政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/59522
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113318/144297 (79%)
造访人次 : 51075011      在线人数 : 901
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/59522


    题名: 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
    The Impact of Financial Reform and Monetary Policy on Banking Competition and Depositors and Borrowers’ Welfare
    作者: 莊晋祥
    Chuang, Ching Hsiang
    贡献者: 陳鎮洲
    Chen, Jennjou
    莊晋祥
    Chuang, Ching Hsiang
    关键词: 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
    日期: 2012
    上传时间: 2013-09-02 17:19:44 (UTC+8)
    摘要: 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.
    參考文獻: 中文部分：
    1. 于宗先．王金利 (2005),《台灣金融體制之演變》, 臺北市: 聯經出版公司。
    2. 沈中華．呂美慧 (2007),“本國銀行業逐年的競爭程度及其變化之分析”,《證券市場發展季刊》, 19(12), 119–152。
    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。
    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。
    5. 劉景中 (2008),“銀行集中度與台灣銀行業的獲利性及風險”,《經濟論文叢刊》, 36(3), 327–355。
    6. 劉景中 (2009),“銀行集中度、銀行市場競爭度與銀行風險－台灣實證研究”,《經濟論文》, 37(1), 101–135。
    7. 賴英照 (1997),《台灣金融版圖之回顧與前瞻》, 臺北市: 聯經出版公司。
    8. 嚴雋寶 (1991),《台灣地區銀行發展40年》, 台北: 中華徵信所企業股份有限公司。
    英文部分：
    1. Adams, R. and Amel, D., (2011), “Market structure and the pass-through of the federal funds rate,” Journal of Banking and Finance, 35, pp. 1087—1096.
    2. Adams, R. M., Brevoort, K. P., and Kiser, E. K. (2007), “Who competes with whom? The case of depository institutions”, Journal of Industrial Economics, 55, pp. 141–167.
    3. Ahn, J. H. (2007), “Double Banking Competition and Strategic Acquisition of Screening Technology,” Working paper.
    4. Ahn, J. H. (2012), “The Impact of the Banking Competition in Funding and lending markets on lending technology,” Working paper.
    5. Anderson, T.W. (1951), “Estimating linear restrictions on regression coefficients for multivariate normal distributions”, Annals of Mathematical Statistics, 22, pp. 327–351.
    6. Bernanke, B. S. and Blinder, A. S. (1992), ”The Federal Funds Rate and the Channels of Monetary Transmission.” American Economic Review, 82(4), pp. 901–921.
    7. Bernanke, B. S. and Gertler M. (1995), “Inside the Black Box: The Credit Channel of Monetary Policy Transmission.” Journal of Economic Perspectives, 9(4), pp. 27–48.
    8. Berry, S. (1994), “Estimating discrete choice models of product differentiation”, Rand Journal of Economics, 25, pp. 242–262.
    9. Berry, S., Levinsohn J., and Pakes A. (1995), “Automobile prices in market equilibrium”, Econometrica, 63, pp. 841–890.
    10. Boyd, J.H., Nicolo G. D., and Smith B.D., (2004), “Crises in Competitive Versus Monopolistic Banking Systems.” Journal of Money, Credit and Banking, 36, pp. 487-506.
    11. Bracoud, F. (2002), “Sequential models of bertrand competition for deposits and loans under asymetric information,” Keele Economics Research Papers, No.2002-15.
    12. Bracoud, F. (2007), “Double Bertrand competition among intermediaries when consumers can default,” Economics Bulletin, 4(7), pp. 1–16.
    13. Cardell, N. S. (1997), “Variance components structures for the extreme-value and logistic distributions with application to models of heterogeneity”, Econometric Theory, 13, pp. 185–213.
    14. Cecchetti S. G., (1999), "Legal structure, financial structure, and the monetary policy transmission mechanism," Federal Reserve Bank of New York, Economic Policy Review, issue July, pp. 9-28.
    15. Corvoisier S. and Gropp R. (2002), “Bank Concentration and Retail Interest Rates," Journal of Banking and Finance, 26, pp. 2155-2189.
    16. Dermine, J. (1986),–”Deposit rates, credit rates and bank capital: the Monti-Klein model revisited,” Journal of Banking and Finance, 10, pp.99-114.
    17. Dick, A. (2008), “Demand estimation and consumer welfare in the banking industry”, Journal of Banking and Finance, 32, pp. 1661–1676.
    18. DVOŘÁK, P. (2005), “Rethinking the Monti-Klein model of banking industry: New insights about the separability of loans and deposits decisions,” Discussion Paper No. 2005-138, CERGE-EI.
    19. Elyasiani, E., Kopecky, K.J. and Van Hoose D. (1995), ”Costs of Adjustment, Portfolio Separation, and the Dynamic Behavior of Bank Loans and Deposits, “ Journal of Money, Credit, and Banking, 27(4), pp.955-974.
    20. Freixas, X. and Rochet, J. C. (1997), “Microeconomics of banking,” The MIT Press, Cambridge.
    21. Freixas, X., and Rochet, J. C. (2008), “Microeconomics of Banking,” 2nd ed. MIT Press, Cambridge, Mass.
    22. Ghossoub, E.A., Laosuthi T., and Reed R. R., (2012), “The Role of Financial Sector Competition for Monetary Policy.” Canadian Journal of Economics, 45, pp. 270—287.
    23. Gunji, H., Miura, K., Yuan, Y., (2009), “Bank competition and monetary policy.” Japan and World Economy, 21, pp. 105–115.
    24. Guntner, J. H. F., (2011), “Competition among banks and the pass-through of monetary policy,” Economic Modelling, 28 (4), pp. 1891-1901.
    25. Ho, C.Y. (2012), “Market structure, welfare, and banking reform in China,” Journal of Comparative Economics, 40(2), pp. 291-313.
    26. Ho, C-Y. (2010), “Deregulation, competition and consumer welfare in a banking market: evidence from Hong Kong”, Journal of Regulatory Economics, 37, pp. 70-97.
    27. Ho, K. and Ishii, J. (2011), “Location and Competition in Retail Banking”, International Journal of Industrial Organization, 29, pp. 537-546.
    28. Ishii, J. (2005) "Compatibility, Competition, and Investment in Network Industries: ATM Networks in the Banking Industry," Working paper.
    29. Kashyap, A. K., and Stein, J. C. (1997), “The role of banks in monetary policy: A survey with implications for the European monetary union.” Economic Perspectives, 21(5), pp. 2–18.
    30. Klein, M. A. (1971), “A Theory of the Banking Firm,” Journal of Money, Credit, and Banking, 3(2), pp. 205-218.
    31. Klemperer, P. (1987), “The competitiveness of markets with switching costs”, Rand Journal of Economics, 18, pp. 138–150.
    32. Knittel, C., and Stango, V. (2007), “Incompatibility, product attributes and consumer welfare: Evidence from ATM”, B.E. Journal of Economic Analysis and Policy: Advances in Economic Analysis and Policy, 8, pp. 1–41.
    33. Kuttner, K.N. and Mosser, P. C. (2002), "The Monetary Transmission Mechanism: Some Answers and Further Questions." Federal Reserve Bank of New York, Economic Policy Review, 8(1), pp.15-26.
    34. Macit Fatih. (2012), “Who responds more to monetary policy, conventional banks or participation banks?” Journal of Economics, Finance and Administrative Science, 17(33), pp. 10-14.
    35. Matsuoka T., (2011), “Monetary Policy and Banking Structure.” Journal of Money, Credit, and Banking, 43, pp. 1109-129.
    36. McFadden, D. (1981), “Econometric models of probabilistic choice”, in C. Manski and D. McFadden ed., Structural Analysis of Discrete Data with Econometric Applications, pp. 198–272, Cambridge: MIT Press,.
    37. Molnar, J., (2008), "Market Power and Merger Simulation in Retail Banking." Bank of Finland Research, Discussion Paper.
    38. Molnar, J., Nagy, M., and Horvoth, C. (2006), “A structural empirical analysis of retail banking competition: The case of Hungary”, Magyar Nemzeti Bank, MNB Working Papers, available at http://ssrn.com/abstract=961776.
    39. Molnar, J.; Violi, R.; Zhou, X. (2013), “Multimarket Contact in Italian Retail Banking: Competition and Welfare,” International Journal of Industrial Organization, forthcoming.
    40. Monti, M. (1971), “A Theoretical Model of Bank Behaviour and its Implications for Monetary Policy, L`Industria, pp. 165-191.
    41. Monti, M. (1972), “Deposit, Credit, and Interest Rate Determination under Alternative Bank Objective,” in Mathematical Methods in Investment and Finance, ed. by K. Shell and G. P. Szego, pp. 431-454. North-Holland, Amsterdam.
    42. Monti, M. (1972), “Deposit, Credit, and Interest Rate Determination under Alternative Bank Objectives," in Mathematical Methods in Investment and Finance, Szego, G.P. and K. Shell (eds.), North-Holland.
    43. Nankane, M. I., Alencar, L. S., and Kanczuk, F. (2006), “Demand for bank services and market power in Brazilian banking”, Banco Central do Brazil, Working Paper 107, available at http://ssrn.com/abstract=926378.
    44. Nevo, A. (2001), “Measuring market power in the ready-to-eat cereal industry”, Econometrica, 69, pp. 307–342.
    45. Olivero, M.P., Li, Y., Jeon, B.N., (2011), “Competition in banking and the lending channel: Evidence from bank level data in Asia and Latin America,” Journal of Banking and Finance, 35, pp. 560-571.
    46. Pringle, J. J. (1973), “A Theory of the Banking Firm. A Comment,” Journal of Money, Credit, and Banking, 5(4), pp. 990-996.
    47. Prisman, E. , M. Solvin and M. Sushka (1986), “A general model of the banking firm under conditions of monopoly, uncertainty and recourse,” Journal of Monetary Economics, 17 (2), pp. 293-304.
    48. Pyle, D. H. (1971), “On the Theory of Financial Intermediation,” The Journal of Finance, 26(3), pp. 737-747.
    49. Romer, Christina D. and Romer, David H. (1989), “Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz,” in Olivier Jean Blanchard and Stanley Fischer, eds., NBER Macroeconomics Annual, Cambridge, MA: MIT Press, pp. 121–169.
    50. Sargan, J. D. (1958), “The estimation of economic relationships using instrumental variables”, Econometrica, 26, pp. 393–415.
    51. Small, K. A., and Rosen, H. S. (1981), “Applied welfare economics with discrete choice models”, Econometrica, 49, pp. 105–130.
    52. Stahl, D. (1988), “Bertrand competition for inputs and Warlasian outcomes,” The American Economic Review, 78(1), pp. 189–201.
    53. Toolsema, L. (2001), “Reserve requirements and double bertrand competition among banks,” Applied Economics Letters, 8(5), pp. 291–293.
    54. Van Loo, P. D. (1980), “On the Microeconomic Foundations of Bank Behaviour in Macroeconomic Models,” De Economist, 128(4), pp. 474–496.
    55. VanHoose, D., (1983), “Monetary policy under alternative bank market structures.” Journal of Banking and Finance, 7, pp. 383–404.
    56. VanHoose, D., (1985), “Bank market structure and monetary control.” Journal of Money, Credit and Banking, 17, pp. 298–311.
    57. Walsh E. Carl. (2003), “Monetary theory and policy.” 2nd ed., The MIT Press.
    58. Yamazaki, S. and Miyamoto, H. (2004), “A note on bank behaviour and monetary policies in an oligopolistic market,” Industrial Organization 0408003, EconWPA.
    59. Yanelle, M. O. (1989), “The strategic analysis of intermediation,” European Economic Review, 33, pp. 294–301.
    60. Zhou, X. (2008), “Consolidation, Product Quality and Entry in the Banking Industry,” Dissertation, Yale University, USA.
    描述: 博士
    國立政治大學
    經濟學系
    95258509
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0952585092
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    index.html0KbHTML2418检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈