| Summary: | 碩士 === 大葉大學 === 管理學院碩士在職專班 === 102 === In accordance with Balakrishnan, et al.’s method on building emerging countries’ financial stress index , this study used quantitative data of banking sector beta value, stock market return, stock market volatility, sovereign debt spreads and exchange market pressure index to build up Taiwan financial stress index.
The research included eighty eight data starting from quarter one, 1991 to quarter four, 2012. It first sorted out the periods when Taiwan encountered financial pressure, then observed and evaluated whether the index built up from this study identified with them, then, if Taiwan Financial stress had impact upon its overall economic performance which adopted two indicator variables of economic growth rate as well as economic monitoring fractional growth rate.
Evidence shows that, through methods of Granger causality test, impulse response, cumulative impulse response as well as variance decomposition, financial stress had more negative impact than positive impact, or negative impact only if lag length was taken into consideration on economic growth rate. The two had two-way feedback relation. And financial stress had obviously more negative impact than positive impact, or negative impact only on economic monitoring fractional growth rate if lag length was taken into consideration. The both had only one-way feedback relation.
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