全球金融危機對金融服務業貿易穩定性之衝擊：OECD國家之驗證

Impact of The Global Financial Crisis on Stability of Trade in Financial Services: Evidence from OECD Countries

紀沛妤(Pei-Yu Chi)

指導教授 ： 魏中瑄

國立臺中科技大學/商學院/財務金融研究所碩士班/碩士(2016年)

摘要

本研究主要目的為衡量全球金融危機前後的OECD國家金融服務業貿易出口之穩定性，並以時間相依共變數之Cox比例風險模型探究危險因子對金融服務業貿易出口穩定性與存續期間的衝擊。研究樣本針對已開發國家組織中的OECD成員國作為地主國，利用與對手國為全世界間之金融服務業貿易出口金額流量，並考慮2008年全球金融危機的衝擊，利用存活分析、時間相依共變數之Cox比例風險模型與Logit模型分析該事件對各國於觀察期間之金融服務業貿易出口存續與穩定度的影響。依據金融服務業貿易出口存續率所繪製的K-M存活曲線圖之所有地主國家之整體金融服務業貿易在存續期間的表現也極為相似，當金融服務業貿易出口存續率在0.5以上時，金融服務業貿易出口於GFC前、後之存續期間分別為2.75年與3.8年。由TVC Cox模型估算出的實證結果可以發現大多數解釋變數危險比率皆小於1，但當對手國為所有歐洲國家、非OECD歐洲國家與敏感性分析的義大利與西班牙，在名目物價指數的危險比率皆顯著大於1，即對從事金融服務業貿易出口行為所需成本上升倘若對手國又為經濟前景堪憂之國家會更容易使金融服務業貿易出口存續穩定度下降。Logit模型估計邊際效果對金融服務業貿易出口存活機率影響最為劇烈的變數為金融市場產業集中度，最大的影響比率更高達72%，影響方向與程度則會由於國別組合不同而有不一樣的結果。本研究的貢獻為探討金融服務業貿易出口存續關係之決定因素時，由本研究整理的金融市場產業集中度和國家主權信評兩項指標對金融服務業貿易出口有一定程度的影響。

關鍵字

金融服務業貿易 ； 全球金融危機 ； 存活分析 ； Cox比例風險模型 ； Logit模型

並列摘要

The main purpose of this study is to measure the stability on exports in financial services from OECD members before and after the global financial crisis, and thereby understanding how the impacts due to financial crisis among nations, continents, and organizations, respectively. This study employs the methodology of survival analysis, cox proportional hazards model and time-dependent covariate cox proportional hazards model to measure the stability of trade in financial services between the OECD members that from the developed countries, as the host country, with the partner countries considering the impact of global financial crisis in 2008. According to the picture of K-M curve, we found that among the host countries have similar results. The duration of trade in financial services before and after the global financial crisis are 2.75 years and 3.8 years when the survival rate is over 50%. On the other hand, the empirical results of time-dependent covariate cox proportional hazards model shows that most of the hazard ratio is below 1 besides variable CPI growth with the partners are europe countries, and we can infer from the host countries are not willing to have a stable trading partnership to the countries that economy situation is ambiguous. Last but not the least, we use the logit model to estimate marginal effect and found that the most influential variable is CR4 of financial market. The contribution of this study is to explore the determinants of the duration of trade in financial services. Especially, financial markets industry concentration and the national sovereignty credit rating two indicators that are collected and compacted by this study also have a certain degree of influence on the financial services.

並列關鍵字

Trade in Financial Services ； Global Financial Crisis ； Survival Analysis ； Cox Regression ； Logit Regression

參考文獻

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