Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/32246| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 沈中華 | zh_TW |
| dc.contributor.author | 陳威翰 | zh_TW |
| dc.creator | 陳威翰 | zh_TW |
| dc.date | 2006 | en_US |
| dc.date.accessioned | 2009-09-14T05:29:57Z | - |
| dc.date.available | 2009-09-14T05:29:57Z | - |
| dc.date.issued | 2009-09-14T05:29:57Z | - |
| dc.identifier | G0094258027 | en_US |
| dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/32246 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 經濟研究所 | zh_TW |
| dc.description | 94258027 | zh_TW |
| dc.description | 95 | zh_TW |
| dc.description.abstract | 本研究預測匯率危機的方法主要是用二元分量迴歸(Binary Regression Quantiles)，此理論基礎與預測方式是使用美國學者Kords (2004)的方法，將分量迴歸運用在應變數為二元的屬質變數上之計量方法。在匯率危機計量模型中，最常使用的模型是Logit模型和Probit模型所做的分析，因此本÷究除了使用二元分量模型外，將在套入Logit模型和Probit模型，並將這三種模型加以比較，且探討匯率危機發生的原因並建立預警變數。而研究資料為十七個發展中的國家，研究時間為1981~2004年。\r\n 本研究發現由Logit模型和Probit模型中，兩模型的所預測匯率危機指標大都一致，包括有進口比例、GDP成長率、銀行外債/GDP。而且發現由二元分量回歸模型中，匯率危機預警指標有出口/GDP、貿易條件、海外直接投資/GDP、國際熱錢流入/GDP、銀行存款、GDP成長率、貪污指數，短期外債/全部外債。 | zh_TW |
| dc.description.tableofcontents | 摘要 .................................................i\r\n目錄 .................................................ii\r\n表次 .................................................iv\r\n圖次 .................................................v\r\n第一章 緒論 .........................................1\r\n第一節 研究動機 .........................................1\r\n第二節 研究目的 .........................................2\r\n第三節 研究架構 .........................................3\r\n第二章 文獻回顧 .........................................4\r\n第一節 匯率危機的第一代模型 .........................4\r\n第二節 匯率危機的第二代模型 .........................5\r\n第三節 實證文獻回顧 .................................7\r\n第三章 研究資料與研究方法 ................................11\r\n第一節 資料的選取 ........................................11\r\n第二節 匯率危機的定義 ................................11\r\n第三節 解釋變數 ........................................15\r\n第四節 模型的建立 ........................................22\r\n第五節 Probit Model ................................23\r\n第六節 Logit Model ................................25\r\n第七節 二元分量模型 ................................27\r\n第四章 研究實證結果 ................................32\r\n第一節 Probit model 和Logit model實證估計結果 ........32\r\n第二節 Binary Regression Quantiles估計結果 ........36\r\n第五章 結論與建議 ........................................45\r\n第一節 結論 ........................................45\r\n第二節 建議 ........................................47\r\n參考文獻: ........................................48\r\nㄧ、中文部分 ........................................48\r\n二、英文部分 ........................................49 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0094258027 | en_US |
| dc.subject | 匯率危機 | zh_TW |
| dc.subject | 分量迴歸 | zh_TW |
| dc.subject | 二元分量迴歸 | zh_TW |
| dc.subject | Logit模型 | zh_TW |
| dc.subject | Probit模型 | zh_TW |
| dc.title | 匯率危機的預測-二元分量迴歸的應用 | zh_TW |
| dc.type | thesis | en |
| dc.relation.reference | ㄧ、中文部分 | zh_TW |
| dc.relation.reference | 1.沈中華(2000)，「四十分鐘學會匯率危機」，台北:新陸書局。 | zh_TW |
| dc.relation.reference | 2.李佳穎2002)，「通货危機预警指標之建立-Signal Extraction Approach和 Logit Model之結合」，東吳大學經濟所碩士論文。 | zh_TW |
| dc.relation.reference | 3.林郁翎(2002)，「銀行危機預警指標之建立-Signal Extraction Approach和 Logit Model之結合」，東吳大學經濟所碩士論文。 | zh_TW |
| dc.relation.reference | 4.陳柏羽(1999)，「運用總體經濟指標評估通貨危機」，東吳大學經濟所碩士論文。 | zh_TW |
| dc.relation.reference | 5張大成，沈中華，陳伯羽（2002），「利用模型預測國家通貨危機」，產業金融月刊，第113期，頁2-19。 | zh_TW |
| dc.relation.reference | 6.鍾佳蓉(2003)，「雙元危機之預警模型」，政治大學財政研究所碩士論文 | zh_TW |
| dc.relation.reference | 7.黃健輝(2003)，「貨幣危機是否可以預測:Probit模型，Logit模型與馬可夫轉換模型之實證比較」，暨南國際大學經濟學研究所碩士論文。 | zh_TW |
| dc.relation.reference | 8.廖秋媚(2006)，「影響信用卡持卡人違約風險的因素 以Binary Regression Quantiles以作分析」，政治大學經濟所碩士論文。 | zh_TW |
| dc.relation.reference | 9.忻維毅(2006)，「信用違約機率之預測-Binary Regression Quantiles的應用 」，政 治大學經濟所碩士論文。 | zh_TW |
| dc.relation.reference | 二、英文部分 | zh_TW |
| dc.relation.reference | 1．Berg,A. and C.pattillo (1999),Are currency crises predicatable? | zh_TW |
| dc.relation.reference | A test.IMF Staff paper,46,,.107-138 | zh_TW |
| dc.relation.reference | 2．Berg,A. and C.pattillo (1999), Predicting currency crises:The indicators approach and alternative, Journal of international Money and Finance,18,pp.107-138 | zh_TW |
| dc.relation.reference | 3. Eichengreen,B,Rose,A.K.and Wyplosz,C,(1995) Exchange Market mayhem:the antecedent and aftermath of speculatative | zh_TW |
| dc.relation.reference | 4. Eichengreen,B,Rose,A.K.and Wyplosz,C,(1996) Contagions currency crises:first tests.Scandinavian Journal of Economics,98,pp.463-484. | zh_TW |
| dc.relation.reference | 5. Frankel,A.J.and A.K.Rose(1996), Currency crashes in emerging market:An empirical treatment, Journal of International Economics. | zh_TW |
| dc.relation.reference | 6. Goldfain,I.and R.O.Valdes(1998),Are currency crises predictable? European Economic Review,42,pp.873-885. | zh_TW |
| dc.relation.reference | 7. Kaminsky,G.L,C.M.Reinhart and S.Lizondo(1998), Leading indicators of currency crises. IMF Staff Papers,45,pp1-48. | zh_TW |
| dc.relation.reference | 8. Krugman,P.(1979),A model of Balance of Paymemnt Crises, Jorunal of Money,Credit,and Banking,Vol.11,pp311-325. | zh_TW |
| dc.relation.reference | 9. Koenker,R.,and Bassett,G.B.,(1979),Regression Quantiles, | zh_TW |
| dc.relation.reference | Econometrica, 46,33-55. | zh_TW |
| dc.relation.reference | 10. Koenker and Kevin F.Hallock(2001), Quantile Regression, Journal of | zh_TW |
| dc.relation.reference | Economic Perspectives-Volume15,Number4,Pages 143-156. | zh_TW |
| dc.relation.reference | 11. La Porta, R. Lopez-de-Silanes, F. Shleifer, A., Vishny, R. W. , (1998). Law and finance. Journal of Political Economy106,1113 - 1155 | zh_TW |
| dc.relation.reference | 12.Manski,C.F.,(1975),Maximum Score Estimation of the Stochastic Utility Model of Choice, Journal of Econometrics,3,205-228. | zh_TW |
| dc.relation.reference | 13. Manski,C.F.,(1985),Semiparametric Analysis of Discrete Response: | zh_TW |
| dc.relation.reference | Asymptotic Properties of the Maximum Score Estimator, Journal of | zh_TW |
| dc.relation.reference | Econometrics,32,65-108. | zh_TW |
| dc.relation.reference | 14. Obstfeld,M.(1984), Destabilizing effect of exchange-Rate escape clauses, Journal of International Economic,43,pp.61-77 | zh_TW |
| dc.relation.reference | 15. Obstfeld,M.(1984), Model of currency crises with self-fulfilling features,European Economic Review,43,pp.61-77 | zh_TW |
| dc.relation.reference | 16. Obstfeld,M.(1986) Rational and self-fulling Balance-of-payments crises.American Economic Review,76,pp.72-81 | zh_TW |
| dc.relation.reference | 17 Rajan, R.S., C.H. Shen, (2003), “Why are Crisis-Induced Devaluations Contractionary?: Exploring Alternative Hypotheses”, mimeo, April, Unversity of Adelaide | zh_TW |
| dc.relation.reference | 18 Sachs,J,A.Tornell and A. Velasco(1996), Financial Crises in Emerging Markets: The Lessons From 1995,Brooking Papers on Economic Activity,No.1,pp.147-215 | zh_TW |
| item.languageiso639-1 | en_US | - |
| item.fulltext | With Fulltext | - |
| item.cerifentitytype | Publications | - |
| item.openairetype | thesis | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| item.grantfulltext | open | - |
| Appears in Collections: | 學位論文 | |
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