Title page for etd-0527113-120801


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URN etd-0527113-120801
Author He-Ming Tseng
Author's Email Address No Public.
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Department Finance
Year 2012
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title On the Study for Taiwan's Financial Composite Indicators
and Counter- Cyclical Capital Buffer
Date of Defense 2013-06-22
Page Count 78
Keyword
  • Financial Stress Index
  • Noise-to-Signal ratio
  • Countercyclical Capital Buffer
  • Financial Stability
  • Macroprudential
  • Abstract Since the Asian financial crisis, Taiwan have gone through several major financial crisis, the loss suffered by the crisis and social costs are enormous, so the establishment of an effective early warning system for financial crisis and the development of relevant regulations is indeed an important issue for supervisory authorities. This thesis uses Balakrishnan’s (2009) Financial Stress Index to define the time of financial crisis and adopt Kaminsky (1998) Noise-to-Signal ratio coupled with Financial Stability Indicators to establish Financial Composite Indicators, and tie in with Credit-to-GDP gap in "Guidance for national authorities operating the countercyclical capital buffer" to give supervisory authorities feasible mechanism for countercyclical capital buffer in Taiwan in order to achieve financial stability effect. The empirical results show that: If Financial Composite Indicators signal continuously, it will have a major crisis in the near future. And collocate Credit-to-GDP gap and Financial Composite Indicator this two signal methods will indeed signal countercyclical capital buffer requirement previously, and indicate the amount of the amount accrued. These valuable results may be helpful for the Taiwan’s supervisory authorities.
    Advisory Committee
  • Kuang-Erh Lai - chair
  • Chin-ming Chen - co-chair
  • Hsiao-Jung Chen - co-chair
  • Chau-Jung Kuo - advisor
  • Files
  • etd-0527113-120801.pdf
  • Indicate in-campus at 99 year and off-campus access at 99 year.
    Date of Submission 2013-06-27

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