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外文摘要
引文資料
題名:
Bank Lending Behavior and a Credit Channel in Monetary Transmission: Evidence from Taiwan
書刊名:
經濟論文叢刊
作者:
黃朝熙
/
于立宣
作者(外文):
Huang, Chao-hsi
/
Yu, Li-hsuan
出版日期:
2015
卷期:
43:2
頁次:
頁219-242
主題關鍵詞:
貨幣傳導
;
信用管道
;
銀行放款組合
;
Monetary transmission
;
Credit channel
;
Bank loan portfolio
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
3
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
2
共同引用:0
點閱:31
本研究利用台灣商業銀行分類放款資料實證探討銀行放款在貨幣傳導機制中扮演的角色。在研究中,我們估計涵蓋台灣核心總體經濟變數與各類放款變數的向量自我迴歸模型,並利用模型估計的結果比較緊縮貨幣政策衝擊與實質總合需求負面衝擊下各類放款變數的衝擊反應函數。我們發現緊縮貨幣衝擊後,銀行放款組合產生重要改變;特別是,企業放款與擔保放款增加,而消費性放款與無擔保放款減少。然而,我們亦發現在實質總合需求負面衝擊下,上述放款組合的變動特色並未出現。我們的實證結果支持銀行對各類放款「供給」的改變造成了上述緊縮貨幣後放款組合的改變,以及「信用管道」在台灣貨幣傳導機制中扮演的角色。
以文找文
This paper studies the role that bank loans have played in Taiwan's monetary transmission using data on bank loan components in Taiwan. We estimate VAR models consisting of a set of core macroeconomic variables and various bank loan components, and examine the impulse responses of these loan components to a monetary tightening and a real aggregate demand downturn. We find that business loans and secured loans increase while consumer loans and unsecured loans decline after a monetary tightening. In contrast, we find that the above response patterns of bank loans are generally absent during a real aggregate demand downturn. Our findings suggest that bankers' decisions concerning loan portfolios have contributed to the observed changes in loan components after a monetary tightening, confirming the role of a "credit channel" in Taiwan's monetary transmission.
以文找文
期刊論文
1.
Dale, Spencer、Haldane, Andrew G.(1995)。Interest Rates and the Channels of Monetary Transmission: Some Sectoral Estimates。European Economic Review,39(9),1611-1626。
2.
Den Haan, Wouter J.、Summer, Steven W.、Yamashiro, Guy M.(2007)。Bank Loan Portfolios and the Monetary Transmission。Journal of Monetary Economics,54,904-924。
3.
Den Haan, Wouter J.、Summer, Steven W.、Yamashiro, Guy M.(2009)。Bank Loan Portfolios and the Canadian Monetary Transmission Mechanism。Canadian Journal of Economics,42(3),1150-1175。
4.
Den Haan, Wouter J.、Summer, Steven W.、Yamashiro, Guy M.(2011)。Bank Loan Components and the Time-varying Effects of Monetary Policy Shocks。Economica,78(312),593-617。
5.
Garretsen, Harry、Swank, Job(2003)。The Bank Lending Channel in the Netherlands: The Impact of Monetary Policy on Households and Firms。De Economist,151(1),35-51。
6.
Küppers, Markus(2001)。Curtailing the Black Box: German Banking Groups in the Transmission of Monetary Policy。European Economic Review,45(10),1907-1930。
7.
Papadamou, Stephanos、Siriopoulos, Costas(2012)。Banks' Lending Behavior and Monetary Policy: Evidence from Sweden。Review of Quantitative Finance and Accounting,38(2),131-148。
8.
Runkle, David E.(1987)。Vector Autoregressions and Reality。Journal of Business and Economic Statistics,5,128-133。
9.
Bernanke, Ben S.、Gertler, Mark、Gilchrist, Simon(1996)。The Financial Accelerator and the Flight to Quality。Review of Economics and Statistics,78(1),1-15。
10.
Bernanke, Ben S.、Blinder, Alan S.(1992)。The Federal Funds Rate and the Channels of Monetary Transmission。American Economic Review,82(4),901-921。
11.
Gertler, Mark、Gilchrist, Simon(1994)。Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms。Quarterly Journal of Economics,109(2),309-340。
12.
Bernanke, Ben S.、Blinder, Alan S.(198805)。Credit, Money, and Aggregate Demand。The American Economic Review,78(2),435-439。
13.
Gertler, Mark、Gilchrist, Simon(1993)。The Role of Credit Market Imperfections in the Monetary Transmission Mechanism: Arguments and Evidence。Scandinavian Journal of Economics,95(1),43-64。
14.
Blanchard, Oliver Jean、Quah, Danny(1989)。The Dynamic Effects of Aggregate Demand and Supply Disturbances。The American Economic Review,79(4),655-673。
15.
Mishkin, Frederic S.(1995)。Symposium on the monetary transmission mechanism。Journal of Economic Perspectives,9(4),3-10。
16.
Bernanke, Ben S.、Mihov, Ilian(1998)。Measuring Monetary Policy。Quarterly Journal of Economics,113(3),869-902。
17.
Bernanke, Ben S.、Gertler, Mark(1995)。Inside the Black Box: The Credit Channel of Monetary Policy Transmission。Journal of Economic Perspectives,9(4),27-48。
18.
Bernanke, Ben S.、Gertler, Mark(1989)。Agency Costs, Net Worth, and Business Fluctuations。The American Economic Review,79(1),14-31。
研究報告
1.
Huang, Chao-Hsi(2014)。A Re-examination of Bank Portfolios and Monetary Transmission Mechanism: An Empirical Study of Taiwan。
圖書
1.
Doan, Thomas A.(2004)。RATS User Guide。Evanston, IL:Estima。
2.
Kakes, Jan(2000)。Monetary Transmission in Europe: The Role of Financial Markets and Credit。Cheltenham:Edward Elgar Publishing。
3.
Efron, Bradley、Tibshirani, Robert J.(1993)。An Introduction to the Bootstrap。Chapman & Hall/CRC。
圖書論文
1.
Christiano, Lawrence J.、Eichenbaum, Martin、Evans, Charles L.(1999)。Monetary Policy Shocks: What Have We Learned and to What End?。Handbook of Macroeconomics。Amsterdam:North-Holland。
2.
Gospodinov, Nikolay、Herrera, Ana Maria、Pesavento, Elena(2013)。Unit Roots, Cointegration and Pre-Testing in VAR Models。VAR Models in Macroeconomics - New Developments and Applications: Essays in Honor of Christopher A. Sims。Bingley:Emerald Group Publishing Limited。
3.
Kashyap, Anil、Stein, Jeremy C.(1994)。Monetary Policy and Bank Lending。Monetary Policy。Chicago:University of Chicago Press。
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