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題名 國際收支失衡與資本適足率最適調整之探討—以歐元區為例
Trade Imbalance and Adjustment of Capital Requirement in Euro Area作者 蕭筑方
Hsiao, Chu Fang貢獻者 胡聯國
Hu, Len Kuo
蕭筑方
Hsiao, Chu Fang關鍵詞 資本適足率
貿易失衡
歐洲貨幣聯盟
Capital regulation
trade imbalance
European monetary union日期 2011 上傳時間 1-Mar-2013 09:24:28 (UTC+8) 摘要 目前歐盟訂立的歐盟資本要求規範(Capital Requirements Directive)是為加強歐元區內的金融機構之間的風險管理並參考新巴塞爾資本協定(New Basel Capital Accord)所建構而成的風險管理規範。本文之理論基礎是以Holmström and Tirole (2011)流動性衝擊之模型與Hu (2012)資本適足率之模型為基底，從國際貿易的觀點繼續延伸，探討當考慮國際收支帳之後，資本適足率應當如何加以調整，並且探討目前歐元區全面遵循一致的資本要求規範之現象是否合適。由於歐元區各國的貿易失衡問題也是造成當前歐洲債務危機的主要因素之一，因此，本文也將觀察貿易失衡與調整資本適足率之間的關係。最後，本文以歐元區17國最近6年的經濟統計資料套用理論模型並經過實證之後發現，歐元區各國對於資本適足率調整之方向並非一致，此外，由於各國在每個時期的經濟表現也不盡相同，因此，歐盟應更多加思考歐元區各國不同的資本調整之特性與總體經濟表現來修訂資本要求規範。
The European Union constructs a comprehensive and risk-sensitive framework, Capital Requirements Directive (CRD), to enhance risk management among financial institutions. This paper analyzes whether the rules of capital requirement ratios should be uniform for all the countries in Euro area by establishing a model of liquidity shock and capital requirement from the sight of balance of payments. This paper will also observe the relationships between current account imbalances and the adjustment of capital requirement, because international trade imbalances also account for parts of the reasons that cause nowadays European debt crisis. The results of the model show that uniform policy for capital requirement is not appropriate for all the EU-17. The adjustment of capital requirement should be considered for the various macroeconomic environments in different countries and in different times.參考文獻 Blanchard, Olivier and Francesco Giavazzi (2002), “Current Account Deficits in the Euro Area: The End of the Feldstein-Horioka Puzzle?” Brookings Papers on Economic Activity, 2002-2, 147-186.Blundell- Wignall, Adrian and Paul Atkinson (2010), “Thinking Beyond Basel III: Necessary Solutions for Capital and Liquidity,” OECD Journal Financial Market Trends, Volume 2010 - Issue 1.Calvo, Guillermo A. and Carmen M. Reinhart (2002), “Fear of Floating,” The Quarterly Journal of Economics, CXVII, 379-408.Cecchetti, Stephen G, M S Mohanty and Fabrizio Zampolli (2011), “The Real Effects of Debt,” BIS Working Paper, No. 352.Checherita, Cristina and Philipp Rother (2010), “The Impact of High and Growing Government Debt on Economic Growth an Empirical Investigation for The Euro Area,” ECB Working Paper Series, NO. 1237.Holmström, B., J. Tirole (2011), “Inside and Outside Liquidity,” The MIT Press.Hu, Len-Kuo (2012), “Liquidity Shock, Bank Capital Requirement and Economic Cycle,” Working Paper.Kaminsky, Graciela L. and Carmen M. Reinhart (1999), “The Twin Crises: The Causes of Banking and Balance-Of-Payments Problems,” The American Economic Review, 89, 473-500.Kashyap, Anil K. and Jeremy C. Stein (2004), “Cyclical implications of the Basel II capital standards,” Federal Reserve Bank of Chicago Economic Perspectives, 28, 18-31.Krugman, Paul (1979), “A Model of Balance-of-Payments Crises,” Journal of Money, Credit and Banking, 11, 311-325.Morrison, Alan D. and Lucy White (2005), “ Crises and Capital Requirements in Banking,” The American Economic Review, 95, 1548-1572.Schmitz, Birgit, Jürgen von Hagen (2011), “Current account imbalances and financial integration in the euro area,” Journal of International Money and Finance, 30, 1676–1695.Slovik, P. and B. Cournede (2011), “Macroeconomic Impact of Basel III,” OECD Economics, Department Working Papers, No. 844. 描述 碩士
國立政治大學
國際經營與貿易研究所
99351015
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099351015 資料類型 thesis dc.contributor.advisor 胡聯國 zh_TW dc.contributor.advisor Hu, Len Kuo en_US dc.contributor.author (Authors) 蕭筑方 zh_TW dc.contributor.author (Authors) Hsiao, Chu Fang en_US dc.creator (作者) 蕭筑方 zh_TW dc.creator (作者) Hsiao, Chu Fang en_US dc.date (日期) 2011 en_US dc.date.accessioned 1-Mar-2013 09:24:28 (UTC+8) - dc.date.available 1-Mar-2013 09:24:28 (UTC+8) - dc.date.issued (上傳時間) 1-Mar-2013 09:24:28 (UTC+8) - dc.identifier (Other Identifiers) G0099351015 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/57037 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 99351015 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 目前歐盟訂立的歐盟資本要求規範(Capital Requirements Directive)是為加強歐元區內的金融機構之間的風險管理並參考新巴塞爾資本協定(New Basel Capital Accord)所建構而成的風險管理規範。本文之理論基礎是以Holmström and Tirole (2011)流動性衝擊之模型與Hu (2012)資本適足率之模型為基底，從國際貿易的觀點繼續延伸，探討當考慮國際收支帳之後，資本適足率應當如何加以調整，並且探討目前歐元區全面遵循一致的資本要求規範之現象是否合適。由於歐元區各國的貿易失衡問題也是造成當前歐洲債務危機的主要因素之一，因此，本文也將觀察貿易失衡與調整資本適足率之間的關係。最後，本文以歐元區17國最近6年的經濟統計資料套用理論模型並經過實證之後發現，歐元區各國對於資本適足率調整之方向並非一致，此外，由於各國在每個時期的經濟表現也不盡相同，因此，歐盟應更多加思考歐元區各國不同的資本調整之特性與總體經濟表現來修訂資本要求規範。 zh_TW dc.description.abstract (摘要) The European Union constructs a comprehensive and risk-sensitive framework, Capital Requirements Directive (CRD), to enhance risk management among financial institutions. This paper analyzes whether the rules of capital requirement ratios should be uniform for all the countries in Euro area by establishing a model of liquidity shock and capital requirement from the sight of balance of payments. This paper will also observe the relationships between current account imbalances and the adjustment of capital requirement, because international trade imbalances also account for parts of the reasons that cause nowadays European debt crisis. The results of the model show that uniform policy for capital requirement is not appropriate for all the EU-17. The adjustment of capital requirement should be considered for the various macroeconomic environments in different countries and in different times. en_US dc.description.tableofcontents CONTENTS摘要 iABSTRACT ii1 Introduction 12 Literature Review 5 2.1 Public Debt 5 2.2 Capital Requirement 5 2.3 Trade Imbalance 73 The Model 10 3.1 Background 10 3.2 Liquidity Shock 12 3.3 Balance of Payment 154 The Empirical Model 19 4.1 Data 19 4.2 Statistics of Economics Environment in EU-17 19 4.2.1 Current Account 19 4.2.2 Growth Rate of Output 20 4.2.3 Debt to GDP Ratio 21 4.3 Comparison of the Interest Rate Sensitivity of Output between EU-17 25 4.4 The Method of Regression 29 4.4.1 Unit Root Test 29 4.5 Variables, Explanations, and Results of Regression 31 4.5.1 Variables 31 4.5.2 Results and Explanation 32 4.6 Estimation and Policy Suggestion 335 Conclusion 37Appendix A. 38Appendix B. 48Reference 49 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099351015 en_US dc.subject (關鍵詞) 資本適足率 zh_TW dc.subject (關鍵詞) 貿易失衡 zh_TW dc.subject (關鍵詞) 歐洲貨幣聯盟 zh_TW dc.subject (關鍵詞) Capital regulation en_US dc.subject (關鍵詞) trade imbalance en_US dc.subject (關鍵詞) European monetary union en_US dc.title (題名) 國際收支失衡與資本適足率最適調整之探討—以歐元區為例 zh_TW dc.title (題名) Trade Imbalance and Adjustment of Capital Requirement in Euro Area en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Blanchard, Olivier and Francesco Giavazzi (2002), “Current Account Deficits in the Euro Area: The End of the Feldstein-Horioka Puzzle?” Brookings Papers on Economic Activity, 2002-2, 147-186.Blundell- Wignall, Adrian and Paul Atkinson (2010), “Thinking Beyond Basel III: Necessary Solutions for Capital and Liquidity,” OECD Journal Financial Market Trends, Volume 2010 - Issue 1.Calvo, Guillermo A. and Carmen M. Reinhart (2002), “Fear of Floating,” The Quarterly Journal of Economics, CXVII, 379-408.Cecchetti, Stephen G, M S Mohanty and Fabrizio Zampolli (2011), “The Real Effects of Debt,” BIS Working Paper, No. 352.Checherita, Cristina and Philipp Rother (2010), “The Impact of High and Growing Government Debt on Economic Growth an Empirical Investigation for The Euro Area,” ECB Working Paper Series, NO. 1237.Holmström, B., J. Tirole (2011), “Inside and Outside Liquidity,” The MIT Press.Hu, Len-Kuo (2012), “Liquidity Shock, Bank Capital Requirement and Economic Cycle,” Working Paper.Kaminsky, Graciela L. and Carmen M. Reinhart (1999), “The Twin Crises: The Causes of Banking and Balance-Of-Payments Problems,” The American Economic Review, 89, 473-500.Kashyap, Anil K. and Jeremy C. Stein (2004), “Cyclical implications of the Basel II capital standards,” Federal Reserve Bank of Chicago Economic Perspectives, 28, 18-31.Krugman, Paul (1979), “A Model of Balance-of-Payments Crises,” Journal of Money, Credit and Banking, 11, 311-325.Morrison, Alan D. and Lucy White (2005), “ Crises and Capital Requirements in Banking,” The American Economic Review, 95, 1548-1572.Schmitz, Birgit, Jürgen von Hagen (2011), “Current account imbalances and financial integration in the euro area,” Journal of International Money and Finance, 30, 1676–1695.Slovik, P. and B. Cournede (2011), “Macroeconomic Impact of Basel III,” OECD Economics, Department Working Papers, No. 844. zh_TW
