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引文資料
題名:
銀行放款組合與貨幣傳遞機制:臺灣的實證研究
書刊名:
經濟論文叢刊
作者:
黃朝熙
/
謝依珊
/
楊茜文
/
王敬淳
作者(外文):
Huang, Chao-hsi
/
Hsieh, Yi-shan
/
Yang, Chien-wen
/
Wang, Ching-tsun
出版日期:
2021
卷期:
49:3
頁次:
頁415-448
主題關鍵詞:
貨幣傳遞機制
;
商銀放款組合
;
金融中介成本
;
Monetary transmission
;
Bank loan portfolio
;
Cost of intermediation
原始連結:
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相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:
2
點閱:3
本文利用台灣的商銀放款細項資料研究銀行放款在貨幣傳遞機制中所扮演的角色與重要性。我們採用Blanchard and Quah(1989)的結構性衝擊認定方式,利用經濟理論對VAR模型移動平均表示(moving average representation)係數所賦予的長期限制,認定貨幣政策衝擊以及各項實質面衝擊。根據衝擊反應函數分析,我們發現實施緊縮貨幣政策後,商銀對個人與企業的放款在短期內皆呈現顯著之下滑,但商銀放款組合中有增加擔保相對較完備的企業投資放款及消費者房屋相關貸款比例的現象。此一放款組合的變化,反映了在資金借貸市場訊息不對稱下,銀行經理基於緊縮貨幣政策造成金融中介成本的提高,將資金導向安全性較高資產的現象。
以文找文
This article empirically examines the impact of monetary policy on bank loan portfolios using Taiwan macro and bank loans data for the period of January 1997 to June 2017. We estimate a vector autoregressive model (VAR Model), which includes four VAR iables, i.e., industrial production index, real exchange rate, the real loan component of commercial banks, and M2. We employ a Blanchard and Quah (1989) structural VAR approach by imposing long-run restrictions on the coefficients of the moving average representation of the VAR to identify monetary policy shocks, money (asset) demand shocks, real aggregate demand shocks, and aggregate supply shocks. We find that in the short run both business and personal loans decline significantly in response to a monetary tightening. However, we also find bank loan portfolios tend to adjust after a monetary tightening, with a decrease in the proportion of less secured loans such as consumer loans and business loans for current operations while there is an increase in the proportion of more secured loans such as personal housing loans and business investment loans. The above response pattern of bank loan portfolios show that bank managers, when facing rising costs of intermediation after a monetary tightening, reallocate bank asset portfolios toward safer loans.
以文找文
期刊論文
1.
Sims, Christopher A.(1992)。Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy。European Economic Review,36(5),975-1000。
2.
Dale, Spencer、Haldane, Andrew G.(1995)。Interest Rates and the Channels of Monetary Transmission: Some Sectoral Estimates。European Economic Review,39(9),1611-1626。
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.
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。
9.
Reichenstein, William(1987)。The impact of money on short-term interest rates。Economic Inquiry,25(1),67-82。
10.
Gali, Jordi(1992)。How Well Does the IS-LM Model Fit Postwar US Data?。The Quarterly Journal of Economics,107(2),709-738。
11.
Leeper, Eric M.、Gordon, David B.(1992)。In Search of the Liquidity Effect。Journal of Monetary Economics,29(3),341-369。
12.
Blanchard, Oliver Jean、Quah, Danny(1989)。The Dynamic Effects of Aggregate Demand and Supply Disturbances。The American Economic Review,79(4),655-673。
13.
Mountford, Andrew(2005)。Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy。Oxford Bulletin of Economics & Statistics,67(5),597-621。
14.
黃朝熙、于立宣(20150600)。Bank Lending Behavior and a Credit Channel in Monetary Transmission: Evidence from Taiwan。經濟論文叢刊,43(2),219-242。
15.
Dufour, Jean-Marie(1997)。Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models。Econometrica,65(6),1365-1387。
16.
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。
17.
Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。
18.
Bernanke, Ben S.、Gertler, Mark(1989)。Agency Costs, Net Worth, and Business Fluctuations。The American Economic Review,79(1),14-31。
19.
Astley, Mark S.、Garratt, Anthony(2000)。Exchange Rates and Prices: Sources of Sterling Real Exchange Rate Fluctuations 1973-1994。Oxford Bulletin of Economics and Statistics,62(4),491-509。
20.
Den Haan, Wouter J.、Sumner, Steven W.、Yamashiro, Guy M.(2007)。Bank Loan Portfolios and the Monetary Transmission Mechanism。Journal of Monetary Economics,54(3),904-924。
21.
Faust, Jon、Leeper, Eric M.(1997)。When Do Long-run Identifying Restrictions Give Reliable Results?。Journal of Business and Economic Statistics,15(3),345-353。
22.
Peersman, Gert(2005)。What Caused the Early Millennium Slowdown? Evidence Based on Autoregressions。Journal of Applied Econometrics,20(2),185-207。
23.
Sims, Christopher A.(1971)。Discrete Approximations to Continuous Time Distributed Lags in Econometrics。Econometrica,39(3),545-563。
24.
Sims, Christopher A.(1972)。The Role of Approximate Prior Restrictions in Distributed Lag Estimation。Journal of the American Statistical Association,67(337),169-175。
研究報告
1.
Grilli, Vittorio、Roubini, Nouriel(1995)。Liquidity and Exchange Rates: Puzzling Evidence from the G-7 Countries。Yale University。
2.
Hamilton, James D.(2005)。Oil and the Macroeconomy。UCSD。
3.
Mésonnier, Jean-Stéphane(2008)。Bank Loan Portfolios, Bank Heterogeneity and the Bank Lending Channel: New Macro Evidence for France。
4.
St-Amant, Pierre、Tessier, David(1998)。A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions。
單篇論文
1.
Hnatkovska, Viktoria,Lahiri, Amartya,Vegh, Carlos A.(2011)。The Exchange Rate Response Puzzle,University of British Columbia:University of Maryland。
其他
1.
Gerlach, Stefan,Smets, Frank(1995)。The Monetary Transmission Mechanism: Evidence from the G7 Countries。
圖書論文
1.
Bonci, Riccardo(2012)。The Effects of Monetary Policy in the Euro Area: First Results from the Flow of Funds。The Financial Systems of Industrial Countries: Evidence from Financial Accounts。Springer。
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