北:東華書局。 3. 陳旭昇與吳聰敏,(2010),「台灣貨幣政策法則之檢視」,經濟論文,第38卷第1期,頁33-59。 4. 張天惠,(2012),「我國金融情勢指數與總體經濟預測」,中央銀行季刊,第34卷第2期,頁11-41。 5. 管中閔、徐之強、黃裕烈與徐士勛,(2014),「臺灣金融情勢指數與總體經濟關係」,臺灣經濟預測與政策,第44卷第2期,頁103-132。 6. Beaton, K., Lalonde, R. and Luu, C. (2009), “A Financial Conditions Index for the United States”, Bank of Canada Discussion Paper ,2009-11. 7. Bernanke, Ben and Mark Gertler,(2001), “Should Central Banks Respond to Movements in Asset Price?” American Economic Review, 91(2),253-257. 8. Borio, Claudio and Philip Lowe (2002), “Asset Prices, Financial and Monetary Stability: Exploring the International Settlements”, Working Paper no. 114, 1-39. 9. Deutsche Bank (2007), “Global Economic Perspectives”, June 11. 10. Dudley, W. and J. Hatzius (2000), “The Goldman Sachs Financial Conditions Index: The Right Tool for a New Monetary Policy Regime”, New York: Goldman Sachs. 11. Engle, R. E., and C. W. J. Granger(1987), “Co-integratiob and Error-Correction:Representation, Estimation, and Testing”, Econometrica 55.251-276. 12. Gauthier, C., Graham, C. and Liu, Y. (2004), “Financial Conditions Indexes for Canada”, Bank of Canada working paper, 2004-22. 13. Goodhart, C. and Hofmann, B. (2001), “Asset Prices, Financial Conditions, and the Transmission of Monetary Policy”, paper prepared for the conference on “Asset Prices, Exchange Rates, and Monetary Policy‟ ,Stanford University, March 2-3. 14. Guichard, S. and D. Turner (2008), “Quantifying the effect of financial conditions on US activity”, OECD Economic Department Working paper, No. 635. 15. Haldane, Andrew G (2014),“Ambidexterity,”Remarks at the American Economic Association Annual Meeting, Bank of England, Jan. 3. 16. Hatzius, J., P. Hooper, F. Mishkin, K. L. Schoenholtz, and M. W. Watson (2010), “Financial Conditions Index: A Fresh Look after the Financial Crisis”, NBER Working Paper No. 16150. 17. Hooper, P., T. Slok, and C. Dobridgr (2010), “Improving Financial Conditions Bode Well for Growth”, Global Economic Perspectives Report, Frankfurt: Deutsche Bank. 18. Lack, C. P. (2003), “A financial conditions index for Switzerland”, Monetary Policy in a Changing Environment, Bank for International Settlements, 2003, vol.19, 398-413. 19. Lagarde, Christine (2015), “Monetary Policy in the New Normal,” Remarks at 2015 China Development Forum Panel Discussion, Mar. 22. 20. Lin, Jin-Lung (1999), “The Monetary Conditions Index in Taiwan”, Academia Economic Papers, 27:4, 459-479. 21. Matheson, T. (2011), “Financial Conditions Indexes for the United States and Euro Area”, International Monetary Fund working paper. 22. Mayes, D. and Viren, M. (2001), “Financial Conditions Indexes”, Bank of Finland Discussion Paper ,No. 2001-17. 23. Nelson, C., and P. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series :Some Evidence and Implications”, Journal of Monetary Economics, 10, 130-162. 24. Osorio, C., R. Pongsaparn, and D. F. Unsal (2011), “A Quantitative Assessment of Financial Conditions in Asia”, IMF Working Paper No. 11/173. 25. Shinkai, J. I. and Kohsaka, A. (2010), “Financial Linkage and Business Cycles of Japan An Analysis Using Financial Conditions Index”, OSIPP Discussion Paper: DP-2010-E-008. 26. Skaarup, M., C. Duschek-Hansen and S. Nielsen (2010), “A financial conditions index for Denmark”, Working Paper no 23/2010, The Danish Ministry of Finance. 27. Shiller, Robert (2008), “The Subprime Solution: How Today's Global Financial Crisis Happened, and What to Do about It”, Princeton Press。 28. Vonen, N. H. (2011), “A financial conditions index for Norway”, Norges Bank. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/51805 | - |
dc.description.abstract | 2008年全球金融海嘯凸顯房價對經濟發展與金融穩定的重要性,本研究擬建構臺灣的金融情勢指數(Financial Conditions Index, 以下簡稱FCI),捕捉經濟成長狀況,並進一步探討其與房價關係。首先,依據經濟理論與文獻論述,針對股票市場、貨幣市場與外匯市場,分別選取代表價、量變動的六個主要變數。接著,參考德意志銀行(Deutsche Bank)的建構方式,透過國內同時指標綜合指數與各變數的線性迴歸模型來估算組合權數,且對應的正、負符號均能符合總體經濟理論,再予以相乘加總,即為臺灣的FCI。最後,利用 Granger 因果關係檢定及様本外預測表現,探討臺灣FCI 與房價關係,評估是否具有領先的特性,以利政府適時研提對策,預防房價飆漲可能衍生的傷害。 | zh_TW |
dc.description.abstract | Since the eruption of Great Recession in 2008, it has highlighted the housing price’s profound effect on economic and financial development. The main purpose of this paper is to develop an approach for constructing Taiwan’s financial conditions index (FCI), to seize the gross demand and its relation with the housing price. At first, employing economic theory and thesis, we obtain six common factors to capture the price and quantity fluctuations in the stock market, the money market and the foreign exchange market. Secondly, we construct the FCI based on these factors, with their weights determined by the method of Deutsche Bank, and find the resulting signs of these weights are consistent with the implications of macroeconomic theories. Finally, the results of Granger causality tests and the pseudo out-of-sample experiments suggest that the FCI developed in this paper can lead the dynamics of housing price. This property may be helpful for government to take measures to prevent the destruction from soaring housing price. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T13:50:45Z (GMT). No. of bitstreams: 1 ntu-104-P02323006-1.pdf: 1505691 bytes, checksum: c93bc39d3983f12e1d57209183deceeb (MD5) Previous issue date: 2015 | en |
dc.description.tableofcontents | 口試委員會審定書………………………………………………… i
謝詞………………………………………………………………… ii 「臺大經濟所求學感懷」………………………………………… iii 中文摘要…………………………………………………………… iv 英文摘要……………………………………………………………. v 1 前言…………………………………………………… 1 2 文獻回顧………………………………………………… 4 3 實證模型 3.1編製 FCI……………………………………………………… 6 3.2FCI與房價關係……………………………………………… 8 4 資料敘述 4.1資料來源……………………………………………………… 10 4.2資料處理…………………………………………………… 10 4.3單根檢定……………………………………………………… 11 5 實證結果分析 5.1單根檢定結果………………………………………………… 12 5.2金融情勢指數編製…………………………………………… 12 5.3臺灣FCI與房價的領先關係………………………………… 14 6 結論與建議……………………………………………………… 16 參考文獻…………………………………………………………… 17 附圖………………………………………………………………… 20 附表………………………………………………………………… 23 | |
dc.language.iso | zh-TW | |
dc.title | 臺灣金融情勢指數與房價關係 | zh_TW |
dc.title | Taiwan’s Financial Conditions Index And Its Relation With The Housing Price | en |
dc.type | Thesis | |
dc.date.schoolyear | 104-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 張勝凱,周有熙 | |
dc.subject.keyword | 金融情勢指數,線性迴歸模型,向量自我迴歸模型,Granger因果關係,?本外預測, | zh_TW |
dc.subject.keyword | Financial Conditions Index,Linear Regression model,Vector Autoregression model,Granger Causality,out-of-sample forecasting, | en |
dc.relation.page | 27 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2015-10-13 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-104-1.pdf 目前未授權公開取用 | 1.47 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。