博士 / 國立高雄第一科技大學 / 財務金融學院博士班 / 105 / 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.
| Identifer | oai:union.ndltd.org:TW/105NKIT5304002 |
| Date | January 2017 |
| Creators | Yu-Wei Li, 李聿偉 |
| Contributors | Li-Hua Lai, Chau-jung Kuo, 賴麗華, 郭照榮 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 105 |
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