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Title: | 貨幣危機預警系統—經常帳與金融帳之影響 The Warning System of Currency Crisis—Importance of Current Account and Financial Account |
Authors: | Chih-Lin Yang 楊之琳 |
Advisor: | 沈中華 |
Keyword: | 貨幣危機,預警模型,經常帳,金融帳, Currency Crisis,Warning system,Current Account,Financial Account, |
Publication Year : | 2011 |
Degree: | 碩士 |
Abstract: | 近年來許多事實透露出預警指標有其侷限性,本研究試圖建構一貨幣危機預警的模型,並且著重在經常帳與金融帳的分析上。研究期間為1980年第一季至2004年第四季的季資料,研究樣本總共包含24個國家。模型所使用之變數包含實質GDP成長率、通貨膨脹率、外匯存底/季進口、國內信用/GDP、經常帳/GDP、經常帳門檻、金融帳/GDP、直接投資淨額(FDI)/GDP、證券投資淨額(FPI)/GDP、其他投資淨額(FOI)/GDP、經常帳與金融帳之乘積。
研究結果顯示經常帳與金融帳對貨幣危機的預警,經常帳/GDP的迴歸結果與研究預期一致,且係數在1%的水準下顯著;經常帳門檻的迴歸結果相較於經常帳/GDP更佳,係數更顯著,顯示出經常帳在赤字且<-4%的時候對於貨幣危機的解釋力更好,亦即更易發生貨幣危機。在金融帳的表現中,無論是以金融帳/GDP科目來看或者是金融帳的細項:直接投資淨額、證券投資淨額、其他投資淨額,係數均不顯著。直接投資淨額與貨幣危機應變數為負向的關係,當直接投資淨額低時,較易發生貨幣危機;證券投資淨額與貨幣危機應變數無一定的關係;其他投資淨額與貨幣危機為正向關係,當其他投資淨額高時較易發生貨幣危機。經常帳與金融帳的乘積項在10%的水準下顯著的與貨幣危機為反向關係,因此在經常帳與金融帳同時為赤字且<-4%時較易發生貨幣危機。通貨膨脹率對於貨幣危機的解釋力為顯著的。實質國內生產毛額成長率對於貨幣危機的解釋與研究預期的方向一致,但係數不顯著。外匯存底/GDP變數顯著且與研究預期一致。而在國內信用/GDP與研究預期方向不同,當國內信用低時易發生貨幣危機,且係數顯著。 This Paper tries to construct a warning system which can predict the currency crisis. The main variables are Current Account and Financial Account. We use 2 kinds of method to measure the current account: CA/GDP and CA Threshold and one method to measure financial account: FA/GDP, FDI/GDP, FPI/GDP and FOI/GDP. From the empirical results, we found that among the macro-economic variables, the inflation rate、foreign exchange/GDP performs better than real GDP growth rate with significant results, while real GDP growth rate can’t explain the currency crisis significantly. The empirical results of inflation rate、foreign exchange/GDP is consistent with out hypothesis while DC/GDP is opposite with our hypothesis. When we added CA/GDP and CA Threshold into the model, both of them has the significant results. The lower the CA/GDP, the higher the probability of currency crisis. FDI/GDP, FOI/GDP is consistent with our hypothesis but the results are not significant. When we take the CA*FA into consideration, CA*FA is significant (10% significance level)negative related with the currency crisis. It shows that when CA/GDP<-4% and FA/GDP <-4%, the probability of currency crisis increases. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47890 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 財務金融組 |
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ntu-100-1.pdf Restricted Access | 1.11 MB | Adobe PDF |
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