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題 名 | 貨幣之信用傳遞途徑於不同金融機構間的差異性--臺灣的實證研究=Differences in Bank Lending Channel among Financial Institutions--An Empirical Study of Taiwan |
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作 者 | 張元; | 書刊名 | 中州學報 |
卷 期 | 17 2003.06[民92.06] |
頁 次 | 頁153-169 |
分類號 | 562.38 |
關鍵詞 | 貨幣傳導機制; 銀行借貸管道; 緩衝存量; 向量自我迴歸模型; Monetary transmission mechanism; Bank lending channel; Buffer stock; Vector autoregression model; |
語 文 | 中文(Chinese) |
中文摘要 | 本文目的在評估貨幣傳導機制中銀行借貸管道於不同金融機構間的差異性,研究期間為民國71年1月至90年6月。依循文獻中金融業拆款利率被認定為外生的貨幣政策衝擊,我們將臺灣主要的金融機構分為兩大類,即一般銀行與基層金融,並假設他們資產負債管理能力與管道具有差異性,利用兩組向量自我迴歸(VAR)模型分別估計並模擬貨幣衝擊對兩類銀行以至於經濟活動的影響,也探討產生的分配效果。實證結果發現,當央行採緊縮性政策時,在短期兩類型銀行的存款皆減少,而放款量皆增加,然放款增加部分的資金來源在一般銀行為處理證券投資,在基層金融則為籌措非存款性負債。另外貨幣衝擊在兩種金融機構之資產負債變數的傳導下皆不會對實質經濟活動如工業生產與物價水準產生明顯的影響,因此銀行借貸管道並不會透過影響銀行的資產負債狀況而干擾至實質的經濟活動。然而兩類型銀行面對貨幣政策的衝擊時皆會作相因應的資產負債管理,只不過一般銀行著重於資產面,基層金融則著眼於負債面,這可視為貨幣衝擊所產生的分配效果。 |
英文摘要 | This paper examine the possible heterology in bank Lending channel of monetary transmission in two different kinds of financial institutions (FIs) through Jan 1982 to Jun 2001 in Taiwan. Following previous literature's method, I use inter-bank interest rate as the indicator for stance of monetary policy. By assuming that the ability and channels of attracting fund are not identical for different FIs , I estimate two sectoral VAR models and use them to simulate the effects of an exogenous monetary shock upon deposit, credit and final economic activities. The empirical results show that not only there exist significant differences of FIs' behavior when they face monetary shocks, but also in -significant evidence of effective transmission through their balance sheet variables. Therefore, use of sectoral data facilitates the identification of channels of monetary policy and is helpful for researchers and policymakers to improve the ambiguous empirical results on examining whether money and credit are relevant for the monetary authority. |
本系統中英文摘要資訊取自各篇刊載內容。