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題名：我國總體金融穩定健全指標之評估與建構
書刊名：中央銀行季刊
作者：侯德潛
出版日期：2015
卷期：37:1
頁次：頁3-34
主題關鍵詞：金融危機；金融健全指標；金融循環
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:1
  • 點閱點閱:14
為建立可衡量總體金融穩定之健全指標，以詳實反映臺灣銀行業整體情勢與金融 壓力，本文依據金融危機主因係資產價格過度投機所導致信用膨脹的觀點，利用頻譜分 析理論的寬頻濾波法來實證建構臺灣金融循環的指標與波型，其歷次波峰可詳實掌握自 1975年以來本土金融壓力的轉折時點；同時，針對當前金融循環的波動幅度來觀察，我 國整體金融循環波型已愈趨平坦，即循環週期的平均每季振幅逐漸減緩，顯示當前臺灣 總體金融情勢呈現穩定。 本文所建構臺灣總體金融循環的指標與波型，可顯現出「金融不穩定的矛盾：當金 融體系似乎最健全的時候，通常就是最脆弱的時候」，意即金融壓力風險總是發生於金 融循環訊息指標位居高峰(好景)的時段，而這正是傳統金融健全指標與金融壓力指標並 無法在事前顯現危機的根本原因。
期刊論文
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2.Kaufman, George G.(1994)。Bank Contagion: A Review of the Theory and Evidence。Journal of Financial Services Research，8(2)，123-150。  new window
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4.Wecker, W.(1979)。Predicting the Turning Points of a Time Series。Journal of Business，52，35-50。  new window
5.Taylor, John B.(2010)。Getting Back on Track: Macroeconomic Policy Lessons from the Financial Crisis。Federal Reserve Bank of St. Louis Review，92(3)，165-176。  new window
6.Lambertini, Luisa、Mendicino, Caterina、Punzi, Maria Teresa(2013)。Leaning Against Boom-Bust Cycles in Credit and Housing Prices。Journal of Economic Dynamics and Control，37(8)，1500-1522。  new window
7.Gorton, G.(1988)。Banking Panics and Business Cycles。Oxford Economic Papers，40(4)，751-781。  new window
8.Freixas, X.、Parigi, B.(1998)。Contagion and Efficiency in Gross and Net Interbank Payment Systems。Journal of Financial Intermediation，7，3-31。  new window
9.Fukao, M.(2007)。Financial Crisis and the Lost Decade。Asian Economic Policy Review，2(2)，273-297。  new window
10.Goodfriend, Marvin(2007)。How the World Achieved Consensus on Monetary Policy?。Journal of Economic Perspectives，21(4)。  new window
11.Flannery, M.(1998)。Using Market Information in Prudential Bank Superversion: A Review of US Empirical Evidence。Journal of Money, Credit and Banking，30(3)，273-305。  new window
12.Drehmann, Mathias(2013)。Total Credit as An Early Warning Indicator for Systemic Banking Crises。BIS Quarterly Review，2013(Jun.)，41-45。  new window
13.Borio, Claudio、Lowe, P.(2002)。Assessing the Risk of Banking Crisis。BIS Quarterly Review，March，43-54。  new window
14.Borio, C.、Disyatat, P.(2010)。Global imbalances and the financial crisis: Reassessing the role of international finance。Asian Economic Policy Review，5，198-216。  new window
15.張金鶚(19980800)。中美房地產景氣循環之研究心得。住宅學報，7，101-104。new window  延伸查詢new window
16.Harding, Don、Pagan, Adrian R.(2002)。Dissecting the Cycle: A Methodological Investigation。Journal of Monetary Economics，49(2)，365-381。  new window
17.Christiano, Lawrence J.、Eichenbaum, Martin、Evans, Charles L.(2005)。Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy。Journal of Political Economy，113(1)，1-45。  new window
18.Devenow, Andrea、Welch, Ivo(1996)。Rational Herding in Financial Economics。European Economic Review，40(3-5)，603-615。  new window
19.Fama, Eugene F.(19911200)。Efficient Capital Markets。Journal of Finance，46(5)，1575-1617。  new window
20.Akerlof, George A.(1970)。The Market for "Lemons": Quality Uncertainty and the Market Mechanism。The Quarterly Journal of Economics，84(3)，488-500。  new window
21.Christiano, L. J.、Fitzgerald, T. J.(2003)。The Band Pass Filter。International Economic Review，44(2)，435-465。  new window
22.Allen, Franklin、Gale, Douglas(2000)。Financial Contagion。Journal of Political Economy，108(1)，1-33。  new window
23.Baxter, Marianne、King, Robert G.(1999)。Measuring Business Cycles: Approximate Band-pass Filters for Economic Time Series。The Review of Economics and Statistics，81(4)，575-593。  new window
會議論文
1.Yellen, Janet L.(2009)。A Minsky Meltdown: Lessons for Central Bankers。Meeting the Challenges of the Financial Crisis Conference。Federal Reserve Bank of San Francisco。  new window
2.Mishkin, F. S.(201011)。Monetary policy strategy: Lessons from the crisis。The ECB Central Banking Conference。Frankfurt。  new window
3.Greenspan, C. A.(199610)。Bank Supervision, Regulation, and Risk。The Annual Convention of The American Bankers Association。  new window
4.FSB(200904)。Report of the Financial Stability Forum on Addressing Procyclicality in the Financial System。Financial Stability Forum。  new window
5.Caruana, Jaime(2012)。Dealing with Financial Systemic Risk: the Contribution of Macroprudential Policies。Central Bank of Turkey/G20 Conference on Financial Systemic Risk。Istanbul。  new window
6.Bernanke, B. S.(2010)。Remarks on 'The Squam Lake Report: Fixing the Financial System'。The Squam Lake Conference。New York。  new window
7.Aikman, David、Haldane, Andrew G.、Nelson, Benjamin(2011)。Curbing the Credit Cycle。Capitalism and Society Annual Conference。New York。  new window
8.Walsh, Carl E.(2009)。Using Monetary Policy To Stabilize Economic Activity。The 2009 Jackson Hole Symposium，(會議日期: Aug. 22)。  new window
9.Goodhart, C. A. E.、Hartmann, P.、Llewellyn, D. T.、Rojas-Suares, Liliana、Weisbrod, S. R.(1997)。Financial Regulation: Why, How and Where Now?。Monograph for the Central Bank Governors' Meeting at the Bank of England，(會議日期: June 6)。  new window
研究報告
1.Alessi, L.、Detken, C.(2009)。Real time early warning indicators for costly asset price boom/bust cycles: a role for global liquidity。  new window
2.Borio, C.(2012)。The Financial Cycle and Macroeconomics: What Have We Learnt?。Bank for International Settlements。  new window
3.Minsky, Hyman P.(1992)。The Financial Instability Hypothesis。New York：Bard College。  new window
4.Zarnowitz, V.、Boshan, A.(1975)。A Review of Cyclical Indicators for the United States。NBER。  new window
5.Shin, Hyun Song(2013)。Procyclicality and the Search for Early Warning Indicators。  new window
6.Taylor, John B.(2000)。The Monetary Transmission Mechanism and the Evaluation of Monetary Policy Rules。Central Bank of Chile。  new window
7.NBER(1982)。Rational Expection and Macroeconomic Forecast。Victor Zarnowitz。  new window
8.Merrouche O.、Nier, E.(2010)。What Cause the Financial Crisis?- Evidence on the Drives of Financial Imbalance。  new window
9.LSE(2010)。Value of Information in Competitive Economics with Incomplete Markets。  new window
10.Li, Lian Ong、Jeasakul, Phakawa、Kwoh, Sarah(2013)。HEAT! A Bank Health Assessment Tool。  new window
11.IMF(2013)。Financial Soundness Indicators and Banking Crisis。IMF。  new window
12.IMF(201109)。Towards Operationalizing Macroprudential Policy-When to Act?。  new window
13.International Monetary Fund(201009)。The IMF-FSB Early Warning Exercise: Design and Methodological Toolkit。  new window
14.Haldane, A.、Hall, S.、Pezzini, S.(2007)。A New Approach to Assessing Risks to Financial Stability。  new window
15.Drehmann, Mathias、Borio, Claudio、Tsatsaronis, Kostas(201206)。Characterising the Financial Cycle: Don’t Lose Sight of the Medium Term!。  new window
16.Christiano, Lawrence J.、Fitzgerald, Terry J.(1999)。The Band Pass Filter。  new window
17.Claessens, S.、Kose, M.、Terrones, M.(2011)。How Do Business and Financial Cycles Interact?。IMF。  new window
18.CGFS(2005)。Stress-testing at Major Financial Institutions: Survey Result and Practice。  new window
19.Caruana, Jaime(201402)。The Role of Central Banks in Macroeconomic and Financial Stability。  new window
20.Borio, C.、Disyatat, P.(2011)。Global imbalances and the financial crisis: link or no link?。  new window
21.Borio, C.、Furfine, C.、Lowe, P.(2001)。Pro-Cyclicality of the Financial System and the Financial Stability: Issues and Policy Options。  new window
22.Beau, Denis、Clerc, Laurent、Mojon, Benoit(2011)。Macroprudential Policy and the Conduct of Monetary Policy。Banque De France。  new window
23.Angelini, P.、Panetta, F.(2011)。Monetary and Prudential Policies。Banca D'Italia。  new window
24.Santos, J.(2001)。Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature。  new window
25.Bernanke, B.、Gertler, M.、Gilchrist, S.(1998)。The Financial Accelerator in a Quantitative Business Cycle Framework。  new window
26.Borio, Claudio(20030200)。Towards a Macroprudential Framework for Financial Supervision and Regulation?。Basel：BIS。  new window
27.Balakrishnan, R.、Danninger, S.、Elekdag, S.、Tytell, I.(2009)。The Transmission of Financial Stress from Advanced to Emerging Economies。IMF。  new window
28.Sundararajan, V.、Enoch, Charles、José, Armida San、Hilbers, Paul、Krueger, Russell、Moretti, Marina、Slack, Graham(2002)。Financial Soundness Indicators: Analytical Aspects and Country Practices。Washington, DC：International Monetary Fund。  new window
圖書
1.張金鶚(2003)。房地產投資與市場分析--理論與實務。台北市：張金鶚。  延伸查詢new window
2.Minsky, Hyman P.(1982)。Can "It" Happen Again?: Essays on Instability and Finance。M. E. Sharpe, Inc.。  new window
3.Financial Services Authority(2009)。The Turner Review: A regulatory response to the global banking crisis。Financial Services Authority。  new window
4.中央銀行(2010)。全球金融危機專輯。中央銀行。  延伸查詢new window
5.秋秀錦(1981)。參加美國商務部經濟指標研討會報告。行政院主計總處。  延伸查詢new window
6.中央銀行(2007)。金融穩定報告。中央銀行。  延伸查詢new window
7.中央銀行(1976)。中央銀行年報。中央銀行。  延伸查詢new window
8.Wicksell, K.(1898)。Interest and Prices: A Study of Causes Regulating the Value of Money。London：Macmillan。  new window
9.Turner, Adair(2011)。Leverage, Maturity Transformation and Financial Stability: Challenges Beyond Basel。Cass Business School。  new window
10.Tinbergen, J.(1939)。Statistical Testing of Business Cycle Theories。Geneva：League of Nations。  new window
11.Moore, G. H.、Shiskin, J.(1966)。Indicators of Business Expansions and Contractions。NBER。  new window
12.Reinhart, Carmen M.、Rogoff, Kenneth S.(2011)。This Time is Different: Eight Centuries of Financial Folly。Princeton, NJ：Princeton University Press。  new window
13.Koo, R.(2003)。Balance Sheet Recession。N.Y.：John Wiley & Sons。  new window
14.Kindleberger, Charles P.(1978)。Manias, Panics, and Crashes: A History of Financial Crisis, Wiley Investment Classics。N.Y.：John Wiley & Sons。  new window
15.Juglar, Clement(1862)。Des crises commerciales et leur retour périodique en France, en Angleterre, et aux États-Unis。Paris：Guillaumin。  new window
16.Fisher, Irving(1932)。Boom and Depressions。New York：Adelphi Co.。  new window
17.BCBS(2010)。International Regulatory Framework for Banks (Basel III)。BIS。  new window
18.BCBS(2009)。Strengthening the Resilience of the Banking Sector。BIS。  new window
19.BIS(2011)。Central Bank Governance and Financial Stability。BIS。  new window
20.BCBS(2002)。Guidance for National Authorities Operating the Countercyclical Capital Buffer。Basel：Bank for International Settlements。  new window
21.Aghion, P.、Bachetta, P.、Banerjee, A.(2000)。Capital Markets and the Instability of Open Economics。Studienzentrum Gerzensee, Swiss。  new window
22.Zarnowitz, V.(1992)。Business Cycles: Theory, History, Indicators, and Forecasting。Chicago, Illinois：The University of Chicago Press。  new window
23.Burns, A. F.、Mitchell, W. C.(1946)。Measuring Business Cycles。New York：National Bureau of Economic Research。  new window
其他
1.Krugman, Paul(20090903)。How Did Economists Get It So Wrong?。  new window
圖書論文
1.侯德潛、吳懿娟(2010)。金融危機與當代經濟理論的省思。全球金融危機專輯。中央銀行。  延伸查詢new window
2.Trichet, Jean-Claude(2011)。Intellectual Challenges to Financial Stability Analysis in the Era of Macro-Prudential Oversight。Global imbalances and financial stability, Financial stability review。Banque De France。  new window
3.Spaventa, Luigi(2009)。Economists and Economics: What Does the Crisis Tell Us?。Policy Insight。Centre for Economic Policy Research。  new window
4.Chamon, M.、Crowe, C.(2012)。Predictive Indicators of Crises。Handbook in Financial Globalization: The Evidence and Impact of Financial Globalization。London：Elsevier。  new window
 
 
 
 
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