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題名：金融改革與貨幣政策對銀行產業競爭結構與存貸戶福利的影響
作者：莊晋祥
作者(外文)：Chuang, Ching Hsiang
校院名稱：國立政治大學
系所名稱：經濟學系
指導教授：陳鎮洲
學位類別：博士
出版日期：2013
主題關鍵詞：需求估計；消費者福利；異質產品；銀行業；金融改革政策；貨幣政策；demand estimation；consumer welfare；heterogeneous products；banking；financial reform；monetary policy
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本文藉由實證產業經濟的模型來探討金融改革與貨幣政策對於台灣銀行產業競爭結構的衝擊，以及對於存款戶與貸款戶福利的影響。
第一篇主要是在於分析台灣在2002年到2008年之間實施兩次金融改革在銀行產業造成的政策效果。第一次金改的目標在於提升資本適足率與降低逾放比，第二次金改則是鼓勵銀行進行合併。本篇的重點在於探究金改政策對於產業競爭程度與存、貸款戶福利水準的影響。藉由估計存款與放款需求模型得出銀行屬性對於存、貸款戶效用的影響，我們發現提升資本適足率能提升存、貸款戶的效用，但降低逾放比則沒有顯著影響。估計出來的利率彈性顯示在實施這兩次金改的期間，市場競爭程度大致趨緩，而存款與貸款消費者的福利水準都下降。至於金改政策本身造成的直接效果則可透過counterfactual experiments的方式分析來排除其它因素的影響，我們發現第一次金改的政策對競爭程度的影響很小，但同時提升了存款與放款消費者的福利。第二次金改的合併政策本身降低了市場競爭程度，雖然提高了存款者福利但卻減低了放款者的福利。
第二篇則是建構了金融仲介者－銀行、資金供給者－存款戶與資金需求者－貸款戶三者的資金供、需與仲介決策模型，並進而利用該理論模型對存款戶與貸款戶的偏好以及銀行的利率決策行為進行行為參數估計，最後再利用估計結果對貨幣政策的實施進行counterfactual experiments的分析。從中可以了解到貨幣政策的執行如何透過金融仲介者的反應，進而影響存款戶與貸款戶的決策行為，換言之，在於藉由個體決策實證模型以探索貨幣傳遞機制的過程，並且可以清楚看出貨幣政策的實施對於銀行產業的競爭結構與存貸戶福利的影響。
This dissertation consists of two parts. First part analyzes effects of financial reform while second one analyzes the impact of monetary policy shocks, both are based on New Emperical Industry Organization models.
First chapter analyzes the effects of the two waves of financial reforms implemented between 2002 and 2008 in the Taiwan banking industry. We investigate the impacts of the reforms on market competition and consumers’ welfare. Using a structural demand model for saving and borrowing in a differentiated market, we find that a bank’s capital adequacy rate has a positive impact on the utility of both savers and borrowers. Contrarily, the ratio of non-performing loans has no significant effect. During these reform periods, market competition tended to decline while consumers’ welfare dropped for both savers and borrowers. Nonetheless, when we use counterfactual experiments to isolate the direct effect of reform policies from other factors, we find that the first reform had almost no effect on market competition while raised both savers’ and borrowers’ welfare. On the other hand, the second reform reduced market competition, increased savers’ welfare, but decrease borrowers’ welfare.
In the second chapter, I construct a capital demand, supply and intermediate theoretical model and estimate preference and behavior parameters by using the model. Moreover, I conduct counterfactual experiment not only to uncover part of monetary policy transmission mechanism but also to analyize the impact of monetary policy shocks on banking competition and depositors and borrowers’ welfare.
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3. 馬泰成 (2005),“產業結構與利潤:臺灣銀行市場的實證研究”,《公平交易季刊》, 13(3), 61–92。new window
4. 陳旭昇．吳聰敏 (2010),“台灣貨幣政策法則之檢視”,《經濟論文》, 38(1), 33–59。new window
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