資本市場流動性風險與總體經濟關聯性之研究

The Impact of Market Liquidity Risk on Economy

張芷瑜(Chih-Yu Chang)

指導教授 ： 林景春

共同指導教授 ： 胡宜仁(Yi-Jen Hu)

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.01097

摘要

本文不同以往文獻僅研究非流動性指標(illiquidity)影響，而是以HP-Filter將非流動性指標分解成長期趨勢與短期波動，研究過去20年來美國道瓊指數流動性改變狀況，以及與總體、銀行行為的關係。發現當長期趨勢與短期波動同時有結構性偏離時，能使市場流動性改變持久。且這2次流動性結構改變後的2~3年亦將伴隨金融危機的發生。
由於總體景氣循環時間較股票市場緩慢，且與流動性長期趨勢影響較大。相反的，銀行業較注重流動性的短期波動。此外非流動性短期波動對於銀行資本/資產比率改變有領先關係，代表銀行將隨短期流動性變化調整其資本比率；投資、風險性資產增減與資本比率的調整則有領先長期趨勢的變化，表示當市場景氣與銀行配置資產改變之後，才會產生對長期流動趨勢的質變。

關鍵字

資本市場流動性 ； 流動性風險 ； QE1 ； 風險加權資產 ； 自有資本比

並列摘要

We study the change at liquidity among DJIA’s liquidity and the condition of macroeconomics and the action of the bank in the latest 20years ago, our study is different of the other literatures that studies at the effect of illiquidity index, we separate the liquidity index to long-term trend and short-term volatility by HP-Fliter. While the composition of long-term trend and short-term volatility was diverged, it will change to endure the liquidity. It will happen financial crisis after the twice of the change of the composition at 2~3years.
The duration of aggregate business cycle is slower than security market, and the influence to the liquidity of long-term trend is larger. Inversely, the bankers are focus on the volatility of short-term liquidity. Besides, the short-term volatility of illiquidity has leader relationship to the rate of capital/asset, bankers will adjust their capital rate according the volatility of short-term liquidity; they adjust capital rate and increase or decrease the assets of investing or risky have leader relationship to the trend of long-term liquidity. It means while the business cycle and assets allocated was changed that make the trend of long-term liquidity qualitative changed.

並列關鍵字

The liquidity of capital market ； Liquidity risk ； Quantitative easing 1 ； Risk weight asset ； Equity ratio

參考文獻

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