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台湾抗循环资本缓冲机制之研究-利用Credit-to-GDP gap搭配本国银行放款预期损失

【中文摘要】:本研究着重于Basel III总体审慎监理工具下的抗循环资本缓冲可行机制之设计,以BCBS(2010)各国主管机关抗景气循环缓冲资本操作指引(Guidance for national authorities operating the countercyclical capital buffer)中的共同参考指标Credit-to-GDP gap为主要指标,并参考郭照荣(2013)的ㄧ阶自我迴归模型,估计跨循环(through the cycle)下的不良放款率,再计算本国银行放款预期损失,当本国银行放款预期损失增加,代表发出预警讯号,并以此为辅,来对台湾抗循环资本缓冲可行机制提出建议,接着参考Balakrishnan et al.(2009)的金融压力指数(FSI),考量台湾经济发展状况,降低认定压力事件的金融压力指数门槛值,利用金融压力指数认定的压力高峰期间,检视抗循环缓冲资本机制的成效。实证结果发现,金融压力指数可以认定出以下六次台湾遭遇的压力事件,分别为亚洲金融危机、本土金融风暴、网路泡沫化、次贷危机、金融海啸和欧债风暴,而Credit-to-GDP gap搭配本国银行放款预期损失在上述危机发生时点之前,确实都能预先至少两季发出计提抗循环资本缓冲的讯号,并说明应计提抗循环缓冲资本的多寡。
【英文摘要】:This thesis focuses on the research of macroprudential supervision tool which is the mechanism of countercyclical capital buffer in Basel III. First of all, we use Credit-to-GDP gap as the main indicator which is based on BCBS (2010) Guidance for national authorities operating the countercyclical capital buffer, and adopt Chau-jung ,Kuo (2013) AR(1) model to estimate through-the-cycle non-performance rate. Then, we can calculate expected loss of domestic bank which is subsidiary indicator. If expected loss of domestic banks increases, it signal the crisis. We tie in two indicators as the mechanism of countercyclical capital buffer. Second, we refer to Balakrishnan et al. (2009) definition of financial stress index and consider Taiwan’s economy condition to lower the threshold to identify stress episodes. Finally, we test the effect of our approach by financial stress index. The empirical results show that financial stress index can define six periods of high stress in Taiwan which are Asian Financial Crisis, Local Financial Crisis, the Burst of Internet Bubbles, Subprime Mortgage Crisis, the Financial Tsunami and Eurozone Debt Crisis. The mechanism of this thesis can signal at least two seasons and the amount of countercyclical capital buffer before the period of high stress.
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  • 英文
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  • 中文
  • 来源:中山大学;作者:庄翌靖
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