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標題: | 臺灣金融危機實證預警模型預測之研究 An Empirical study of a Early-warning Model of Taiwan's Financial Crisis |
作者: | 葉一帆 Yi Fan Ye |
指導教授: | 謝德宗 Der-Tzon Hsieh |
關鍵字: | 銀行危機,貨幣危機,債務危機, Banking crisis,Currency crisis,Debt crisis, |
出版年 : | 2023 |
學位: | 碩士 |
摘要: | 本研究利用外匯市場壓力指標法(Exchange market pressure, EMP)、訊號模型分析法(Signal accounting)、混淆矩陣(confusion matrix)、Probit model等研究方法,重新建構實證臺灣發生金融危機模型,確定危機發生日期,並且刻畫危機發生時總體經濟變數態樣,提供金融監理機關單位預警性預測建議意見,有助金融機構監理單位對於日後可能發生金融危機前,掌握總體經濟變數變異態樣,進而擬定適合財政政策、貨幣政策,以配合國家經濟發展所需,驅動經濟成長引擎,避免金融危機發生。
本研究利用1960年至2022年間,臺灣長期跨期經濟實證資料時發現,臺灣曾發生貨幣危機、銀行危機,惟債務危機未曾發生,是故本研究就上述曾經發生危機事件予以建構實證預警模型預測,並且重新調整樣本變數,與過去曾研究過臺灣金融危機模型跨國、跨期學者資料庫、臺灣官方公佈金融危機發生時期,進行金融危機預警計量模型比較,經研究後發現本研究調整後實證預警模型預測,比較能夠貼近臺灣現實狀況,更符合臺灣使用,此一研究結論有助於強化研究臺灣金融危機領域的研究量能。 This study uses research methods such as (Exchange market pressure, EMP) analysis, signal accounting, confusion matrix, and Probit model to reconstruct an empirical model of the financial crisis in Taiwan, determine the date of the crisis, and characterize the overall situation when the crisis occurred. The pattern of economic variables provides financial supervisory authorities with early warning prediction suggestions, which can help financial institution supervisory authorities understand the pattern of overall economic variables before a possible financial crisis occurs in the future, and then formulate appropriate fiscal and monetary policies to coordinate with the country. It is necessary for economic development to drive the engine of economic growth and avoid financial crises. This study used Taiwan's long-term inter-temporal economic empirical data from 1960 to 2022 and found that Taiwan had experienced currency crises and banking crises, but debt crises had not occurred. Therefore, this study constructed an empirical early warning model to predict the above-mentioned crisis events, and re-adjusted the sample variables, and compared it with the financial crisis early warning econometric model that has been studied in the past, including the cross-national and inter-temporal scholar database of the Taiwan financial crisis model, and the period of the financial crisis announced by Taiwan’s official announcement. After research, it was found that the adjusted empirical early warning in this study The model predictions are closer to the actual situation in Taiwan and more suitable for use in Taiwan. This research conclusion will help strengthen the research capacity in the field of Taiwan's financial crisis. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/91979 |
DOI: | 10.6342/NTU202304374 |
全文授權: | 未授權 |
顯示於系所單位: | 經濟學系 |
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