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題 名 | 互相依賴的區分母體持續時間模型:農會信用部擠兌的應用=Interdependently Split Population Duration Model: An Application to Bank Runs of Credit Departments of Farmers' Institutions |
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作 者 | 張呈徽; 吳東璟; 余士迪; 潘治民; 王瑜琳; | 書刊名 | 農業經濟叢刊 |
卷 期 | 13:1 2007.12[民96.12] |
頁 次 | 頁69-90 |
分類號 | 431.33 |
關鍵詞 | 區分母體持續時間模型; 互相依賴; 蒙地卡羅模擬估計法; 擠兌; 農會信用部; Split population duration model; Interdependence; Monte Carlo simulation; Bank runs; Credit departments of farmers' institutions; |
語 文 | 中文(Chinese) |
中文摘要 | Schmidt與Witte(1989)提出的區分母體持續時間模型,將母體分成「是否」和「持續時間」兩部分;受限於積分沒有封閉式的限制,假設這兩部分的決定是互相獨立的。本文沿用Leung與Yu(2002、2007)的計量技巧,利用蒙地卡羅模擬估計法解決積分的限制,鬆綁「是否」部分和「持續時間」部分的決定是互相獨立的假設,提出互相依賴的區分母體持續時間模型。在此建構下,獨立的區分母體持續時間模型是互相依賴的區分母體持續時間模型的巢氏模型。我們將這個模型應用到探討農會信用部發生擠兌的問題上,以AIC值、概似比檢定、t-檢定比較各種不同的持續時間模型,結果顯示互相依賴的區分母體持續時間模型優於其他模型。實證結果發現,融通資金比、逾放比率愈高者,發生擠兌機率愈高且愈早發生擠兌;流動性比率愈高者,發生擠兌機率愈低且愈晚發生擠兌。而平均存款利率較高者,擠兌危險率愈高,與Schumacher(2000) 的結果一致。 |
英文摘要 | Schmidt and Witte (1989) present a split population duration model in which the decisions of whether and when to start an event must be independent due to the absence of a closed-form result for the integration. This paper following Leung and Yu (2002, 2007) develops an interdependently split population duration model which allows the interdependence of the decisions of whether and when to start an event. We apply the Monte Carlo simulation to resolve the integration problem. We show the independent split population duration model is hence nested in our interdependently split population duration model. Our model is applied to investigate the bank runs events of the credit departments of farmers' institutions. The results show the superiority of our model to other duration models according to the criteria of AIC, likelihood ratio test, and t-ratio test. The empirical results show that both the ratio of borrowing capital to total capital and the overdue ratio are positively correlated with the probability of runs and the hazard rate to run while the liquidity ratio is negatively correlated with them. More importantly, our result shows banks with higher deposit interest rates are easier to trigger runs, which is consistent with the finding of Schumacher (2000). |
本系統中英文摘要資訊取自各篇刊載內容。