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貨幣市場與股市泡沫的動態分析 = A Dynamic Analysis ...

國立高雄大學應用經濟學系碩士班

貨幣市場與股市泡沫的動態分析 = A Dynamic Analysis of Money market and Stock Market Bubbles

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	A Dynamic Analysis of Money market and Stock Market Bubbles
作者:	魏慶林,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	[民99]2010
面頁冊數:	47面圖，表 : 30公分;
標題:	股市泡沫
標題:	financial instability hypothesis
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/92488427282650855078
摘要註:	由於金融市場有自我預期實現之特性，股市泡沫的增長與崩滅反映了市場對於泡沫信念之強化與削弱。由Minsky (1991)所提出的金融市場不穩定假說認為經濟體的波動有可能是來自金融市場的不穩定，而此不穩定不需藉由非預期到的外在力量來達成。由於貨幣市場主導了股票市場籌碼的增減與信用擴張之程度對未來景氣預期的影響，如果金融市場不穩定假說可以充分描述經濟體系的不穩定，那貨幣市場便有可能主導市場對於未來泡沫的預期。由於理性預期假說無法解釋經濟體的內在波動亦無法解釋為何泡沫完全崩滅後會再度形成，本研究主要目的便是檢驗究竟在金融市場不穩定假說的架構下，市場對於泡沫的重複形成與崩滅之信念是否由貨幣市場來主導。因此，本研究在股利價格比的架構下，推導出當存在本質泡沫與只反映市場基要的共整合向量，用以過濾出市場對泡沫的信念。接著利用Probit模型去描述貨幣市場變數對先驗泡沫信念的影響，然後結合貝氏估計與馬可夫轉換下去估計共整合向量與Probit模型。藉由結合貝氏估計與馬可夫轉換，實證結果能夠顯示市場對於泡沫信念之強化與削弱的動態過程，並且能夠檢驗貨幣市場變數是否對股市泡沫的信念有顯著影響。 Since the financial market posses the feature of the self-fulfilling prophecy, the growth and collapse of stock market bubbles reflects the amplification and diminishing of the beliefs of bubbles. The financial instability hypothesis proposed by Minsky (1992) suggested that the fluctuation in the economy may be resulted from the instability of financial market and such instability could be triggered without exogenous disturbances. As the money market dominates the increases and decreases in stock market funds and the impact of credit amplification on the future expectation of the economy, the money market may be capable of dominating the expectation of bubbles in stock market if the economy system is characterized sufficiently by the financial instability hypothesis. Due to that the rational expectation hypothesis is unable to illustrate endogenous fluctuations in the economy and the reoccurrence of bubbles after complete collapse, the goal of this thesis is to examine whether the belief of repeated crash and arise on bubbles is dominated by the money market following the structure of the financial instability hypothesis.Therefore, this thesis derives cointegration vectors which represent existing intrinsic bubbles and market fundamentals. These vectors can be utilized to filter out the market participant’s belief about bubbles. By using Probit model, the influence of monetary variables on the prior belief of bubbles can be depicted. These vectors and Probit model can be estimated by combining Bayesian econometric framework and Markov Regime-switching approach. The empirical result can display the dynamic process of beliefs of repeat crash and arise on bubbles and show how money market does play a crucial role to dominate these beliefs.

貨幣市場與股市泡沫的動態分析 = A Dynamic Analysis of Money market and Stock Market Bubbles
魏, 慶林

貨幣市場與股市泡沫的動態分析 = A Dynamic Analysis of Money market and Stock Market Bubbles / 魏慶林撰 - [高雄市] : 撰者, [民99]2010. - 47面 ; 圖，表 ; 30公分.
股市泡沫financial instability hypothesis

貨幣市場與股市泡沫的動態分析 = A Dynamic Analysis of Money market and Stock Market Bubbles
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