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題名 金融傳導路徑
The paths of financial contagion
作者 林詩閔
貢獻者 林靖<br>陳心蘋
林詩閔
關鍵詞 金融傳導
傳導因子
傳導路徑
報酬外溢效果
波動性外溢效果
日期 2012
上傳時間 1-Jul-2013 17:37:39 (UTC+8)
摘要 本研究將金融傳導的路徑分成六類，(Ⅰ)國與國之間的傳導(Ⅱ)市場與市場之間的傳導(Ⅲ)產業與產業之間的傳導(Ⅳ)公司與公司之間的傳導(Ⅴ)非經濟因素與經濟因素之間的傳導(Ⅵ)上述五項傳導路徑之間的交互影響，驗證以德國為例，金融傳導路徑是確實存在，說明德國對於其他國家有報酬外溢以及波動外溢效果，匯率市場到德國股票市場亦有波動外溢效果，而德國銀行類股對於德國科技類股之間亦存有報酬外溢以及波動外溢效果。

除了驗證傳導路徑之外，本研究亦探討相同之金融傳導因子是否會對金融傳導路徑造成顯著性的影響，實證發現金融傳導因子對於德國之金融傳導路徑具有複合性影響之特性，股市和債市的傳導因子會影響多項傳導路徑，為相當具影響力之因子，因金融傳導因子為金融傳導的訊號，因此，危機發生前適當的監控，透過觀察金融傳導因子的趨勢，在危機發生後能在最短時間內找出問題癥結，並給予政策制定者正確且有效率的金融政策建議。
參考文獻 中文文獻
1. 莊旭明(2012), ‘跨國金融危機擴散效果之分析-以Copula模型為分析方法’,政大碩博士論文，經濟系
2. 林楙然(2012), ‘在極端事件下亞洲股票市場傳遞效果分析’,政大碩博士論文，金融系
3. 劉彩卿與陳欽賢(2012), ‘STATA基礎操作與統計模型應用’,雙葉書廊
英文文獻
1. Aebi, V., Sabato, G. and Schmid, M.(2012), ‘Risk management, corporate governance, and bank performance in the financial crisis’, Journal of Banking & Finance,Vol.36(12),pp.3213-3226.
2. Allen, F. and Gale, D.(2000), ‘Financial contagion’ Journal of Political Economy, Vol(108),pp.1-33.
3. Bollerslev, T.(1986), ‘Generalized autoregressive conditional Heteroscedasticity’ Journal of Econometrics,Vol.31(3),pp.307-327.
4. Bollerslev, T., Engle, R.F. and Wooldridge, J. M.(1988), ‘A capital asset pricing model with time-varying covariance’,Journal of Political Economy. Vol.96, pp. 116-131.
5. Boss, M., Elsinger, H., Summer F. and Thurner, S.(2004), ‘Network topology of the interbank market’, Quantitative Finance, Vol.4(6),pp.677-684.
6. De Haan, J. and Poghosyan, T.(2012), ‘Size and earnings volatility of US bank holding companies’, Journal of Banking & Finance,Vol.36(11),pp.3008-3016.
7. Eichengreen, B., Mody, A., Nedljkovic, M. and Sarno, L.(2012), ‘How the subprime crisis went global: Evidence from bank credit default swap spreads’, Journal of International Money and Finace,Vol.31(5),pp.1299-1318.
8. Engle, R. F., Lilien, D. M. and Robins R.P.(1987),‘Estimating time varying risk premia in the term structure: the Arch-M model’Econometrica.Vol.55(2), pp.391-407.
9. Engle,R.F.(1982),‘Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation’, Econometrica, Vol. 50(4),pp.987- 1007.
10. Fong, T.P.W. and Wong A.Y.T.(2012), ‘Gauging potential sovereign risk contagion in Europe’, Journal of Economics Letters,Vol.115(3),pp.496-499.
11. Frexias, X.,Parigi, B.M. and Rochet, J.C.(2000), ‘Systemic risk,interbank relations and liquidity provision by the central bank’, Journal of Money,Credit and Banking, Vol.32(2),pp.611-638.
12. Gorton, G. and Metrick, A.(2012), ‘Securitized banking and the run on repo’, Journal of Financial Economics,Vol.104(3),pp.425-451.
13. Guo, F., Chen C.R. and Huang Y.S. (2011), ‘Markets contagion during financial crisis: A regime-switching approach’, Journal of International Review of Economics and Financial,Vol.20(1),pp.95-109.
14. Hertzel, M.G. and Officer, M.S.(2012), ‘Industry contagion in loan spreads’, Journal of Financial Economics,Vol.103(3),pp.493-506.
15. Lenzua,S. and Tedeschi, G.(2012), ‘Systemic risk on different interbank network topologies’,Physica A,Vol.391(18),pp.4331-4341.
16. Martinez-Jaramillo, S., Pérez, P., Embriz, F.A. and Gallo Dey, F.L. (2010), ‘Systemic risk, financial contagion and financial fragility’, Journal of Economic Dynamics & Control ,Vol.34(11),pp.2358-2374.
17. Memmel, C. and Sachs, A.(2011), ‘Contagion in the interbank market and its determinants’, Journal of Financial Stability,Vol.9(1),pp.46-54.
18. Moon, G.H. and Yu, W.C. (2010), ‘Volatility spillovers between the US and CHINA stock markets: structural break test with symmetric and asymmetric GARCH approaches’, Global Economic Reviews.Vol.39(2),pp.129-149.
19. Paas, T. and Kuusk, A. (2012), ‘Contagion of financial crises: what does the empirical evidence show?’, Baltic Journal of Management,Vol.7 (1),pp.25-48.
20. Pastor L. and Veronesi P. (2012), ‘Uncertainty about government policy and stock prices’, Journal of Finance,Vol.67(4),pp.1219-1264.
21. Prati, A., Bartolini, L. and Bertola, G.(2003), ‘The overnight interbank market: evidence from the G-7 and the euro zone’, Journal of Banking & Finance , Vol.27(10), pp.2045-2083.
22. Upper, C. (2011), ‘Simulation methods to assess the danger of contagion in interbank markets’, Journal of Financial Stability,Vol.7(3),pp.111-125.
23. Euribor panel bank，http://www.euribor-rates.eu/panelbanks.asp
描述 碩士
國立政治大學
經濟學系
100258001
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100258001
資料類型 thesis
dc.contributor.advisor 林靖<br>陳心蘋zh_TW
dc.contributor.author (Authors) 林詩閔zh_TW
dc.creator (作者) 林詩閔zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 1-Jul-2013 17:37:39 (UTC+8)-
dc.date.available 1-Jul-2013 17:37:39 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2013 17:37:39 (UTC+8)-
dc.identifier (Other Identifiers) G0100258001en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58703-
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) 100258001zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 本研究將金融傳導的路徑分成六類，(Ⅰ)國與國之間的傳導(Ⅱ)市場與市場之間的傳導(Ⅲ)產業與產業之間的傳導(Ⅳ)公司與公司之間的傳導(Ⅴ)非經濟因素與經濟因素之間的傳導(Ⅵ)上述五項傳導路徑之間的交互影響，驗證以德國為例，金融傳導路徑是確實存在，說明德國對於其他國家有報酬外溢以及波動外溢效果，匯率市場到德國股票市場亦有波動外溢效果，而德國銀行類股對於德國科技類股之間亦存有報酬外溢以及波動外溢效果。

除了驗證傳導路徑之外，本研究亦探討相同之金融傳導因子是否會對金融傳導路徑造成顯著性的影響，實證發現金融傳導因子對於德國之金融傳導路徑具有複合性影響之特性，股市和債市的傳導因子會影響多項傳導路徑，為相當具影響力之因子，因金融傳導因子為金融傳導的訊號，因此，危機發生前適當的監控，透過觀察金融傳導因子的趨勢，在危機發生後能在最短時間內找出問題癥結，並給予政策制定者正確且有效率的金融政策建議。		zh_TW
dc.description.tableofcontents 謝辭 Ⅰ
摘要 Ⅱ
Abstract Ⅲ
目錄 Ⅳ
表目錄 Ⅴ
圖目錄 Ⅵ
壹、緒論
一、研究動機 1
二、研究目的 2
三、研究架構 2
四、研究限制 3
貳、文獻回顧
一、金融傳導路徑文獻-傳導定義與國與國之間的傳導 4
二、金融傳導路徑文獻-市場與市場、產業與產業之間的傳導 8
三、金融傳導路徑文獻-銀行與銀行之間的傳導 9
四、金融傳導路徑文獻-其他傳導文獻以及方法論 13
参、研究方法與模型設定
一、研究設計 17
二、GARCH-M模型 18
三、Panel Regression模型 19
四、模型設定 21
肆、實證結果與分析
一、資料蒐集 28
二、資料敘述統計 31
三、GARCH-M模型實證結果 36
四、Panel Regression模型實證結果 44
伍、結論與建議
一、研究成果與發現 49
二、經濟意涵及運用 51
參考文獻 52		zh_TW
dc.format.extent 1127276 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100258001en_US
dc.subject (關鍵詞) 金融傳導zh_TW
dc.subject (關鍵詞) 傳導因子zh_TW
dc.subject (關鍵詞) 傳導路徑zh_TW
dc.subject (關鍵詞) 報酬外溢效果zh_TW
dc.subject (關鍵詞) 波動性外溢效果zh_TW
dc.title (題名) 金融傳導路徑zh_TW
dc.title (題名) The paths of financial contagionen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 中文文獻
1. 莊旭明(2012), ‘跨國金融危機擴散效果之分析-以Copula模型為分析方法’,政大碩博士論文，經濟系
2. 林楙然(2012), ‘在極端事件下亞洲股票市場傳遞效果分析’,政大碩博士論文，金融系
3. 劉彩卿與陳欽賢(2012), ‘STATA基礎操作與統計模型應用’,雙葉書廊
英文文獻
1. Aebi, V., Sabato, G. and Schmid, M.(2012), ‘Risk management, corporate governance, and bank performance in the financial crisis’, Journal of Banking & Finance,Vol.36(12),pp.3213-3226.
2. Allen, F. and Gale, D.(2000), ‘Financial contagion’ Journal of Political Economy, Vol(108),pp.1-33.
3. Bollerslev, T.(1986), ‘Generalized autoregressive conditional Heteroscedasticity’ Journal of Econometrics,Vol.31(3),pp.307-327.
4. Bollerslev, T., Engle, R.F. and Wooldridge, J. M.(1988), ‘A capital asset pricing model with time-varying covariance’,Journal of Political Economy. Vol.96, pp. 116-131.
5. Boss, M., Elsinger, H., Summer F. and Thurner, S.(2004), ‘Network topology of the interbank market’, Quantitative Finance, Vol.4(6),pp.677-684.
6. De Haan, J. and Poghosyan, T.(2012), ‘Size and earnings volatility of US bank holding companies’, Journal of Banking & Finance,Vol.36(11),pp.3008-3016.
7. Eichengreen, B., Mody, A., Nedljkovic, M. and Sarno, L.(2012), ‘How the subprime crisis went global: Evidence from bank credit default swap spreads’, Journal of International Money and Finace,Vol.31(5),pp.1299-1318.
8. Engle, R. F., Lilien, D. M. and Robins R.P.(1987),‘Estimating time varying risk premia in the term structure: the Arch-M model’Econometrica.Vol.55(2), pp.391-407.
9. Engle,R.F.(1982),‘Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation’, Econometrica, Vol. 50(4),pp.987- 1007.
10. Fong, T.P.W. and Wong A.Y.T.(2012), ‘Gauging potential sovereign risk contagion in Europe’, Journal of Economics Letters,Vol.115(3),pp.496-499.
11. Frexias, X.,Parigi, B.M. and Rochet, J.C.(2000), ‘Systemic risk,interbank relations and liquidity provision by the central bank’, Journal of Money,Credit and Banking, Vol.32(2),pp.611-638.
12. Gorton, G. and Metrick, A.(2012), ‘Securitized banking and the run on repo’, Journal of Financial Economics,Vol.104(3),pp.425-451.
13. Guo, F., Chen C.R. and Huang Y.S. (2011), ‘Markets contagion during financial crisis: A regime-switching approach’, Journal of International Review of Economics and Financial,Vol.20(1),pp.95-109.
14. Hertzel, M.G. and Officer, M.S.(2012), ‘Industry contagion in loan spreads’, Journal of Financial Economics,Vol.103(3),pp.493-506.
15. Lenzua,S. and Tedeschi, G.(2012), ‘Systemic risk on different interbank network topologies’,Physica A,Vol.391(18),pp.4331-4341.
16. Martinez-Jaramillo, S., Pérez, P., Embriz, F.A. and Gallo Dey, F.L. (2010), ‘Systemic risk, financial contagion and financial fragility’, Journal of Economic Dynamics & Control ,Vol.34(11),pp.2358-2374.
17. Memmel, C. and Sachs, A.(2011), ‘Contagion in the interbank market and its determinants’, Journal of Financial Stability,Vol.9(1),pp.46-54.
18. Moon, G.H. and Yu, W.C. (2010), ‘Volatility spillovers between the US and CHINA stock markets: structural break test with symmetric and asymmetric GARCH approaches’, Global Economic Reviews.Vol.39(2),pp.129-149.
19. Paas, T. and Kuusk, A. (2012), ‘Contagion of financial crises: what does the empirical evidence show?’, Baltic Journal of Management,Vol.7 (1),pp.25-48.
20. Pastor L. and Veronesi P. (2012), ‘Uncertainty about government policy and stock prices’, Journal of Finance,Vol.67(4),pp.1219-1264.
21. Prati, A., Bartolini, L. and Bertola, G.(2003), ‘The overnight interbank market: evidence from the G-7 and the euro zone’, Journal of Banking & Finance , Vol.27(10), pp.2045-2083.
22. Upper, C. (2011), ‘Simulation methods to assess the danger of contagion in interbank markets’, Journal of Financial Stability,Vol.7(3),pp.111-125.
23. Euribor panel bank，http://www.euribor-rates.eu/panelbanks.asp		zh_TW