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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/79737完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 蘇軒立(Hsuan-Li Su) | |
| dc.contributor.author | Yao-Ren Kang | en |
| dc.contributor.author | 康耀仁 | zh_TW |
| dc.date.accessioned | 2022-11-23T09:09:20Z | - |
| dc.date.available | 2021-08-25 | |
| dc.date.available | 2022-11-23T09:09:20Z | - |
| dc.date.copyright | 2021-08-25 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-08-20 | |
| dc.identifier.citation | [1] D. W. Diamond and P. H. Dybvig, “Bank Runs, Deposit Insurance, and Liquidity,” Journal of Political Economy, vol. 91, no. 3, pp. 401– 419, June 1983. [Online]. Available: https://ideas.repec.org/a/ucp/jpolec/ v91y1983i3p401-19.html 2 [2] F. Allen and D. Gale, “Financial contagion,” Journal of Political Economy, vol. 108, no. 1, pp. 1–33, 2000. [Online]. Available: http://www.jstor.org/stable/10.1086/262109 3 [3] L. Eisenberg and T. H. Noe, “Systemic risk in financial systems,” Management Science, vol. 47, no. 2, pp. 236–249, 2001. [Online]. Available: http://www.jstor.org/stable/2661572 3 [4] M. Elliott, B. Golub, and M. O. Jackson, “Financial networks and contagion,” American Economic Review, vol. 104, no. 10, pp. 3115–53, October 2014. [Online]. Available: https://www.aeaweb.org/articles?id=10.1257/aer.104.10. 3115 3, 4, 8, 12, 13, 14, 17, 28, 33, 35, 36 [5] M. O. Jackson and A. Pernoud, “Distorted Investment Incentives, Regulation, and Equilibrium Multiplicity in a Model of Financial Networks,” Mar. 2019. 3 [6] R. Cifuentes, G. Ferrucci, and H. S. Shin, “Liquidity risk and contagion,” Journal of the European Economic Association, vol. 3, no. 2-3, pp. 556–566, 2005. [Online]. Available: https://onlinelibrary.wiley.com/doi/abs/10.1162/jeea.2005.3.2-3.556 3, 9 [7] P. Gai and S. Kapadia, “Contagion in financial networks,” no. 383, Mar. 2010. [Online]. Available: https://ideas.repec.org/p/boe/boeewp/0383.html 3, 4 [8] F. Caccioli, M. Shrestha, C. Moore, and J. Farmer, “Stability analysis of financial contagion due to overlapping portfolios,” Journal of Banking Finance, vol. 46, no. C, pp. 233–245, 2014. [Online]. Available: https://EconPapers.repec.org/RePEc:eee:jbfina:v:46:y:2014:i:c:p:233-245 3, 4, 9 [9] F. Caccioli, J. Farmer, N. Foti, and D. Rockmore, “Overlapping portfolios, contagion, and financial stability,” Journal of Economic Dynamics and Control, vol. 51, no. C, pp. 50–63, 2015. [Online].Available: https://EconPapers.repec.org/RePEc:eee:dyncon:v:51:y:2015:i:c:p:50-63 3 [10] J. P. Bouchaud, “Price impact,” 2009. 9 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/79737 | - |
| dc.description.abstract | 金融傳染作為系統風險的決定因素，在過去幾十年間通常是透過網絡模型進行研究。此篇論文中，我們將Elliott et al. (2014) 所建立的模型一般化，融合了資產重疊（overlapping portfolios）與賤賣資產效應（fire sale）。此論文主要貢獻在於，在透過持股或資產重疊所產生的依賴性上，我們比較了風險分散與傳播渠道的綜合作用，以及賤賣資產如何影響風險分散的有效性。另外，我們指出金融整合度（integration）可分散網絡中的彼此間的依賴性以降低金融傳染的嚴重程度。透過此篇論文的研究，我們強調了制定總體審慎政策時，政策制定者應要考慮不同依賴性來源。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-23T09:09:20Z (GMT). No. of bitstreams: 1 U0001-1908202121113600.pdf: 3299690 bytes, checksum: 404b6f9ee0019bbbaa7be1839e8099eb (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | Abstract i List of Figures ................... v 1 Introduction .................................................... 1 2 Model ............................................................. 7 2.1 Integration and diversification .................. 13 2.2 Numerical results .................................. .. 15 2.2.1 Asset-holding network construction ..... 16 2.2.2 Financial network construction ............. 17 2.2.3 Contagion algorithm ........................... .. 17 3 Numerical Results ......................................... 19 4 Concluding Remarks ..................................... 35 Reference ......................................................... 37 | |
| dc.language.iso | en | |
| dc.subject | 風險分散 | zh_TW |
| dc.subject | 系統風險 | zh_TW |
| dc.subject | 資產重疊 | zh_TW |
| dc.subject | 金融網絡 | zh_TW |
| dc.subject | 賤賣資產 | zh_TW |
| dc.subject | 傳染 | zh_TW |
| dc.subject | Financial network | en |
| dc.subject | Fire sale | en |
| dc.subject | Risk sharing | en |
| dc.subject | Systemic risk | en |
| dc.subject | Contagion | en |
| dc.subject | Overlapping portfolio | en |
| dc.title | 利用網路分析金融危機傳染風險 | zh_TW |
| dc.title | Financial Contagion and Network Analysis | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 蔡宜展(Yi-Chan Tsai) | |
| dc.contributor.oralexamcommittee | 陳俊廷(Hsin-Tsai Liu),(Chih-Yang Tseng) | |
| dc.subject.keyword | 系統風險,傳染,資產重疊,金融網絡,賤賣資產,風險分散, | zh_TW |
| dc.subject.keyword | Systemic risk,Contagion,Overlapping portfolio,Financial network,Fire sale,Risk sharing, | en |
| dc.relation.page | 38 | |
| dc.identifier.doi | 10.6342/NTU202102529 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2021-08-22 | |
| 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 | |
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