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題名:台灣短期票券對貨幣供給之影響
作者:詹裕安
作者(外文):Chan Yu Ane
校院名稱:中國文化大學
系所名稱:經濟學研究所
指導教授:梁發進
學位類別:博士
出版日期:1998
主題關鍵詞:商業本票票券金融公司單根共整合門檻自迴歸門檻共整合Commercial PaperBill Finance Co.Unit RootConintegrationThreshold AutoregressionThreshold Conintegration
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貨幣在經濟活動中,扮演著舉足輕重的角色,貨幣數量的變動,與總體經濟的各種變數息息相關。貨幣數量的變動會影響商品及勞務的價格,也會影響市場利率,更影響到儲蓄、投資及就業。因此各國貨幣當局在執行貨幣政策時,均以有效的控制貨幣供給為主要任務,為了提供正確的貨幣政策給貨幣當局參考,經濟學家對於貨幣供給行為一直不斷的研究著。早先對貨幣理論之研究,認為貨幣供給能由中央銀行完全的控制,因此視貨幣供給為外生變數,此理論模糊了中央銀行、商業銀行及社會大眾的行為。近年來部份經濟學家則引申貨幣乘數模型,將貨幣供給視為內生變數,以彌補外生變數假設之不足。除了上述貨幣乘數分析方式外,部份貨幣供給研究的學者認為,非銀行金融體系(nonbank financial intermediaries)在貨幣供給過程中亦是不容忽視的部門,Tobin(1963)由資產選擇理論,認為嚴格區分銀行體系與非銀行金融體系,分析貨幣供給並不適當;Coghlan(1977)亦認為貨幣供給應該是由中央行銀行、銀行體系、非銀行金融體系三方面合作創造之結果。近年來台灣在政府推動國際化及自由化政策下,開放型的經濟型態使得與全球經濟關係更加密切。整體銀行體系在自由開放設立下,競爭愈加激烈,而非銀行金融體系,也隨著金融環境成長變化甚大,其中非銀行體系的票券金融公司發展,尤為明顯的例子。國內票券市場自民國六十五年成立後,歷經多年的發展,市場已甚具規模,目前個人、基金、社團、企業,均能運用其閒置資金,進入票券市場買賣短期票券。廠商除了傳統的向銀行借款外,也能透過票券金融公司的保證發行商業本票,以及透過銀行的承兌發行銀行匯票,便捷的自票券市場籌措短期資金。近年,商業本票及銀行匯票的發行利率,較銀行的短期借款利率為低,因此財務結構較佳的廠商,在具有選擇能力下,往往以發行商業本票或發行銀行匯票籌措短期資金。而銀行除了依照中央銀行的規定,需以短期票券當作提列流動準備的資產外,亦可藉買賣短期票券,來調節其超額準備部位。銀行也可用負債管理的方式,透過票券金融公司發行可轉讓定期存單吸收存款。中央銀行亦運用國庫券及政府債券為工具,透過票券公司進行公開市場操作,以實施其貨幣政策,由此可知票券市場之發展近年已發揮相當功效。隨著票券市場的蓬勃發展,近年短期票券之發行及買賣均呈大幅成長趨勢,目前短期票券為具相當流動性且安全性的資產,在金融市場之接受性甚佳,因此短期票券為重要之金融資產,對整體金融市場甚具牽動力。由於短期票券的發行、買賣,往往影響中央銀行、商業銀行、票券金融公司及銀行體系外機構之資產負債選擇行為的變化,其對貨幣供給之效果讓人質疑。鑑於以往在貨幣供給之研究中,非銀行金融體系之行為較易被忽略,研究重點經常放在中央銀行、大眾的行為及銀行體系之資產負債管理。以目前台灣金融環境言,直接金融佔整體金融活動之比重不斷增加,因此在探討台灣的貨幣供給時,除開放經濟為其特色外,非銀行體系的票券金融公司眾多之特質、廠商以發行商業本票或銀行承兌匯票籌措短期資金、銀行以短期票券提列流動準備、銀行以發行可轉讓定期存單吸收存款、中央銀行以國庫券及政府債券實施公開市場操作均可作為探討貨幣供給之重點。所以本文以Neumann(1977)為基礎納入台灣短期票券市場,結合中央銀行、銀行體系、社會大眾及票券金融公司之行為,建立適合台灣的開放經濟之Bruner-Meltzer(1964,1966, 1968)非直線貨幣供給模型,俾在開放經濟模型下,探討台灣短期票券對貨幣供給之影響。在建立台灣開放型及短期票券影響的貨幣供給模型後,用貨幣乘數分析方式,導出貨幣乘數及調整後貨幣乘數。由中央銀行及銀行的資產負債表,導出與貨幣乘數具一體兩面的銀行信用乘數,由於調整後貨幣乘數及銀行信用乘數均受通貨、各種存款、銀行重貼現、銀行的國外資產淨流入、法定準備率及超額準備等影響,而上述又受各經濟部門行為的影響,在瞭解各經濟部門的行為後,將短期票券引進銀行信用市場,最後求出貨幣供給函數。在台灣開放型及短期票券影響的貨幣供給模型下,貨幣供給函數受國庫券、政府債券、商業本票、銀行可轉讓定期存單、銀行承兌匯票等變數之影響,此貨幣供給函數係不同於一般文獻所見的。本研究實證分析以民國七十二年一月至民國八十七年三月之月資料,在理論模型導出之貨幣供給式後,先用單根檢定的方式探討,進而應用Johansen的多元共整合向量檢定。在論文探討中可瞭解商業本票、銀行承兌匯票發行金額,在短期利率波動顯著時,與銀行放款具替代性,尤其當商業本票利率與銀行放款利率達至一定利差時,則會發生更明顯替代效果,這現象係有門檻變數(threshold)的因素存在,因此,本論文再以門檻自我迴歸估計方式,實證商業本票與銀行放款的替代性,最後以門檻共整合迴歸估計方式實證短期票券與貨幣供給之關係。自民國八十三年七月起開放票券公司設立,因此本文亦以自民國八十三年七月至民國八十七年三月之月資料,作新票券公司開放前與開放後的比較,本文係以較新的資料,較多的短期票券交易工具,實證台灣短期票券對貨幣供給之影響。根據實證研究結果商業本票、銀行承兌匯票流通餘額,在民國七十二年一月至民國八十七年三月之月資料顯示,其影響貨幣供給之效果較為有限,較值得注意之現象為民國八十三年七月後,新票券公司陸續開放加入市場後,商業本票發行流通餘額,由單根檢定發現有結構改變現象,而對貨幣供給也有較顯著的影響。兩變數共整合檢定結果商業本票、銀行承兌匯票、國庫券及府債券與貨幣供給間並不具共整合的關係,四變數檢定結果商業本票、銀行承兌匯票、國庫券及政府債券與貨幣供給具共整合關係,當兩變數不具共整合,而四變數具共整合時,代表之意義為商業本票、銀行承兌匯票、國庫券及政府債券,長期下雖無法與貨幣供給亦步亦趨,而成為政策指標,但確可相互考量其變動量而為貨幣政策之訊息指標,在論文探討中將實證結果作成結論,期望這些結論能提供予銀行、票券金融公司之營運管理以及貨幣政策之參考。
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