美國2007年至2009年引發環球金融風暴的制度因素

Abstract

美國在2007年至2009年造成的金融風暴引發全球交易流動性危機，全球市場陷入蕭條，文獻認為與1980年代開始的金融自由化政策被認為和金融海嘯的發生具有密切相關。自由化政策誘使金融中介者鑽營制度漏洞，本研究觀察到市場投資大眾追隨金融機構引領潮流的推波助瀾之下，金融市場泡沫化逐漸擴大。為探討金融風暴的潛在成因，本研究根據承立平 (2009) 的觀點，將金融體係分成市場 (Market)、制度 (Institution)和科技 (Technology)三類驅動性因素進行探討。 本研究推斷政策和金融中介者行為是引發2007年至2009年金融海嘯的潛在因素，為驗證潛在因素的影響，本研究利用結構方程模型驗證潛在因素和重要的觀測變數之間的因果關係。本研究考慮六個觀測變數，其中二個主要變數為貨幣流通速度及現金與Tier 1資本比率，並依三個年代建立三個結構方程模型。模型一使用一個複合因子作為潛在變數，將政策和金融中介者行為放入同一潛在變數探討2002年至2006年的金融市場變化；模型二加入2007年至2009年金融海嘯波及期間資料，使用潛在變數政策和金融中介者行為討論2002年至2009年的市場架構；模型三架構類似模型二，但研究資料轉為1992年至2001年。 實證結果顯示政策和金融中介者行為確為形成泡沫的重要因素，而貨幣流通速度與現金與Tier 1資本比率亦為重要的觀測指標。本文的貢獻如下：(1) 使用結構方程模式與承立平 (2009) M-I-T模型建立金融海嘯模型架構；(2) 確認金融海嘯的潛在成因為政策制度與金融中介者行為 (3) 提出現金與Tier 1資本比率的重要性。

2007-2009 Financial Crisis triggered worldwide liquidity problems, which caused huge recession in global markets. Inadequate financial deregulation since 1980s was blamed for the origination of this crisis. Financial institution competed in speculation and investors actively followed this trend by investing in residential mortgages and financial innovation products. Financial crisis thus happened. To investigate the potential factors which caused the occurrence of financial crisis, in this thesis, based on the viewpoint of Cheng (2009), a financial system is decomposed into Market, Institution, and Technology (M-I-T). It is assumed that financial deregulation (i.e., policy) and financial mediators’ behaviors are the two latent factors that caused the 2007-2009 financial crisis. In order to verify the effect of latent factors, structural equation modeling (SEM) was used to construct the cause-and-effect relations among the latent factors and the collected observed variables related to financial crisis. Six observed variables were chosen in this study, of them money velocity and cash to tier 1 capital ratio were the two major ones which we especially concerned with. Particularly, three SEM models were investigated in this study. In the first model, the 2007-2009 data was excluded, and a composite factor was solely used to investigate the variation of 2002-2006 financial markets. In the second model, 2007-2009 data were added and two latent factors, the policy and financial mediators’ behaviors, were used to analyze the data from 2002 to2009. The third model underwent similar procedure as the second model but analyzed the data from 1992 to 2001. The result indicates that the two latent factors, the policy and financial mediators’ behaviors, may truly affect financial markets and caused the 2007-2009 financial crisis. The contributions of our study are as follows: (1) we have constructed 2007-2009 Financial Crisis model using SEM and Cheng (2009)’s M-I-T paradigm; (2) We have identified that policy and financial mediators’ behavior are indeed the two latent factors which caused financial crisis; (3) We have highlighted the importance of Cash to Tier 1 Capital ratio.