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| Title: | 臺灣銀行業美元拆款市場總體影響因素之分析
The Effects of Macroeconomic Variables on Taiwan’s Interbank Loans for US Dollar |
| Authors: | 鄭燁
Cheng, Yeh |
| Contributors: | 洪福聲
林朕陞
Hung, Fu-Sheng
Lin, Chen-Sheng
鄭燁
Cheng, Yeh |
| Keywords: | 美元拆款
量化寬鬆
通貨膨脹
多元迴歸模型
U.S. Dollar Money Market
Quantitative Easing
Inflation
Multiple Regression Model |
| Date: | 2024 |
| Issue Date: | 2024-10-04 10:43:14 (UTC+8) |
| Abstract: | 台灣地區美元拆款市場隨著金融自由化與國際化，交易量日臻成長。由於拆款市場參與者眾，交易量龐大，拆款利率向來是具高度敏感性的市場指標，也因此國內外不乏文獻探討利率變異性之成因。本文試圖探究哪些總體變數將影響台灣地區銀行間美元拆款市場短期資金交易量的變化，就銀行業角度而言，俾在資金調度與規劃上洞燭機先；而就金融市場角度而言，台灣若能維持運作良好、交易活絡之貨幣市場，定能成為資本市場穩健的後盾，得到更多國際投資機構的看好及肯定，進而吸引國際金融機構進駐，有效匯聚全球資本，促進台灣經濟成長。
本文以2001年1月至2023年10月之時間序列月資料為樣本，經季節性調整後取一階差分，各變數均為定態序列後以多元線性迴歸模型進行實證分析。實證結果顯示台灣消費者物價指數月變動率、落後二期台灣生產者物價指數月變動率、落後三期外幣放款餘額月變動率與落後三期外匯交易量月變動率對美元拆放市場交易量佔外幣存款餘額比率變動呈顯著負向影響；台灣出口收入與進口支出金額月變動率、外幣放款餘額月變動率及外匯交易量月變動率對拆款金額占外幣存款額比例變動有顯著正向影響。
As Taiwan's U.S. dollar interbank market has grown with financial liberalization and internationalization, the trading volume has steadily increased. Due to the large number of market participants and the significant trading volume, the interbank lending rate has always been a highly sensitive market indicator. Consequently, both domestic and international studies have frequently explored the causes of interest rate variability. This paper seeks to identify which macroeconomic variables affect the short-term transaction volume in Taiwan's U.S. dollar interbank market. From the perspective of the banking industry, understanding these factors allows for better anticipation in fund management and planning. From the financial market's perspective, if Taiwan can maintain a well-functioning and active money market, it will undoubtedly serve as a strong foundation for a stable capital market, gaining more recognition and confidence from international investment institutions. This, in turn, could attract more global financial institutions to establish a presence in Taiwan, effectively drawing global capital and promote Taiwan's economic growth.
The study uses monthly time series data from January 2001 to October 2023. After seasonally adjusting and applying first-order differencing, each variable became a stationary series, allowing for empirical analysis using a multiple linear regression model. The empirical results indicate that the monthly change rate of Taiwan's Consumer Price Index, the second-lagged monthly change rate of Taiwan's Producer Price Index, the third-lagged monthly change rate of foreign currency loans, and the third-lagged monthly change rate of foreign exchange transaction volume all have a significant negative impact on the change in the ratio of U.S. dollar interbank market trading volume to foreign currency deposit balance. Additionally, the monthly change rates of Taiwan's export revenues and import expenditures, the monthly change rate of foreign currency loans, and the monthly change rate of foreign exchange transaction volume all have a significant positive impact on the change in the ratio of interbank loans to foreign currency deposit balances. |
| Reference: | 王傑陽（2010），〈聯準會公開市場操作對美國市場短期利率的影響－以升息期間為例〉，國立政治大學財務管理學系碩士論文。
朱凱頤（2014），〈金融拆款市場與中央銀行貨幣政策－台灣之實證研究〉，國立政治大學財政研究所碩士論文。
林姿妤（2015），〈匯率、利率關聯性之探討－以台灣、美國為例〉，嶺東科技大學國際企業學系碩士論文。
徐桂華（1995），〈金融業拆款利率波動原因之探討與實證:結構化向量自我迴歸之實證研究〉，國立台灣大學財務金融學系碩士論文。
高崇瑋與萬哲鈺（2012），〈台灣短期利率指標之研究〉，應用經濟論叢，92，23–58。
陳鴻勳（2016），〈貨幣市場短期利率與匯率的關係〉，淡江大學國際企業學系碩士論文。
陳瑞欽（2016），〈匯率與總體經濟面之關係研究－以台灣為例〉，嶺東科技大學財務金融系碩士論文。
莊有德（1981），〈存款準備金與貨幣供給的關係－台灣地區的實證研究〉，國立政治大學財政研究所碩士論文。
鄒芳蘭（2010），〈公開市場操作之流動性效果－台灣實證〉，淡江大學財務金融學系碩士在職專班碩士論文。
Bech, M. and C. Monnet (2016), “A Search-Based Model of the Interbank Money Market and Monetary Policy Implementation,” Journal of Economic Theory, 100(164), 32–67.
Ho, T. S. and A. Saunders (1985), “A Micro Model of the Federal Funds Market,” Journal of Finance, 40(3), 977–988. |
| Description: | 碩士
國立政治大學
國際金融碩士學位學程
111ZB1043 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111ZB1043 |
| Data Type: | thesis |
| Appears in Collections: | [國際金融碩士學位學程] 學位論文
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