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研究生： 林宜萱
Yi-hsuan Lin
論文名稱： 次級房貸危機之金融與不動產相關警訊之研究
Financial and Real Estate Warning Signals of Subprime Crisis
指導教授： 張光第
Guang-Di Chang
口試委員: 張琬喻
none
莊文議
none
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2008
畢業學年度： 96
語文別： 英文
論文頁數： 25
中文關鍵詞： 預警指標 、次級房貸危機 、訊號法 、Logistic迴歸
外文關鍵詞： warning signals, subprime crisis, signal approach, logistic model
相關次數： 點閱：323  下載：6 
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    • 本研究以訊號法及logistic迴歸研究次級房貸危機之金融與不動產相關預警指標，研究結果如下：(1) 訊號法顯示前三名預警指標分別為新屋開工數、M2/外匯存底以及外匯存底，而綜合指標則顯示預警訊號發生的關鍵期間為2005年8月至2006年5月，此期間在次級房貸危機爆發之前，達到預警效果。(2) Logistic迴歸模型顯示新屋開工數、MREITs指數以及M2/外匯存底為與次級房貸危機顯著相關之變數。尤其當新屋開工數12月期成長率下跌20%以上、MREITs月報酬下跌25%以上、M2/外匯存底12月期成長率增加35%以上時，危機發生之可能性增加。

    This paper employs signal approach and logistic technique to investigate the warning signals of financial and real estate indicators for subprime crisis. Our empirical results reveal that: (1) Signal approach suggests that housing starts, the ratio of M2 to foreign reserves, and foreign reserves are active indicators in early warning. The COMPOSITE Index reveals that the critical period with warning signals is the period from August 2005 to May 2006 prior to the subprime crisis unfolding. (2) The logistic model suggests that housing starts, NAREIT MREITs Index (the U.S. Mortgage REITs Index constructed by National Association of Real Estate Investment Trusts) and the ratio of M2 to foreign reserves are significantly related to the probability of subprime crisis. In particular, the probability of subprime crisis would rise while the growth rate of housing starts declines more than 20%, the monthly return of NAREIT MREITs Index drops more than 25% or the growth rate in the ratio of M2 to foreign reserves increases more than 35%.

    Section 1: Introduction.................................................. 1 Section 2: Literature Review 2.1 Approaches in Identifying Banking Crises........................... 3 2.2 Early Warning Indicators in Banking Crises......................... 4 2.3 Existing Empirical Models of Financial Crises...................... 6 Section 3: Data 3.1 Data Description................................................... 9 3.2 Variable Measurement...............................................12 Section 4: Methodology 4.1 Unit Root Test.....................................................12 4.2 Index of Money Market Pressure.....................................13 4.3 Signal Approach....................................................16 4.4 Logistic Model.....................................................16 Section 5: Empirical Results 5.1 Results from Signal Approach.......................................17 5.2 Results from Logistic Model........................................20 Section 6: Conclusion....................................................22 References...............................................................23 Appendix.................................................................25

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