金融產業之間的風險傳染──台灣實證研究

Financial Contagion among Inter-industry - an Empirical Study of Taiwan

金融危機每次發生的原因不盡相同，而且擴散管道眾多，經常造成損失嚴重、影響廣泛。所以，我們運用Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH)VectorAutoregression (VAR)模型，探討1991-2010年間，台灣的銀行、保險和證券三種金融產業之間的報酬與風險傳染效果。結果發現：銀行業報酬對證券業報酬存在顯著的負向傳染效果，銀行業與保險業之間的風險則存正向的交互影響效果，證券業與保險業之間的影響效果則較不顯著。另外，在報酬傳染方面，MGARCH和VAR模有較高的一致性。而在風險傳染檢定方面，VAR模型的檢定方法，有較顯著的結果。

Each time the reason for the financial crisis is not necessarily the same. Because of various ways of diffusion, serious losses and wide effects are caused. By using Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) and Vector Autoregression (VAR) models, this paper has examined the effects of contagion among banking, securities and insurance industries of Taiwan from 1991 to 2010. The findings of the study indicate that the bank return has significantly negative contagion effects on the stock return. Evidences show that there is a positive interactive effect on the risk between banking and insurance industries. Besides, there are no significant relationships within securities and insurance industries. As for the test of return contagion, tests based on MGARCH and VAR models are consistent. Related to the risk contagion, the result is more distinguished based on the testing methods of VAR model.