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    题名: 金融拆款市場與中央銀行貨幣政策 -台灣之實證研究
    Financial Interbank Market and the Central Bank`s Monetary Policy - An Empirical Research of Taiwan
    作者: 朱凱頤
    Chu, Kai I
    贡献者: 王智賢
    朱凱頤
    Chu, Kai I
    关键词: 銀行準備金比率
    金融拆款市場
    區隔市場模型
    The banks` reserve ratio
    Interbank call loan market
    Segment market model
    日期: 2014
    上传时间: 2015-07-01 15:01:08 (UTC+8)
    摘要: 由於銀行準備金比率為受貨幣政策機制影響的重要變數之一，但目前並無針對台灣進行的實證研究，因此本文的研究重點著重於探討台灣的銀行準備金比率受不同變數因子的影響。本研究採用的解釋變數有央行的重貼現利率、製造業的工業生產指數、加權法定準備率、壞帳比率、存放款利差、3年期政府公債殖利率、落後一期拆款利率及代表拆款市場重大變革時點的虛擬變數。樣本主要採用由中央銀行統計資料庫及 TEJ 資料庫所蒐集之月資料，採用期間為 1995 年 6 月至 2014 年 7 月，並且使用 OLS 模型進行實證分析。實證結果發現，製造業的工業生產指數及落後一期拆款利率為負向顯著，而 1995年8月的虛擬變數為正向顯著。
    The purpose of the study was focused on the impact of Taiwan banks` reserve ratio by different variable factors, since the banks` reserve ratio was one of the important variables affected by monetary policy mechanism, however, there was no empirical research carried out for Taiwan currently. The explanatory variables used in the study has the discount rate, the index of industrial production of the manufacturing sector, the weighted statutory reserve ratio, the ratio of bad debts, deposit and loan spreads, 3-year government bond yields, the call rate that one year lags and the dummy variables of representatives major changes in interbank call loan market. This study obtained monthly samples from the central bank`s statistical databases and TEJ database mainly, the period was during June 1995 to July 2014, and then OLS model was used to analyze. The results revealed that the index of industrial production of the manufacturing sector and the call rate that one year lags has a negative and significant effect on banks` reserve ratio, while the dummy variables of August 1995 has a positive and significant effect.
    參考文獻: Allen﹐F., E. Carlett and D. Gale (2009)﹐“Interbank Market Liquidity and Central Bank Intervention﹐” Journal of Monetary Economics﹐55﹐639–652.
    Antinolfi﹐G., H. Elisabeth and T. Keister (2001)﹐“Monetary Stability and Liquidity Crises: The Role of the Lender of Last Resort﹐” Journal of Economic Theory﹐ 99﹐187-219.
    Bagehot W. (1873)﹐“Lombard Street: A Description of the Money Market﹐”London: William Clowes and Sons.
    Caprio Gerard﹐Jr. and D. Klingebiel (1996)﹐“Bank Insolvency: Bad Luck﹐Bad Policy or Bad Banking? ” in Michael Bruno and Boris Pleskovic﹐eds.﹐Annual World Bank Conference on Development Economics﹐1996. Washington﹐DC: World Bank﹐1997﹐79-104.
    Champ﹐B., B. D. Smith and S. D. Williamson (1996)﹐“Currency Elasticity and Banking Panics: Theory and Evidence﹐” Canadian Journal of Economics﹐29﹐828-864.
    Chang, S.-H., Contessi, S. and Francis, J.(2014)﹐“Understanding the accumulation of bank and thrift reserves during the U.S. financial crisis﹐” Journal of Economic Dynamics and Control﹐43﹐78-106.
    Diamond﹐D. and P. Dybvig (1983)﹐“Bank Runs﹐Liquidity and Deposit Insurance﹐” Journal of Political Economy﹐91﹐401-19.
    Fischer, S. (1999)﹐“On the Need for An International Lender of Last Resort﹐” Journal of Economic Perspectives﹐13﹐85-104.
    Kareken, J. H. and N. Wallace (1978)﹐“Deposit Insurance and Bank Regulation: A Partial-Equilibrium Exposition﹐” The Journal of Business﹐51﹐413-438.
    Khasawneh Ahmad Y. (2013) ﹐“Excess Reserve Holdings of Jordan Commercial Banks: VARX Implementation﹐”International Journal of Economics and Finance, 5, 152–162.
    Matsuoka, T. (2012)﹐“Imperfect Interbank Markets and the Lender of Last Resort﹐” Journal of Economic Dynamics and Control﹐36﹐1673-1687.
    Nguyen, V. H. T. and A. Boateng (2013) ﹐“The impact of excess reserves beyond precautionary levels on Bank lending Channels in China﹐”Journal of International Financial Markets, Institutions and Money, 26, 358-377.
    Ogawa, K. (2007) ﹐“Why commercial banks held excess reserves: the Japanese experience of the late 1990s﹐” Journal of Money, Credit and Banking, 39, 241–57.
    Smith, B.D. (2002)﹐“Monetary Policy﹐Banking Crises and the Friedman Rule﹐” American Economic Review﹐92﹐128-134.
    Sargent, T. J. and N. Wallace (1982)﹐“The Real-Bills Doctrine versus the Quantity Theory: A Reconsideration﹐” The Journal of Political Economy﹐90﹐1212-1236.
    Williamson, S. D. (1998)﹐“Discount Window Lending and Deposit Insurance﹐” Review of Economic Dynamics﹐1﹐246-275.
    描述: 碩士
    國立政治大學
    財政研究所
    102255020
    103
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0102255020
    数据类型: thesis
    显示于类别:[財政學系] 學位論文

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