| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 99 === 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.
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