| dc.contributor.advisor | 朱美麗 | zh_TW |
| dc.contributor.author (Authors) | 李國銘 | zh_TW |
| dc.creator (作者) | 李國銘 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 02:02:12 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 02:02:12 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 02:02:12 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097258002 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49218 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟學系 | zh_TW |
| dc.description (描述) | 97258002 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 2007年8月美國爆發次貸危機(Subprime Crisis)，如此新型態的金融危機是否可由金融危機預警系統預測？是本文所欲探討的目標。本文採用訊號方法、固定效果下的Panel Logit Model和CART(Classification and Regression Tree)三種計量方法建構危機預警模型。最後利用美國2006年至2008年資料，驗證本文所建構之預警模型是否能夠有效預測次貸危機的發生。 | zh_TW |
| dc.description.abstract (摘要) | “Could banking early warning systems help to predict Sub-prime crisis?” That is the main issue that we want to discuss. We combine three kinds of early warning systems models – Signal Approach, fixed effect panel logit model, and CART approach – to create a new banking early warning system(EWS). We will use the US 2006-2008 data to examine whether this new EWS could predict the Sub-prime crisis correctly. | en_US |
| dc.description.tableofcontents | 第一章 前言 1第二章 文獻回顧 2第一節 金融危機定義 3 第二節 實証文獻探討 3第三章 研究方法 5第一節 實証方法 5一、訊號方法(Signal Extraction Approach) 6二、Panel Logit Model 7三、CART (Classification and Regression Tree) 8第二節 實証資料 10一、樣本時間、國家 10二、銀行危機時間認定 11三、預警變數的選取 13第三節 建立預警模型 14第四章 實証結果 15第一節 實証結果 16一、 訊號方法 16二、 固定效果下的Panel Logit Model 17三、 納入交叉項及落後項 21四、 建構銀行危機預警系統 24第二節 模型預警效果 25一、 美國銀行危機時間與門檻值 25二、 各預警模型預測效果 26第三節 小結 29第五章 結論與建議 30第一節 研究論點與限制 30第二節 研究建議 31參考文獻 33附錄 35附錄一、危機時間表 35附錄二、變數計算與來源 37附錄三、訊號方法的預測績效 39附錄四、基本型預警模型 43附錄五、調整型預警模型 44附錄六、CART決策樹 49附錄七、危機機率值與最適門檻值（美國） 54 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097258002 | en_US |
| dc.subject (關鍵詞) | 銀行危機 | zh_TW |
| dc.subject (關鍵詞) | 危機預警系統 | zh_TW |
| dc.subject (關鍵詞) | 訊號方法 | zh_TW |
| dc.subject (關鍵詞) | Banking Crises | en_US |
| dc.subject (關鍵詞) | Early Warning System | en_US |
| dc.subject (關鍵詞) | Signal Approach | en_US |
| dc.subject (關鍵詞) | Logit Model | en_US |
| dc.subject (關鍵詞) | CART | en_US |
| dc.title (題名) | 銀行危機預警系統之建構 | zh_TW |
| dc.title (題名) | Constructing a banking crises early warning system | en_US |
| dc.type (資料類型) | thesis | en |
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