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系統識別號 U0026-1708201016533700
論文名稱(中文) 信用循環與產出波動之實證研究
論文名稱(英文) Empirical study on the comovement of credit cycles and aggregate output fluctuations
校院名稱 成功大學
系所名稱(中) 經濟學系碩博士班
系所名稱(英) Department of Economics
學年度 98
學期 2
出版年 99
研究生(中文) 陳俊豪
研究生(英文) Chun-Hao Chen
電子信箱 u5697104@mail.ncku.edu.tw
學號 u5697104
學位類別 碩士
語文別 中文
論文頁數 57頁
口試委員 指導教授-許永河
口試委員-蔡群立
口試委員-李慶男
中文關鍵字 金融中介  銀行授信標準  外部融資溢酬  結構化向量自我回歸模型 
英文關鍵字 Financial Intermediary  Banks’ Credit Standard  External Finance Premium  Structural Vector Autoregression Model 
學科別分類
中文摘要 在經濟體系中,銀行扮演金融中介角色,一方面接受民眾存款,另方面則將手中資金借貸出去,提供資金需求者之融通管道。銀行之中介功能促使資金更有效率地配置,然而銀行為保障資產價值,會依據整體經濟情勢判斷授信風險高低,進而決定其授信之鬆緊態度。因此,銀行授信之標準改變將影響產業營運資金之取得,進而對總體產出造成影響。
本文探討銀行授信標準變動對總體經濟之影響,參考Bernanke and Blinder (1988) 的模型,引進衡量銀行信用標準之指標,建立總體模型,並以結構化向量自我迴歸(Structural Vector Autoregression)之計量方法,針對美國總體資料進行實證分析。
由於銀行授信標準會反映在企業的外部融資溢酬 (external finance premium) 上,因此本文參酌相關文獻,並衡量資料的適合性,選取美國Baa級公司債與Aaa級公司債之利差,來作為衡量企業外部融資溢酬的指標,並以之作為銀行信用標準之代理變數。
研究結果顯示,當銀行授信標準提高時,對產出以及物價會產生負向影響,且銀行授信標準提高1%與利率1%,對於產出波動之預測誤差變異數( forecasted error variance)之解釋力幾乎相同。進一步將資料分成授信擴張期與授信緊縮期分別探研,發現授信標準波動提高在擴充期對產出波動的負面影響較緊縮期為大,且影響之持續時間長,顯示銀行授信標準變動對於產出波動的影響具有不對稱性之效果。
英文摘要 The banking system plays the role of financial intermediation to channel the funds from the hands of depositors to firms and other investors. The intermediary function of the banking system may promote the efficiency in allocating scarce financial resources to the needy hands; it is also potential source of disturbance to the macroeconomy. In order to avoid default risk to protect the value of their loan assets, banks usually make subjective risk evaluation in their credit granting processes. As a result, once banks change their subjective risk evaluations and alter credit standards, it will disturb funding availability to the firms and hence the macroeconomic performance.
This study adopts Bernanke and Blinder’s (1988) model and incorporates indicator of bank credit (risk) standard to investigate the effects of changes in bank credit standard on the performance of macroeconomy. As bank credit standard reflect enterprises’ external finance premium, this paper uses the spread of Baa and Aaa company bonds as a proxy indicator for bank credit standard.
The empirical results show that an increase in bank credit standard has negative impact on output and price. Moreover, an equivalent magnitude change in bank credit standard and interest rate will create almost equal disturbance to aggregate output.
A further exploration was made splitting the data into periods of credit contraction and expansion to investigate whether change in credit standard has symmetric effects in these two periods. The empirical results indicate that increases in credit standard produce more profound and prolonged impacts to aggregate output in the expansion period than in contraction period.
論文目次 目 錄
表圖目錄………………………………………………………………………………ⅴ
第一章 序論………………………………………………………………………1
第一節 研究動機與研究目的………………………………………………1
第二節 研究內容與架構……………………………………………………3
第二章 文獻回顧…………………………………………………………………6
第一節 金融中介機構與經濟發展之關係…………………………………6
第二節 貨幣政策的信用管道………………………………………………8
第三章 理論模型……………………………………………………………… 14
第四章 研究方法……………………………………………………………… 19
第一節 結構化向量自我迴歸模型……………………………………… 19
第二節 單根檢定以及最是落後期數的選取…………………………… 24
第五章 實證模型的設立……………………………………………………… 27
第一節 衡量授信標準之指標…………………………………………… 27
第二節 資料的選取……………………………………………………… 29
第三節 SVAR模型之設立……………………………………………… 33
第六章 實證結果分析………………………………………………………… 36
第一節 單根檢定及最是落後期數之選擇……………………………… 36
第二節 當期限制條件的估計式………………………………………… 38
第三節 衝擊反應函數分析……………………………………………… 39
第四節 各變數的預測誤差變異數分解………………………………… 42
第五節 授信標準波動對產出影響的不對稱性………………………… 46
第七章 結論…………………………………………………………………… 50
參考文獻 53

表目錄
表 5.1 變數說明與資料來源……………………………………………………31
表 5.2 最終資料的計算過程……………………………………………………32
表 6.1 ADF單根檢定的結果……………………………………………………37
表 6.2 最適落後期數的選取……………………………………………………37
表 6.3 FF_DEVI之預測誤差變異數分解……………………………………… 43
表 6.4 LCPI_DEVI之預測誤差變異數分解……………………………………44
表 6.5 S_DEVI之預測變異數分解………………………………………………44
表 6.6 LGDP_DEVI之預測變異數分解 …………………………………………45

圖目錄
圖 1.1 研究架構流程…………………………………………………………… 4
圖 5.1 各種原油價格之時間走勢圖……………………………………………30
圖 6.1 各總體變數對S_DEVI變動之衝擊反應圖………………………………40
圖 6.2 LGDP_DEVI對於各變數變動之衝擊反應圖…………………………… 42
圖 6.3 S_DEVI對FF_DEVI的衝擊反應圖……………………………………… 46
圖 6.4 銀行授信緊縮時期LGDP_DEVI對於各變數變動之衝擊反應圖……… 49
圖 6.5 銀行授信擴張時期LGDP_DEVI對於各變數變動之衝擊反應圖……… 49
參考文獻 參考書目
一、中文專書
1. 沈中華:《貨幣銀行學–全球的觀點》,(茂昌書局,初版,台北,1996年8月)
2. 李榮謙:《貨幣銀行學》,(智勝書局,九版,台北,2008年2月)
3. 陳旭昇:《時間序列分析–總體經濟與財務金融上之應用》,(東華書局,
初版,台北,2007年11月)
4. 楊奕農:《時間序列分析–經濟與財務上之應用》,(雙葉書郎,二版,台北,2009年8月)
5. 楊雲明:《總體經濟學》,(智勝書局,三版,台北,2005年1月)
6. 賴景昌:《總體經濟學》,(雙葉書郎,二版,台北,2004年8月)

二、中文期刊論文
1. 張元:《貨幣政策之銀行信用傳遞管道–台灣的實證研究》,世新大學經濟學研究所碩士論文,2001年6月。
2. 蔡妮娜:《小型開放經濟體系匯率制度與貨幣政策效果之分析–SVAR模型對台灣
之應用》,成功大學政治經濟學研究所碩士論文,2004年7月。
3. 陳煜熙:《緊縮性貨幣政策對實質經濟活動影響之探討–以台灣經濟為例》,成
功大學政治經濟學研究所碩士論文,2004年7月。
4. 林邦傑:《近代貨幣傳導機制理論之發展》,清華大學經濟學研究所碩士論文2004
年6月。
5. 吳懿娟:《我國貨幣政策傳導機制之實證分析》,中央銀行季刊第二十六卷第四
期,2004年12月。
6. 施貴騰:《銀行授信業務之台灣實證分析》,東吳大學經濟學研究所碩士論文2009
年7月。

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