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    Title: 金融發展與經濟成長 通貨膨脹的門檻效果
    The threshold effect of inflation on the relation between financial development and economic growth
    Authors: 李怡萱
    Contributors: 郭炳伸
    林信助

    李怡萱
    Keywords: 門檻迴歸模型
    通貨膨脹
    金融發展
    經濟成長
    Date: 2011
    Issue Date: 2012-10-30 14:20:47 (UTC+8)
    Abstract: 本文目的以門檻迴歸(threshold regression)方法,試分析台灣1965到2011年間銀行對民間放款總額(BL)、貨幣供給量(M2)、股市成交值(STV)等三大金融發展指標在面對不同通貨膨脹率時,與經濟成長間的關係是否會發生結構性的轉變。
    實證結果發現,支持金融發展與經濟成長之間存在門檻效果,並且以「通貨膨脹率」為門檻指標時,分別可找到兩到三個門檻值:以銀行放款為例,有兩個門檻值將觀測點分成三群,當通膨處於低通膨區(小於3.76%),銀行放款的成長可促進經濟成長;若通膨率處於溫和通膨區(介於3.76%~5.58%),估計係數將由正轉負;一旦到達高通膨區(高於5.58%),通膨將加劇資訊不對稱的問題而影響放款者決策,進而對經濟成長造成顯著的負面影響。M2成長率不論通膨率的高低,皆能促進經濟成長。股市成交值成長率也是在低通膨區對經濟有正向效果,但通膨一旦高於門檻值(2.88%),則轉為不顯著的負面效果。此外,在分析金融發展對經濟成長關係之議題時,本文經由Wald test驗證「通貨膨脹率」較傳統的時間門檻為較佳的門檻變數,其中又以銀行放款(BL)變數的通膨門檻效果最為顯著,大幅提升門檻迴歸模型的效率。
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    李建強(2006),「銀行發展、股市發展與經濟成長— 臺灣的實證研究」,《臺灣經濟預測與政策》,36:2,77–113。
    李建強、洪福聲、黃柏農(2005),「金融發展與經濟成長的關係會消失嗎?─門檻迴歸模型之應用」,《經濟研究》,41:1(2005), 45-74。
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    99351012
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099351012
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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