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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/32215


    Title: 台灣總體經濟信用管道之探討
    Authors: 陳立修
    Contributors: 吳中書
    陳立修
    Keywords: 信用管道
    傳統VAR模型
    結構化VAR模型
    衝擊反應分析
    Date: 2003
    Issue Date: 2009-09-14 13:25:40 (UTC+8)
    Abstract: 貨幣政策能否影響實質的經濟活動一直以來都是總體經濟學家討論的主要課題,而欲了解此一課題,便須深入了解貨幣政策影響總體經濟的傳導過程。其中最被人廣為探討的為利率管道與信用管道,而一般而言信用管道可分成兩種基本途徑,分別為銀行借貸管道與資產負債表管道。本文將重點放於銀行借貸管道的探討。
    在討論金融因素與經濟體系的互動關係時,既有文獻大多是根據金融加速理論 (financial accelerator theory) 加以探討,該理論認為當實質經濟體系產生干擾時會經由金融體系而使該干擾對經濟的衝擊效果加以放大與加速。因此本文在研究信用管道在我國經濟體系中所扮演角色時,我們採用結構向量自我迴歸模型(Structural Vector Autoregression Model) ,將信用因素作為影響實質經濟體系的干擾來源之一,並分析在1997年亞洲金融危機爆發前後,信用管道與實質經濟之關聯性是否有所不同。另外由於我國過去幾年信用受限制的對象大多是較不具競爭力的傳統產業,或財務出現警訊的企業體,信用管道對經濟體系的影響可能因個人或家計單位,以及民營企業而有所差異。因此本文在討論以本國一般銀行放款所代表的信用變動對經濟體系之影響時,我們將之區分為本國一般銀行對個人與家計單位放款,以及本國一般銀行對民營企業放款兩種不同性質的放款。希望藉由以上的分析,能提供貨幣主管單位一個參考以及喚起讀者對貨幣傳導機制的重視與興趣。
    Reference: 中文部分:
    1.李榮謙 (貨幣及銀行信用在貨幣政策目標中扮演之角色―兼論選擇性信用管制)
    中央銀行季刊 民國78年三月 P53-70
    2.莊武仁、鄭麗玲(台灣地區貨幣、信用與經濟活動-結構化向量自我迴歸之實證研究) 台灣銀行季刊 第四十二卷第四期 民國81年六月 P188-209
    3.黃仁德 (我國央行貼放政策效果與貨幣政策傳導機能的實證分析) 中央銀行季刊 第二十一卷第三期 民國88年九月 P49-75
    4.周傳斌(貨幣政策傳遞機能之信用管道―台灣之實證分析) 國立中正大學經濟研究所 碩士論文 民國85年六月
    5.賴惠子(小型開放經濟最適貨幣政策與貨幣政策傳遞管道之探討) 國立台北大學經濟研究所 博士論文 民國88年六月
    6.張元(貨幣政策之銀行信用傳遞管道―台灣之實證研究) 世新大學經濟研究所 碩士論文 民國89年六月
    7.鄭克璐(銀行信用、貨幣總量與貨幣政策中間目標之選擇―台灣之實證研究) 國立暨南國際大學經濟研究所 碩士論文 民國86年六月
    8.賴建興(貨幣對產出與物價敏感性之檢定-小型開放經濟體系下VAR與SVAR模型應用) 淡江大學財務金融研究所 碩士論文 民國85年六月
    9.李藍珍(貨幣學派匯率實證模型-台灣之共積實證分析) 淡江大學財務金融研究所 碩士論文 民國85年六月
    10.洪淑瑩(台灣地區貨幣、信用與經濟活動-結構化VAR和共積之實證分析) 淡江大學財務金融研究所 碩士論文 民國85年六月
    英文部分
    1.Bernanke, B. S. (1983) “Non-monetary effects of the financial crisis in the propagation of the great depression,” The American Economic Review , 79,257-76.
    2..Bernanke, B. S. (1986) “Alternative Explanation of the Money-Income Correlation.”Carnegie-Rochester Conference Series of public policy ,25,284-91.
    3.Bernanke,B.S.,Blinder,A.,(1988) Credit,money,and aggregate demand.American Economic Review(Papers and Proceedings)78,435-439
    4. Bernanke, B. S. and Gertler, M. (1989) “Agency costs, net worth, and business fluctuations,” The American Economic Review,79,14-31.
    5. Bernanke, Ben S. , and Alan S. Blinder.(1992) “The Federal Funds Rate and
    The Channels of Monetary Transmission”, American Economic Review , 82 , 901-921.
    6. Bernanke, B. S. and Gilchrist, S. (1996) “The financial accelerator and the flight to quality,” The Review of Economics and Statistics, 78,1-15.
    7. Dickey, D. and W. A. Fuller (1979) “Distubution of the estimation for autoregressive time series with a unit root.”Jounal of American Statical Association, Vol. 74,pp.427-31.
    8. Dickey, D. and W. A. Fuller (1981)“Likelihood ratio statistics for autoregressive time series with a unit root.”Econometrica, Vol. 49, pp.1057-1072.
    9. Enders, W.(1995) “ Applied Econometric Time Series .” Iowa State University.
    10. Fackler, J . S. “Federal Credit , Private Credit , and Economic Activity.” Journal of Money , Credit , and Banking , Nov. 1990, pp.444-64.
    11. Gertler, M. and Gilchrist, S. (1993) “The cyclical behavior of short-term business lending-implications for financial propagation mechanism,” European Economic Review,37,623-31.
    12. Gertler, M. and Gilchrist, S. (1994) “Monetary policy, business cycles, and the behavior of small manufacturing firms,” Quarterly Journal of Economics,109,309-340.
    13. Hamilton, J.(1987) “Monetary factors in the Great Depression,” Journal of Monetary Economics,19,145-70.
    14. Hamilton, J. (1994) Time Series Analysis, Princeton University Press.
    15. Huang, Z.(2003) “Evidence of a bank lending channel in the UK,” Journal of Banking & Finance,27,491-510.
    16. Mishkin, F. (1978) “The household balance sheet and the great depression,”Journal of Economic History,38,918-37.
    17. Mishkin, F.(1995) “The Economics of Money , Banking , and Financial
    Markets”. 5 th edition
    18. Fackler , James S.”Federal Credit , Private Credit , and Economic Activity.” Journal of Money , Credit , and Banking , Nov. 1990 pp. 444-64.
    19. Kashyap , Stein , Wilcox (1993) Monetary Policy and Credit Conditions:
    Evidence from the Composition of External Finance ,American Economic Review
    20. Kuttner and Posen(2001)-The Great Recession Lessons for Macroeconomic Policy from Japan(Brooking papers on economic activity )
    21. Oliner, S. and Rudebusch, G.. (1995) “Is there a bank lending channel for monetary policy?” Federal Reserve Bank of San Francisco Economic Review 2, 3-20.
    22. Phillips, P. and P. Perron (1988) “Testing for a unit root in time series regression.”Biomeirica,Vol.75,pp.335-46.
    23.Sims,Christopher A.(1980)”Macroeconomics and Reality.”Econometrica 48,1-48.
    24. Said, S. snd D. Dickey (1984) “Testing for unit roots in autoregressive-moving average models with unknown order ”Biometica,Vol. 71,pp.559-607.
    25. Safaei and Cameron(2003) “Credit channel and credit shocks in Canadian macrodynamics ―a structural VAR approach” Applied Financial Economics,13, 267-277.
    Description: 碩士
    國立政治大學
    經濟研究所
    91258017
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091258017
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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