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題名：金融海嘯後台灣金融穩定問題之研究
作者：李聿偉
作者(外文)：Yu-Wei Li
校院名稱：國立高雄第一科技大學
系所名稱：財務金融學院博士班
指導教授：賴麗華
郭照榮
學位類別：博士
出版日期：2017
主題關鍵詞：馬可夫兩狀態轉換；金融壓力；金融穩定；雜音訊號比；financial stress；financial stability；two-state Markov regime-switching；noise to signal ratio；Credit-to-GDP gap
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本研究同時建構以「市場基礎」及「銀行基礎」雙主軸的台灣金融穩定偵測系統，運用一階馬可夫兩狀態轉換計量工具對台灣1997年Q1到2016年Q2期間的金融壓力指數（financial stress index，FSI）波動狀態進行客觀認定，捕捉出台灣歷次重大金融危機事件的時間轉折點，並於此基礎下，進一步研究提出台灣金融穩定綜合指標(CITFS)，從銀行基礎的台灣金融穩定候選變數中，利用雜音訊號比法(noise to signal ratio，NTSR)篩選出具有早期預警(early warning)功能的台灣金融穩定綜合指標，作為有效偵測並能預警台灣金融危機的金融穩定監理工具。實證結果發現，市場基礎的FSI運用馬可夫兩狀態轉換計量工具，能合理判斷出台灣歷次重大金融危機的時間轉折點，並成功判定出亞洲金融危機、網路泡沫化、兩岸政經關係緊張、金融海嘯及歐債危機等。特別是，成功捕捉出2004Q2期間的兩岸政經緊張關係所引起的金融危機，充分顯示出台灣金融體系特有的「政治敏感基因」特質；而以銀行基礎建構的台灣金融穩定綜合指標(CITFS)在偵測台灣歷次發生的重大金融危機事件亦具有良好的預警能力，可提供台灣金融監理當局建構金融預警機制的重要參考依據。另外，本研究依國際共通參考指標Credit-to-GDP gap(CTG gap)與台灣金融穩定綜合指標(CITFS)預警能力進行比較分析，CTG gap大都能於台灣金融危機發生前四季即時發出預警訊號；綜此，CTG gap與CITFS頗有相輔相成之效果。最後，基於金融海嘯後全球金融監理趨勢，本研究結果可提供總體審慎架構下，台灣金融穩定問題的有效監理工具。
This study sets up a detective system for Taiwan’s financial stability with two spindles of the market-based and the bank-based. While uses “Two-state Markov regime-switching” method to capture the turning points from Taiwan’s previous major financial crises through the volatility of Taiwan’s financial stress index between 1997Q1 and 2016Q2. On this basis, a further study proposes the research of “a robust set of indicators for the Taiwan’s financial stability” by using “noise to signal ratio” method from the candidate variables of bank-based Taiwan’s financial stability, in order to filter out composite indicator of Taiwan’s financial stability with early warning functions as a supervisory tool for financial stability, effectively to detect and alert Taiwan’s financial crises. Empirical results proves, “two-state Markov regime-switching” method with the market-based Taiwan’s financial stress index, it sure can rationally determine the turning points for Taiwan’s previous major financial crises and successfully identify Asian financial crisis, dot-com bubble, cross-strait political-economic tensions, global financial crisis, European debt crisis, etc., especially to capture the financial crisis triggered by cross-strait political and economic tensions in 2004Q2, which completely reveals an individual characteristic of political sensitive gene in Taiwan’s financial system. Moreover, a composite indicator of Taiwan’s financial stability (CITFS) constructed by bank-based measure has a good early warning capability to detect the events of Taiwan’s previous major financial crises, and provide Taiwan’s financial supervisory authority some important reference to build up the early warning mechanism. In addition, this study analyzes the early warning capability of CTG gap and CITFS, and most of them can issue early warning signals prior the first four quarters of the financial crisis in Taiwan. In summary, CTG gap and CITFS have complementary effects. Finally, based on the proactive trend of global financial supervision after the financial tsunami, the results of this study can provide an effective supervision tool for Taiwan financial stability within the macroprudential framework.
一、中文文獻
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3.陳裴紋(2013)，「金融壓力指數之建置與應用－台灣的個案研究」，中央銀行季刊，第三十五卷第四期，12月，11-62頁。
4.郭照榮 (2013)，Basel III對金融穩定及貨幣政策之影響，中央銀行委託研究報告，101CBC-金-1。
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