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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/99525


    Title: 金融危機與產業共動性之研究:以臺灣股市為例
    Study of the Financial Crisis and the Connectivity of Taiwan’s Industries
    Authors: 鄭郁蓁
    Cheng, Yu Chen
    Contributors: 郭維裕
    鄭郁蓁
    Cheng, Yu Chen
    Keywords: 金融崩潰風險
    風險衡量指標
    主成分分析
    Granger因果關係檢定
    Date: 2016
    Issue Date: 2016-08-02 15:51:03 (UTC+8)
    Abstract: 有鑑於美國次貸危機引發的金融風暴席捲全球,造成了大型金融機構倒閉、全球經濟衰退以及投資人的鉅額虧損,政府與投資人開始重視風險的控管,學術界及實務界也建構出各種能夠衡量金融風險的指標,期能達到防患未然的功效。本研究將Billio, Getmansky, Lo, and Pelizzon (2011)使用的主成分分析(Principal Components Analysis)與Granger因果關係檢定(Granger Causality Test)兩種統計方法應用至臺灣股市,證實臺灣各產業指數的連動性高,尤其在金融不穩定的情況下共動性會大增,使危機容易在體系內擴散。而在金融危機時期,食品工業和紡織纖維產業是其他產業最主要的影響者,金融保險業、觀光產業及貿易百貨業則最容易受到其他產業的影響。
    Reference: Adrian, T., and M. Brunnermeier, 2010, “CoVaR,” Staff Report 348, Federal Reserve Bank of New York.

    Alexander, L., 2010, “Opening Remarks,” working paper, Measuring Systemic Risk: A Conference Sponsored by the Milton Friedman Institute, the Chicago Fed, and the New York Fed.

    Billio, M., M. Getmansky, A. W. Lo, and L. Pelizzon, 2011, “Econometric Measures of Systemic Risk in the Finance and Insurance Sectors,” National Bureau of Economic Research.

    Bisias, D., Flood, M., Lo, A., and Valavanis, S, 2012, “A Survey of Systemic Risk Analytics,” working paper, US Department of the Treasury.

    Giesecke, K., and B. Kim, 2009, “Risk analysis of collateralized debt obligations,” working paper.

    Group of Ten, 2001, “Report on Consolidation in the Financial Sector: Chapter III. Effects of Consolidation on Financial Risk,” working paper, International Monetary Fund.

    Khandani, A. E., A. J. Kim, and A. W. Lo, 2010, “Consumer Credit Risk Models via
    Machine-Learning Algorithms,” Journal of Banking and Finance, 34(11), 2767–2787.

    Kritzman, M., Y. Li, S. Page, and R. Rigobon, 2010, “Principal Components as a Measure of Systemic Risk,” Revere Street Working Paper Series: Financial Economics 272-28, Revere Street Working Paper Series.

    Rosengren, E. S., 2010, “Asset Bubbles and Systemic Risk,” working paper, Federal Reserve Bank of Boston, Speech delivered at the Global Interdependence Center’s Conference on “Financial Interdependence in the World’s Post-Crisis Capital Markets”, Philadelphia, March 3, 2010.

    郭維裕,李淯靖,陳致綱與林建秀,2014年9月,「台灣產業指數的外溢效果」,經濟論文叢刊,407476,2014。
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    104351003
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104351003
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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