本篇論文的主要研究目的是希望探討Didier所發展出的金融危機預測模型是否也能夠適用於預測復甦現象?如同先前許多研究所指出的，美國股市指數波動在崩盤以及復甦下呈現截然不同的現象。當在復甦時，指數成長緩慢，波動程度小。但是當蕭條時，指數波動程度大，並且快速。這些差異增加了使用同一種方法來預測金融復甦與危機的困難度。 / Purpose of this study was to investigate Can the crisis prediction model proposed by Didier Sornette still work on blooming. As previous studies pointed out that the U.S. stock market index fluctuated different when under the blooming stage and the recession stage. When Economic recovery, a change into the positive cycle, the stock market index rose slowly, the index change in the short term rate is small. When recession came, changes in stock market index fiercely. These differences make it hard to using the same way predict the economic recovery and collapse.

銀行恐慌現象的探討一直都廣受研究金融危機與系統性風險等領域的經濟學者所青睞，而銀行擠兌潮更經常被視為導致銀行恐慌的主因之一。由於金融全球化已是時勢所趨，因此金融危機的蔓延更加受到學術界重視。Allen and Gale (2000)建構出不同型態的銀行同業拆借市場(Interbank market)，並以此為基礎進一步探討在最佳風險分攤的前提之下，銀行與消費者如何決定其投資與消費的最佳資源配置。 本文的基本架構係基於Allen and Gale (2000)所提出的經濟模型，配合存款保險制度的導入，嘗試驗證他們所提出的最佳資源配置是否仍然成立。而本文的結果證實政府實施存款保險制度，銀行與消費者仍然可以得到他們在投資與消費的最佳配置，即使在完美與不完美的銀行同業拆借市場，其結果仍然成立。另外本文也嘗試對存款保險制度是否能有效預防銀行恐慌與其蔓延作出驗證。其結果證實提高存款保險稅率後，銀行擠兌潮的發生需要較高的不可預期流動性需求。換言之，存款保險制度有效提高了銀行倒閉門檻。而對於預防透過銀行同業拆借市場所衍生的金融危機蔓延，存款保險制度的有效性也在本文中獲得證實。 然而存款保險制度並非具絕對優勢，過多則損害消費者的預期效用。因此本文將銀行倒閉風險機率納入模型，利用軟體模擬消費者預期效用極大化條件下的最適存款保險稅率。並且進一步證實，長期資產到期日清算與到期前清算，其兩者報酬率之間的利差愈大，存款保險最適稅率須同步增加，才能使消費者效用最大。另外我們也證實存款保險制度能夠提高社會福利水準與降低銀行倒閉風險。 / Bank panic serves as a favored subject for economists who engage in researches of financial crisis and systematic risk. Because financial liberalization and globaliza-tion have been inevitable, economic scholars have regarded financial contagion. Allen and Gale (2000) established different interbank market structures to achieve the first-best allocation of banks’ investment portfolio and depositors’ consumptions. In this paper, we try to confirm Allen and Gale’s first-best allocation when the deposit insurance is implemented, and we obtain the same consequence as well. Be-sides, we also approve that occurrence of a bank run must accompany by a high level of unexpected liquidity shock if the deposit insurance exists. In other words, it raises the threshold of bankruptcy. Therefore, the deposit insurance is feasible to avert bank panic. With regard to the contagion effect, the deposit insurance undoubtedly de-creases its negative influence because financial interdependence between different financial sectors will be attenuated by imposing a deposit-insurance tax on depositors. The deposit insurance, however, is not constantly superior due to the depositors’ loss in consuming utility. We achieve the optimal deposit-insurance tax rate by intro-ducing probability of bank’s bankruptcy, and find that the optimal tax rate may be raised, so as to boost consumers’ utility if return spread between early and late with-drawn long assets keeps higher. We also testify that the deposit insurance can enhance the social welfare and decrease the incidence of bankruptcy.

目前全球化時代正面臨第一次真正的金融及經濟危機。歐美各國領導人已然意識到應以多國主義意涵的行動來因應全球金融危機。雙方因應此次全球金融危機的策略與政策工具，包括緊急紓困措施以及中長期金融改革計畫等，可說是任重道遠，並且對於全球未來走向以及政經結構來說，都具有非常重大的指標意義。本論文主要藉由分析歐美兩大集團因應全球金融危機的策略，以瞭解相關策略與政策工具的意涵與執行成效，政府與市場力量在不同環境條件下的搭配，歐盟與美國在全球政經結構中權力地位的互動與配置，以及全球金融體制的修正與願景等。筆者在本論文中以全球金融危機做為論述起點，嘗試透過理論的辯證與檢驗，對照實際情況的發展，分析歐美迄今為止相關因應策略的意涵與成效，釐清其是否會淪為紙上談兵的隱憂，並試圖為各國政府找尋一個較佳的策略方向來處理當前以及未來可能的各種危機，以提供相關研究者一個思考方向。

近年來的股市崩盤，使得不少投資人的財富大為縮水，甚至畢生積蓄付之一炬。如果能夠建立一個初步的崩盤警示指標，便可使投資錯誤帶來的傷害降到最低。研究中使用CARA-Gaussian model為模型基礎，此原始模型對於市場上投資人收到訊息後的影響以及市場上訊息傳達的過程，做了良好的解釋。我們將投資人依收到的訊息不同分為(1)擁有私有訊息的投資者、(2)無私有訊息的投資者、(3)追漲殺跌的投資者、(4)雜訊投資者，並求出其需求函數。在代入實際資料後發現，追漲殺跌的投資者為股市崩盤的主要原因，他們的存在會影響整體投資人需求曲線的形狀。當市場上持續收到強大的負面訊息時，有可能會引起股價大幅度的滑落。 本研究挑選了1990年台灣泡沫經濟、1997年東南亞金融危機以及2000年總統大選這三段時期進行分析。在重大的金融危機事件中，我們雖然無法預測股市反轉前的最高點，但能夠在股價指數開始下滑後，檢視接下來是否有可能造成崩盤的危機。研究中受到最主要限制為如何確定各訊息對於市場的影響程度，以及公開訊息與私有訊息的分辨。如果能夠突破此一限制，此模型或許能夠更進一步預測投資人收到訊息後的股價變動。

本研究以1980年代儲貸危機及2007年次貸危機兩次金融危機為主體，兩次金融危機均發生於金融體系最完善的美國。本研究經由文獻回顧、次級資料之分析及歸納，探討兩次金融危機形成原因及背景並分析其異同處，並就兩次金融危機中通過金融重要法案作個介紹。針對兩次金融危機，政府因應措施與對策及金融監理得當與否均為本研究探討重點。 本研究發現兩次金融危機的爆發，皆由貨幣政策的緊縮、房地產價格開始修正、市場關注通貨膨脹揭開序幕，配合金融機構高財務槓桿及內部風險管理失當，加上金融市場寛鬆的監理制度，及在金融危機爆發後，政府未在第一時間防範，而造成危機擴大，兩次金融危機在不同時代卻上演相同戲碼，不同的是，危機的蔓延效果隨著全球化及自由化傳染的更快速、更兇猛。而在金融危機的處理模式中，依美國政府歷次金融危機留下的教訓，通常為了挽救一次危機，又製造了另一次危機。同樣的，次貸危機各國史無前例的大手筆救市，若未輔以結構面、制度面的深層改革，金融危機恐將很快捲土重來，二次衰退也就難以避免。 本研究的建議，為實現金融穩定和金融自由化，各國政府要完善現有金融監管機構的協調機制，加強綜合監管，不同監管部門要實現資訊共享、形成監管合力、無縫監管。並進一步強化銀行等金融機構的自律機制，加強對金融機構的內部風險控制機制和內部控制制度的引導，以促進整個金融系統的穩定，也藉此期能作為我國未來改善金融制度之參考。 / This study considers the two financial crises, the savings and loan crisis in the 1980s and the subprime mortgage crisis of 2007, which both occurred in the United States, with the most comprehensive financial system. Through literature review and analysis and summarization of secondary sources, this study explores the reasons and backgrounds of the two financial crises, and analyzes their similarities and differences. Furthermore, the significant financial acts that passed during the two financial crises are introduced. The central point of exploration in this study is whether the government’s coping measures and financial supervision were appropriate. This study finds that both financial crises began with tightening of currency policy, adjustment of real estate prices, and market focus on inflation. Then, with high financial leveraging of financial institutions and failure to internally manage risk, loose supervisory systems for the financial markets, as well as the inability of governments to deal with the financial crisis immediately after its occurrence, effects of the crises expanded. The two financial crises occurred similarly in different times; the difference was that the spread of the crisis was faster with globalization and liberalization. In terms of the model for dealing with financial crises, as shown by the American government in managing financial crises, often attempts to resolve one crisis would create another. Similarly, in the subprime mortgage crisis, many nations devoted unprecedented resources to saving the markets; without structural and systematic reform, another financial crisis may soon arise, and a second recession would be difficult to avoid. This study suggests that in order to realize financial stability and financial liberalization, governments should improve the coordination mechanisms of existing financial supervisory institutions; different supervisory departments should implement information sharing to achieve seamless supervision and management. Furthermore, there should be a strengthening of internal risk control of financial institutions and guidance for such internal control systems to promote stability of the entire financial system. It is hoped that this can be used as a reference for Taiwan in the future improvement of financial systems.

金融危機的發生時點難以衡量，而且金融危機所造成之社會成本實難以估計。因而筆者由事後補救的觀點，藉由第三代金融危機模型的設定，並納入自我實現預期的概念，來探討政府最適政策目標與最適政策執行方式之選擇，並比較在外生衝擊下產出、 匯率與利率的衝擊反應函數，以提供政策建議，期能降低危機所造成的傷害。 實證結果顯示，在執行簡單政策的情況下，雖然吸收衝擊的時間較短，但是會出現極不穩定的結果;而執行政策承諾與權衡政策的結果，雖是大同小異。然而在權衡政策下，經濟變數的波動性皆遠低於政策承諾之時。此外， 若政策目標為產出穩定，無論執行何種政策方式，約4至12季就能吸收衝擊效果。但是若為其他兩種政策目標，就只有簡單政策能緩和衝擊效果，至於採行政策承諾與權衡政策的方式，調整時間都極為緩慢，不利於經濟體系的發展。

金融危機的發生不但使受創國經濟活動萎縮，也影響世界經濟的成長，其發生的原因固然不盡相同，但毫無例外的，均與經濟結構的失衡以及金融政策或管理的失當有關。在過去的歷史中，金融危機在不同的國家、不同的時間一再地發生，金融危機不僅使個人及社會財富損失，而且造成社會及經濟問題，同時亦提高政治的不穩定性。本文旨在探討1992年歐洲貨幣制度（EMS）的匯率機制（ERM）危機、1994年墨西哥金融危機、1997年亞洲金融危機、及1998年俄羅斯金融危機等四大金融危機。首先就金融危機的定義、徵兆、及類型，加以文獻檢視並分別說明。其次，就金融危機形成原因的予以探討，說明金融危機成因的理論模型，其演變可分成第一代、第二代、及第三代金融危機模型。此外，對於資訊不對稱在金融市場所形成逆選擇與道德風險的問題，及與金融危機的關係，亦一併敘述。 經檢視以上四大金融危機發生的背景、成因、類型，及各次金融危機發生之前的徵兆與現象；探討各次金融危機發生後，各國的因應對策；比較各次金融危機的差異與相同之處；並分析國際貨幣基金 (IMF) 在各次金融危機中所扮演的角色；以及由各國處理金融危機的歷史經驗中，獲得結論如下: ERM金融危機加速區域金融合作的推展，墨西哥及俄羅斯政府未能信守承諾加速金融危機的爆發，國際大規模資金反轉流出及擴散效應，引爆亞洲金融危機，政府的干預及國際的援助促使亞洲金融危機早日解除；健全的實質經濟結構優於貨幣制度的考量，妥善導引國際間資本的移動勝於加強管制，金融危機的發生促使受創國加速金融改革，強化國際最後奧援者的機制有其必要性。為預防金融危機的發生，我們的建議為：循序推動金融自由化，健全法規體制，建立完善的金融監理及預警制度，妥善導引及管理外資，積極參與國際及區域金融機制，尊重中央銀行對匯率的操作策略，及積極培養優秀金融人才。 關鍵詞: 金融危機、資訊不對稱、匯率 / Financial crises results in the inability of financial markets to function efficiently, which leads to a sharp contraction in economic activity. They have not only affected the economic development of the countries in some region but also had deep negative consequences all over the world. They have occurred throughout history resulting in the loss of national and international public and personal wealth, creating politically uncertainty and shaking the foundations of the national, regional and international economic and social order. This paper attempts to explore focus mainly on four major financial crises in the 1990s: the crisis of “Exchange Rate Mechanism” of European Monetary System in 1992, the “Mexican Financial Crisis” in 1994, the “Asian Financial Crisis” in 1997, and the “Russian Financial Crisis” in 1998. Firstly reference is to explicate separately the definition, symptom and types of financial crisis, with to documentation. Secondly research causes of the financial crisis, and the contributing factor mode can be categorized in first-, second-, and third-, generation models. Further more it is to interpret the problems of adverse selection and moral hazard affected by asymmetric information, and the connection with the crisis. Through surveying background and causes of four financial crises and the symptom and phenomenon prior to the crisis, the paper concludes by drawing lessons from the crises experience to policymaking in emerging market countries. Therefore it brings to the conclusion as follows: government’s intervention and international assistance helped end the financial crises; healthy and essential economic structure is superior to consideration of currency system; properly guide the movement of international capitals is more important than tightening control; occurrence of financial crisis urges injured nations to speed up financial reform; and it is necessary to strengthen the mechanism for an international lender of last resort. According to the study findings, the policy suggestions for avoiding the financial crises are: to promote financial liberalization gradually; establish a healthy regulating system; build up a good supervising and early warning system; properly guide and manage foreign capitals; participate actively in international and regional financial structure; respect central bank’s operational strategy toward the exchange rate; and actively train great financial talents. Keywords: Financial Crisis, Asymmetric Information, Exchange Rate

在此篇論文之前, 已經有許多學者指出在金融市場奔盤之前的價格波動與熱物理學中的臨界現象有所類似. 其價格會呈現Power law的形式迅速加速上升, 同時伴隨著log-periodic震盪. 藉由first-order Landau expansion和second-order Landau expansion, 我們使用了50個隨機樣本, 分別從五個不同的指數來驗證其正確性. 結果發現該模型很難運用在高波動的市場, 但是對於中級波動的市場卻有不錯的預測能力, 比方說S&P500與Nikkei 225指數. / Before this paper, many scholars indicated that market price movement before a crash is similar to critical phenomena. It can be described by a power law acceleration of the market price decorated with log-periodic oscillations. By first-order Landau expansion and second-order Landau expansion, we use 50 random samples from each of 5 different indices to test the model. It is hard to adapt Landau expansion to high volatility indices, but fit pretty well for medium volatility indices, such as S&P 500 and Nikkei 225.

本篇論文使用2001年到2012年的美國公司作為研究樣本，探討借款公司在金融危機下的表現，是否與借款公司的融資方式有關。實證結果顯示在金融危機下確實僅能透過貸款融資的公司表現會較差，因為在金融危機時，會造成金融體系的信用緊縮，所以導致受金融危機影響的銀行會減少借出量並增加貸款利差。另外，融資彈性較佳的公司似乎表現沒有特別突出，可能隱含在金融危機時也無法在貸款市場上獲得一些好處。 / In this paper, we use U.S. company data from 2001 to 2012 as the research sample to examine the relationship between borrowers’ performance and borrowers’ financing methods in the financial crisis. Empirical results show that the performance of borrowers which can only use loan financing is the worst in the financial crisis. There is credit crunch in the financial system because of the financial crisis, and the banks which are affected by financial crisis will reduce the lending amount and increase loan spreads. In addition, the performance of borrowers with more financing methods did not seem particularly prominent, and we think it implies borrowers with more financing methods could not get benefits from the loan market in financial crisis.

This research paper investigates the performance of Islamic and Conventional banks in The Gambia and United Kingdom for the periods 2008/2009 to 2012. Islamic banking is conceived by many as a recent phenomenon which in the last few decades attracted lots of attention and discussions. Islamic banking is a system of banking that is in consistent with Islamic law (Sharia). Islam does not allow the payment or acceptance of interest charges (Riba) in banking activities such as lending and depositing of money. Whiles Conventional banks deal with Interest, Islamic banks method of operation is strictly based on Sharia principles (profit, loss and risk sharing). The objective of this study is to analyze and investigate the impact of the financial crisis on the performance of some Islamic and Conventional banks in The Gambia and United Kingdom. Financial ratios are used to measure Profitability, Liquidity and Financial Leverage of the banks. The empirical results of the analysis showed that the Islamic banks selected for the study generally fared better than their counterpart Conventional banks in terms of Liquidity and Financial Leverage during and after the financial crisis. Among other findings, the selected Conventional Banks in this study are found to be relatively more profitable than their peer Islamic banks from 2008/2009 to 2012.