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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49218


    Title: 銀行危機預警系統之建構
    Constructing a banking crises early warning system
    Authors: 李國銘
    Contributors: 朱美麗
    李國銘
    Keywords: 銀行危機
    危機預警系統
    訊號方法
    Banking Crises
    Early Warning System
    Signal Approach
    Logit Model
    CART
    Date: 2009
    Issue Date: 2010-12-08 02:02:12 (UTC+8)
    Abstract: 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。
    “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.
    Reference: 1.林郁翎(2002),「銀行危機預警綜合指標之建立-Signal Extraction Approach 與Panel Logit Model之結合」,東吳大學經濟學系碩士論文。
    2.張大成、林郁翎(2003),「銀行危機預警綜合指標之建立」存款保險資訊季刊,第16卷第三期,頁111-146。
    3.張瑞元、林金賢(2005),「建構銀行危機預警模型-訊號法與Panel Logit之結合」,會計與公司治理,第一卷第二期,頁9-32。
    4.黃仁德、林進煌 (2007),「國際金融危機的經驗與啟示」,台北市:聯經。初版。
    5.Alis, D.K., K. Baybars and L. Luc (2005) “Deposit Insurance around the world:A Comprehensive Database.” World Bank Policy Research Working Paper, No.3628, June, 2005.
    6.Breimann, L., J.H. Friedmann, R.A. Olshen, and C.J. Stone (1983) “Classification and Regression Trees” Wadsworth Publisher.
    7.Caprio, G., and D. Klingebiel (1996) “Bank Insolvencies: Cross-Country Experience.” World Bank Policy Research Working Paper, No.1620, July, 1996.
    8.Caprio,G., D. Klingebiel, L. Luc, and G. Noguera, (2005) “Appendix:Banking Crisis Database,” in Patrick Honohan and Luc Laeven (eds.), SystemicFinancial Crises: Containment and Resolution. Cambridge, U.K.: Cambridge University Press.
    9.Demirgüç-Kunt, A. and E. Detragiache (1998), “The Determinants of Banking Crises: Evidence from Developing and Developed Countries.” IMF Staff Paper, Vol. 45, No. 1,March,1998.
    10.Davis, E.P. and D. Karim, (2008), “Could Early Warning Systems Have Helped To Predict the Sub-Prime Crisis?” National Institute Economic Review, vol. 206 no.1, October 2008, pp.35-47.
    11.Hardy, D. C. and C. Palzaebasioglu, (1998) “Leading Indicators of Banking Crises: Was Asia Different?” IMF Working Paper, No. 98/91, June, 1998.
    12.International Monetary Fund, World Economic Outlook, May,1998, pp 74-97.
    13.Kaminsky, G. L. and C. M. Reinhart, (1999), “The Twin Crises: The Causes of Banking and Balance-of-Payments Problems.” The American Economic Review, Vol. 89, No. 3, June 1999, pp.473-500. Earlier version issued as Board of Governors International Finance Discussion Paper 544 (March 1996).
    14.Kaminsky, G. L. (1999) “Currency and banking Crises: the early warnings of distress.” IMF Working Paper, No.99/178, December, 1999.
    15.Luc, L. and V. Fabin (2008) ,”Systemic Banking Crises:A New Database.” IMF Working Pape,No.08/224,September,2008.
    16.Manasse, P., N. Roubini, and S. Axel (2003), “Prediciting Sovereign Debt Crises.” IMF Working Paper, No.03/221, November, 2003.
    17.Martin Hellwig (2008), “Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis” Preprints of the Max Planck Institute for Research on Collective Goods Bonn 2008/43, November, 2008.
    18.Patel, S. and A. Sarkar (1998) “Crises in Developed and Emerging Stock Markets.” Financial Analysts Journal, Vol. 54, No.6, Nov.-Dec.,1998, pp.50-61.
    19.Vila, A. (2000), “Asset price crises and banking crises: some empirical evidence.” BIS Working Paper, No. conference 81, Mar 2000, pp.232-25
    Description: 碩士
    國立政治大學
    經濟學系
    97258002
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097258002
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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