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題名 臺灣與中國系統性重要金融機構連動性之研究
Study on the Connectedness of Systemically Important Financial Institutions between Taiwan and China
作者 陳彥民
Chen, Yan-Min
貢獻者 郭維裕
Guo, Wei-Yu
陳彥民
Chen, Yan-Min
關鍵詞 系統性重要銀行
銀行系統性風險
主成分分析法
Granger因果關係檢定
日期 2023
上傳時間 6-Jul-2023 16:32:06 (UTC+8)
摘要 本研究有感於 2023 年銀行倒閉風險肆虐，因此對臺灣與中國系統性重要銀行之連動性進行實證研究，希望了解過去系統性重要銀行間的系統性風險變化以及風險網路傳遞，為臺灣金融穩定性做出貢獻。本研究應用 Billio, Getmansky, Lo, and Pelizzon (2012)使用的主成分分析(Principal Component Analysis)以及 Granger 因果關係檢定(Granger Causality Test)，使用 Datastream 資料庫蒐集 2007 年至 2022 年間臺灣與中國共計 24 間系 統性重要金融機構之交易資料進行實證研究。
     
     本研究將總樣本期間切分成 8 個子樣本，觀察不同期間內系統性風險以及 Granger 因 果檢定，並視覺化成 Granger 因果網路。實證結果指出臺灣與中國系統性重要銀行間長期 存有相當程度的連動性，而在 2007 年-2008 年以及 2017 年-2018 年間，系統性風險有增 加的趨勢，前者可能是受次貸危機所影響，後者可能是受中美貿易戰所影響。此外，根據 Granger 因果關係檢定，臺灣系統性重要銀行中，富邦金最容易傳達風險，第一金最容易 接收風險，整體而言第一金有最高的連動性;中國系統性重要銀行中，平安銀行最容易傳達風險，中國建設銀行最容易接收風險，整體而言中國建設銀行有最高的連動性。
參考文獻 Adrian, Tobias, and Markus K Brunnermeier, 2011, Covar, (National Bureau of Economic Research).
     Bartram, Söhnke M, Gregory W Brown, and John E Hund, 2007, Estimating systemic risk in the international financial system, Journal of Financial Economics 86, 835-869.
     BCBS, A, 2012, A framework for dealing with domestic systemically important banks, (Bank for International Settlements Basel).
     Billio, Monica, Mila Getmansky, Andrew W Lo, and Loriana Pelizzon, 2012, Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Journal of financial economics 104, 535-559.
     Bisias, Dimitrios, Mark Flood, Andrew W Lo, and Stavros Valavanis, 2012, A survey of systemic risk analytics, Annu. Rev. Financ. Econ. 4, 255-296.
     Brunnermeier, Markus K, and Lasse Heje Pedersen, 2009, Market liquidity and funding liquidity, The review of financial studies 22, 2201-2238.
     Caballero, Ricardo J, 2010, The" other" imbalance and the financial crisis, (National Bureau of Economic Research).
     Chan-Lau, Jorge A, Marco Espinosa, Kay Giesecke, and Juan A Solé, 2009, Assessing the systemic implications of financial linkages, IMF global financial stability report 2.
     Chan‐Lau, Jorge A, 2010, Regulatory capital charges for too‐connected‐to‐fail institutions: A practical proposal, Financial Markets, Institutions & Instruments 19, 355-379.
     Duffie, Darrell, and Jun Pan, 1997, An overview of value at risk, Journal of derivatives 4, 7-49.
     Elsinger, Helmut, Alfred Lehar, and Martin Summer, 2006, Systemically important banks: An analysis for the european banking system, International Economics and Economic Policy 3, 73-89.
     European Central Bank, 2010, Macro-prudential policy objectives and tools., Financ. Stab. Rev. 129.
     Granger, Clive WJ, 1969, Investigating causal relations by econometric models and cross-spectral methods, Econometrica: journal of the Econometric Society 424-438.
     Gray, Dale, and A Jobst, 2010, Systemic cca-a model approach to systemic risk, Deutsche Bundesbank/Technische Universität Dresden Conference: Beyond the Financial Crisis: Systemic Risk, Spillovers and Regulation, Dresden (Citeseer).
     Huang, Xin, Hao Zhou, and Haibin Zhu, 2012, Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis, Journal of Financial Stability 8, 193-205.
     International Monetary Fund (IMF), 2009, Responding to the financial crisis and measuring systemic risks., Glob. Financ. Stab. Rep. .
     Kritzman, Mark, Yuanzhen Li, Sebastien Page, and Roberto Rigobon, 2010, Principal components as a measure of systemic risk, Available at SSRN 1582687.
     Merton, Robert C, 1973, Theory of rational option pricing, The Bell Journal of economics and management science 141-183.
     Mishkin, Frederic, 2007, Systemic risk and the international lender of last resort: A speech at the tenth annual international banking conference, federal reserve bank of chicago, chicago, illinois, september 28, 2007, (Board of Governors of the Federal Reserve System (US)).
     Moussa, Amal, 2011. Contagion and systemic risk in financial networks (Columbia University).
     Pearson, Karl, 1901, Liii. On lines and planes of closest fit to systems of points in space, The London, Edinburgh, and Dublin philosophical magazine and journal of science 2, 559-572.
     Pedersen, Lasse Heje, Viral Acharya, Thomas Philippon, and Matt Richardson, 2010, Measuring systemic risk, NYU Working Paper.
     Pham, Thach N, Robert Powell, and Deepa Bannigidadmath, 2021, Systemically important banks in asian emerging markets: Evidence from four systemic risk measures, Pacific-Basin Finance Journal 70, 101670.
     Reinhart, Carmen M, and Kenneth S Rogoff, 2009, This time is different, in This time is different (princeton university press).
     Rosengren, Eric S, 2010, Asset bubbles and systemic risk.
     李君屏, 楊子萱, 王佳眞, 2017, 台灣金融機構的系統風險－∆CoVaR、分量迴歸模型與隨機優勢檢定的應用, 風險管理學報 19, 61-86.
     林莉娜, 2016, 台灣金融機構之系統風險—CoVaR方法, 統計學系 國立臺北大學, 新北市.
     王曉輝, 2018, 臺灣銀行業考量CoVaR後其競爭性對穩定性之影響, 國際商務系碩士班 國立臺北商業大學, 台北市.
     鍾經樊, 2011, 涵蓋信用風險, 銀行間傳染風險, 與流動性風險的台灣金融系統風險量化模型, 中央銀行季刊.
描述 碩士
國立政治大學
國際經營與貿易學系
110351038
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351038
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Guo, Wei-Yuen_US
dc.contributor.author (Authors) 陳彥民zh_TW
dc.contributor.author (Authors) Chen, Yan-Minen_US
dc.creator (作者) 陳彥民zh_TW
dc.creator (作者) Chen, Yan-Minen_US
dc.date (日期) 2023en_US
dc.date.accessioned 6-Jul-2023 16:32:06 (UTC+8)-
dc.date.available 6-Jul-2023 16:32:06 (UTC+8)-
dc.date.issued (上傳時間) 6-Jul-2023 16:32:06 (UTC+8)-
dc.identifier (Other Identifiers) G0110351038en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145789-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 110351038zh_TW
dc.description.abstract (摘要) 本研究有感於 2023 年銀行倒閉風險肆虐，因此對臺灣與中國系統性重要銀行之連動性進行實證研究，希望了解過去系統性重要銀行間的系統性風險變化以及風險網路傳遞，為臺灣金融穩定性做出貢獻。本研究應用 Billio, Getmansky, Lo, and Pelizzon (2012)使用的主成分分析(Principal Component Analysis)以及 Granger 因果關係檢定(Granger Causality Test)，使用 Datastream 資料庫蒐集 2007 年至 2022 年間臺灣與中國共計 24 間系 統性重要金融機構之交易資料進行實證研究。
     
     本研究將總樣本期間切分成 8 個子樣本，觀察不同期間內系統性風險以及 Granger 因 果檢定，並視覺化成 Granger 因果網路。實證結果指出臺灣與中國系統性重要銀行間長期 存有相當程度的連動性，而在 2007 年-2008 年以及 2017 年-2018 年間，系統性風險有增 加的趨勢，前者可能是受次貸危機所影響，後者可能是受中美貿易戰所影響。此外，根據 Granger 因果關係檢定，臺灣系統性重要銀行中，富邦金最容易傳達風險，第一金最容易 接收風險，整體而言第一金有最高的連動性;中國系統性重要銀行中，平安銀行最容易傳達風險，中國建設銀行最容易接收風險，整體而言中國建設銀行有最高的連動性。		zh_TW
dc.description.tableofcontents 第一章 緒論 1
     第一節 研究背景與動機 1
     第二節 研究流程 4
     第二章 文獻回顧 5
     第一節 理論文獻回顧 5
     第二節 實證文獻回顧 8
     第三節 系統性重要金融機構回顧 10
     一、全球系統性重要金融機構 10
     二、臺灣系統性重要金融機構 13
     三、中國系統性重要金融機構 14
     第三章 研究方法 16
     第一節 主成分分析（Principal Component Analysis） 16
     第二節 Granger因果關係檢定（Granger Causality Test） 18
     第四章 實證研究分析 20
     第一節 資料來源及樣本期間 20
     第二節 主成分分析結果 32
     第三節 Granger因果關係檢定結果 37
     第五章 結論 46
     附錄 48
     參考文獻 62		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351038en_US
dc.subject (關鍵詞) 系統性重要銀行zh_TW
dc.subject (關鍵詞) 銀行系統性風險zh_TW
dc.subject (關鍵詞) 主成分分析法zh_TW
dc.subject (關鍵詞) Granger因果關係檢定zh_TW
dc.title (題名) 臺灣與中國系統性重要金融機構連動性之研究zh_TW
dc.title (題名) Study on the Connectedness of Systemically Important Financial Institutions between Taiwan and Chinaen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Adrian, Tobias, and Markus K Brunnermeier, 2011, Covar, (National Bureau of Economic Research).
     Bartram, Söhnke M, Gregory W Brown, and John E Hund, 2007, Estimating systemic risk in the international financial system, Journal of Financial Economics 86, 835-869.
     BCBS, A, 2012, A framework for dealing with domestic systemically important banks, (Bank for International Settlements Basel).
     Billio, Monica, Mila Getmansky, Andrew W Lo, and Loriana Pelizzon, 2012, Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Journal of financial economics 104, 535-559.
     Bisias, Dimitrios, Mark Flood, Andrew W Lo, and Stavros Valavanis, 2012, A survey of systemic risk analytics, Annu. Rev. Financ. Econ. 4, 255-296.
     Brunnermeier, Markus K, and Lasse Heje Pedersen, 2009, Market liquidity and funding liquidity, The review of financial studies 22, 2201-2238.
     Caballero, Ricardo J, 2010, The" other" imbalance and the financial crisis, (National Bureau of Economic Research).
     Chan-Lau, Jorge A, Marco Espinosa, Kay Giesecke, and Juan A Solé, 2009, Assessing the systemic implications of financial linkages, IMF global financial stability report 2.
     Chan‐Lau, Jorge A, 2010, Regulatory capital charges for too‐connected‐to‐fail institutions: A practical proposal, Financial Markets, Institutions & Instruments 19, 355-379.
     Duffie, Darrell, and Jun Pan, 1997, An overview of value at risk, Journal of derivatives 4, 7-49.
     Elsinger, Helmut, Alfred Lehar, and Martin Summer, 2006, Systemically important banks: An analysis for the european banking system, International Economics and Economic Policy 3, 73-89.
     European Central Bank, 2010, Macro-prudential policy objectives and tools., Financ. Stab. Rev. 129.
     Granger, Clive WJ, 1969, Investigating causal relations by econometric models and cross-spectral methods, Econometrica: journal of the Econometric Society 424-438.
     Gray, Dale, and A Jobst, 2010, Systemic cca-a model approach to systemic risk, Deutsche Bundesbank/Technische Universität Dresden Conference: Beyond the Financial Crisis: Systemic Risk, Spillovers and Regulation, Dresden (Citeseer).
     Huang, Xin, Hao Zhou, and Haibin Zhu, 2012, Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis, Journal of Financial Stability 8, 193-205.
     International Monetary Fund (IMF), 2009, Responding to the financial crisis and measuring systemic risks., Glob. Financ. Stab. Rep. .
     Kritzman, Mark, Yuanzhen Li, Sebastien Page, and Roberto Rigobon, 2010, Principal components as a measure of systemic risk, Available at SSRN 1582687.
     Merton, Robert C, 1973, Theory of rational option pricing, The Bell Journal of economics and management science 141-183.
     Mishkin, Frederic, 2007, Systemic risk and the international lender of last resort: A speech at the tenth annual international banking conference, federal reserve bank of chicago, chicago, illinois, september 28, 2007, (Board of Governors of the Federal Reserve System (US)).
     Moussa, Amal, 2011. Contagion and systemic risk in financial networks (Columbia University).
     Pearson, Karl, 1901, Liii. On lines and planes of closest fit to systems of points in space, The London, Edinburgh, and Dublin philosophical magazine and journal of science 2, 559-572.
     Pedersen, Lasse Heje, Viral Acharya, Thomas Philippon, and Matt Richardson, 2010, Measuring systemic risk, NYU Working Paper.
     Pham, Thach N, Robert Powell, and Deepa Bannigidadmath, 2021, Systemically important banks in asian emerging markets: Evidence from four systemic risk measures, Pacific-Basin Finance Journal 70, 101670.
     Reinhart, Carmen M, and Kenneth S Rogoff, 2009, This time is different, in This time is different (princeton university press).
     Rosengren, Eric S, 2010, Asset bubbles and systemic risk.
     李君屏, 楊子萱, 王佳眞, 2017, 台灣金融機構的系統風險－∆CoVaR、分量迴歸模型與隨機優勢檢定的應用, 風險管理學報 19, 61-86.
     林莉娜, 2016, 台灣金融機構之系統風險—CoVaR方法, 統計學系 國立臺北大學, 新北市.
     王曉輝, 2018, 臺灣銀行業考量CoVaR後其競爭性對穩定性之影響, 國際商務系碩士班 國立臺北商業大學, 台北市.
     鍾經樊, 2011, 涵蓋信用風險, 銀行間傳染風險, 與流動性風險的台灣金融系統風險量化模型, 中央銀行季刊.		zh_TW