研究生: |
李伊婷 Lee, Yi-Ting |
---|---|
論文名稱: |
中央銀行會議紀要文字探勘與央行意見獨立性檢驗 — 以美、英、日、韓央行會議紀要為例 Central Banks Dependence between US, UK, Japan and Korea: A Text Mining Approach |
指導教授: |
黃裕烈
Huang, Yu-Lieh |
口試委員: |
徐士勛
Hsu, Shih-Hsun 徐之強 Hsu, Chih-Chiang |
學位類別: |
碩士 Master |
系所名稱: |
科技管理學院 - 計量財務金融學系 Department of Quantitative Finance |
論文出版年: | 2021 |
畢業學年度: | 109 |
語文別: | 中文 |
論文頁數: | 28 |
中文關鍵詞: | 中央銀行獨立性 、會議紀要 、文字探勘 、情緒指標 、關聯性網絡分析 、最小生成樹 |
外文關鍵詞: | central bank independence, Minutes, text mining, sentiment indicator, dependency network, minimum spanning tree |
相關次數: | 點閱:3 下載:0 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
中央銀行的主要職責在於維持貨幣的供給與物價的穩定、監管金融市場、促進就業與經濟發展等,因此維持適當的中央銀行獨立性 (central bank independence) 有助於一國經濟的穩定發展。現有文獻中關於央行獨立性的研究大多關注的是央行與本國政府之間的獨立性,尚未看到關於各國央行之間獨立性的研究,並且對於各國央行間的關聯也尚未出現完整的規範。為了彌補現有文獻在這方面的缺失,本文以中央銀行會議紀要代表其意見,通過文字探勘的方式從中提取出各國央行的情緒指標,並結合關聯性網絡分析以及最小生成樹的方法,探討樣本國家央行意見的關聯性。本文的研究結果顯示,從長期上看,美國聯準會的意見會對其他國家央行的意見造成影響,而中期上英國與歐盟帶給系統中其他國家的影響超越美國,但在短期上各國輪流擔任央行情緒指標的主導國家且美國作為主導國家的頻率最高、在點陣圖中的分配也較均勻連續。
With the main responsibility of overseeing the monetary system and policy, regulating the money supply, and promoting employment rate and economic development, central bank plays an important role in the economy of a nation. Therefore, it is necessary to maintain proper central bank independence. Among existing literatures, most of them focus on the independence between the central bank and the national government, and there is so far no research on the independence of central banks among various countries. To address the inadequacy of literatures, Minutes of central banks are used to represent as the opinion of the corresponding central bank. Sentiment indicators are extracted by text mining approach and are applied to examine the dependence of the central banks. In addition to Pearson correlation and Granger causality, a network approach based on partial correlation and minimum spanning tree are also used to test central banks dependency. The result shows that opinions of the Federal Open Market Committee (FOMC) can have an influence on the other central banks in long term and short term, however, the influence of the Bank of England and the European Central Bank exceeds that of the FOMC when considering middle term.
1. 黃裕烈與管中閔 (2018),「美國聯準會會議紀要的文字探勘與臺灣經濟變數預測」,《經濟論文叢刊》,47,363-391。
2. Apel, M. and M. B. Grimaldi (2012), “The Information Content of Central Bank Minutes,” Working Paper.
3. Billio, M., A. W. Lo, M. Getmansky and L. Pelizzon (2012), “Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors,” Journal of Financial Economics, 104, 535-559.
4. Diebold, F. X., and K. Yilmaz (2009), “Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets,” The Economic Journal, 119, 158-171.
5. Diebold, F. X., and K. Yilmaz (2012), “Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers,” International Journal of Forecasting, 28, 57-66.
6. Diebold, F. X., and K. Yilmaz (2014), “On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms,” Journal of Econometrics, 182, 119-134.
7. Doran, J. S., D. R. Peterson, and S. M. Price (2012), “Earnings Conference Call Content and Stock Price: The Case of REITs,” Journal of Real Estate Finance and Economics, 45, 402-434.
8. El-Shagi, M. and A. Jung (2015), “Have Minutes Helped Markets to Predict the MPC's Monetary Policy Decisions?” European Journal of Political Economy, 39, 222-234.
9. Garriga, A. C. and C. M. Rodriguez (2020), “More Effective than We Thought: Central Bank Independence and Inflation in Developing Countries,” Economic Modelling, 85, 87-105.
10. Jácome, L. I., and F. Vázquez (2008), “Is There Any Link between Legal Central Bank Independence and Inflation? Evidence from Latin America and the Caribbean,” European Journal of Political Economy, 24, 788-801.
11. Jansen, D.-J. and R. Moessner (2016), “Communicating Dissent on Monetary Policy: Evidence from Central Bank Minutes,” Working Paper.
12. Jubinski, D. and M. Tomljanovich (2013), “Do FOMC Minutes Matter to Markets? An Intraday Analysis of FOMC Minutes Releases on Individual Equity Volatility and Returns,” Review of Financial Economics, 22, 86-97.
13. Loughran, T., and B. McDonald (2011), “When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks,” The Journal of Finance, 66, 35-65.
14. Mantegna, R. N. and H. E. Stanley (2000), An Introduction to Econophysics: Correlations and Complexity in Finance, Cambridge University Press.
15. Park, K.-Y., Y.-J. Lee and S.-H. Kim (2019), “Deciphering Monetary Policy Board Minutes Through Text Mining Approach: The Case of Korea,” Working Paper.
16. Rosa, C. (2013), “The Financial Market Effect of FOMC Minutes,” Federal Reserve Bank of New York Economic Policy Review, 19, 67-81.
17. Sadique, S., F. In, M. Veeraraghavan, and P. Wachtel (2013), “Soft Information and Economic Activity: Evidence from the Beige Book,” Journal of Macroeconomics, 37, 81-92.
18. Sandoval, L., A. Mullokandov, and D. Y. Kenett (2015), “Dependency Relations Among International Stock Market Indices,” Journal of Risk and Financial Management, 8, 227-265.
19. Wu, F. (2020), “Stock Market Integration in East and Southeast Asia: The Role of Global Factors,” International Review of Financial Analysis, 67, 101416.
20. Zhang, D.-Y., Q. Ji, W.-L. Zhao, and N. J. Horsewood (2020), “Regional Housing Price Dependency in the UK: A Dynamic Network Approach,” Urban Studies, 58, 1014-1031.