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題名 | 在不同資金狀況下的銀行與民間利率之實證研究=An Evidence of Bank Interest Rates and Informal Loan Rates in the Distinct Market Segmentation |
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作者 | 黃啟倉; Huang, Chi-chang; |
期刊 | 南開學報 |
出版日期 | 20040300 |
卷期 | 2:1 2004.03[民93.03] |
頁次 | 頁57-66 |
分類號 | 562.12 |
語文 | chi |
關鍵詞 | 金融雙元性; 資金市場區隔; 非正式借貸市場; Financial dualism; Market segmentation; Informal loan market; |
中文摘要 | 在過去臺灣四,五十年的經濟發展過程中,金融體系一直存在著金融雙元性的現象。究竟銀行存、放款利率對民間利率的影響是正向,負向或不明確,理論上皆有看法。如果不透過實證研究,乃無法正確了解兩者的關係,本研究以單根檢定,殘差平方項自我相關檢定、ARCH及GARCH最適模型選擇等統計方法,對銀行利率與黑市利率進行實證研究。結果顯示,銀行存款利率對黑市利率的影響為正向,在資金不足時最顯著且影響係數最大。資金過剩時,係數變小,而在利率自由化之後,影響變為不顯著,且係數偏低。銀行放款利率對黑市利率的影響基本上為負向,但只在資金過剩時顯著。 |
英文摘要 | The financial system is characterized by the financial dualism in Taiwan. There is a distinct market segmentation between organized loan markets and informal loan market. Statistics show that during the period of 1966-2000 the share of informal loan market financing of private enterprises fluctuated over time. The objective of this study is to find the relationships between bank interest rates and informal loan rates. The model is applied to conditions where the loanable fund market of financial institutions has excess demand, excess supply, or in equilibrium. The estimated structural equations based on data of 1966-2000 support the theoretical model. The method of this study included unit root test, correlogram squared residuals, autoregressive conditional heterosccdasticity model (ARCH) and general autoregressivc conditional heteroscedasticity model (GARCH). The results of the study show interest rates on deposits and loans have different signs to affect the informal market interest rates. The interest rates on deposits is positive effect the interest rates is negative effect for the informal market interest rates. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。