政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/99286

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/99286

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113303/144284 (79%)
Visitors : 50814710 Online Users : 555

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/99286

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99286

Title:	商業銀行超額準備影響因素及其波動性分析─比較本國銀行與外商銀行 The Study of Volatility and Determinant Factors of Excess Reserve in Commercial Banks---Comparison of Domestic Banks and Foreign Banks.
Authors:	陳汸榆
Contributors:	胡聯國陳汸榆
Keywords:	超額準備波動性準備金模型本國銀行外商銀行
Date:	2016
Issue Date:	2016-07-20 16:37:35 (UTC+8)
Abstract:	本研究旨在探討本國銀行與外商銀行超額準備的波動性差異，以及比較超額準備之影響因素在上述兩類銀行中所造成的效果差異，分別以理論及實證方法進行分析。第三章藉由資料的蒐集與整理，發現外商銀行超額準備之波動性大於本國銀行。利用Agénor與El Aynaoui (2010)的超額準備金模型及CRRA效用函數，以存款波動性的差異來解釋兩類銀行超額準備的波動性差異。在外商銀行存戶之相對風險趨避係數平均而言小於本國銀行存戶，以及外商銀行存戶投資於風險性資產比例大於本國銀行存戶的前提下，本研究推導出外商銀行存款波動性大於本國銀行，從而促使外商銀行超額準備有更大的波動性。第四章分別建立兩類銀行之VAR模型，由衝擊反應函數分析結果發現當各項影響因素有正向衝擊時，對兩類銀行的超額準備有下列的影響：(1)就資金來源而言，本國銀行以定期性存款對超額準備影響較大，且效果為負，而外商銀行則以活期性存款影響較大，效果為正。(2)銀行資本額對兩類銀行超額準備有負向影響，且外商銀行減少超額準備的幅度大於本國銀行。(3)十年期政府公債利率對本國及外商銀行之超額準備分別有負向及正向影響，對外商銀行之效果不符預期，原因可能為公債利率無法作為外商銀行持有超額準備之機會成本。(4)金融業隔夜拆款利率對超額準備呈正負向震盪影響，外商銀行有顯著大於本國銀行之效果，顯示外商銀行較依賴隔夜拆款市場來調節超額準備金。(5)加權法定準備率對兩類銀行超額準備皆有負向影響，而本國銀行之效果較為顯著。(6)央行重貼現率對兩類銀行主要皆為正向影響，效果並不顯著但持續期間較長。(7)台灣加權股價指數對本國銀行超額準備有顯著負向影響，對外商銀行則在初期有顯著正向影響，而後轉為負向影響，且對外商銀行之效果大於本國銀行。
Reference:	中文部分一、碩博士論文李俊(2010)，我國商業銀行超額準備金率變動及對貨幣乘數影響分析，暨南大學金融研究所博士論文。馬南媛(1998)，亞太風險趨避係數的估計與比較，元智大學管理研究所學位論文。張嘉珍(2002)，銀行最適準備金管理之實證研究，銘傳大學金融研究所碩士論文。劉思吟(2012)，影響台灣金融機構超額準備因素之實證研究，國立台灣大學經濟學系在職專班碩士論文。二、書籍高鐵梅(2010)，計量經濟分析方法與建模：EViews應用及實例，北京：清華大學出版社，264-265。英文部分 Agénor, P. R., Aizenman, J., & Hoffmaister, A. W. (2004). The credit crunch in East Asia: what can bank excess liquid assets tell us?. Journal of International Money and Finance, 23(1), 27-49. Agénor, P. R., & El Aynaoui, K. (2010). Excess liquidity, bank pricing rules, and monetary policy. Journal of Banking & Finance, 34(5), 923-933. Khasawneh, A. Y. (2013). Excess Reserve Holdings of Jordan Commercial Banks: VARX Implementation. International Journal of Economics and Finance, 5(11), 152. Baumol, W. J. (1952). The transactions demand for cash: An inventory theoretic approach. The Quarterly Journal of Economics, 66(4), 545-556. Clouse, J. A., & Dow, J. P. (2002). A computational model of banks’ optimal reserve management policy. Journal of Economic Dynamics and Control, 26(11), 1787-1814. Danthine, J. P., & Donaldson, J. B. (2014). Intermediate financial theory. Academic press. Gale, D., & Yorulmazer, T. (2013). Liquidity hoarding. Theoretical Economics, 8(2), 291-324. Reid-Anderson, K. (2011). Excess Reserves in Jamaican Commercial Banks: The Implications for Monetary Policy. Research and Economic Programming Division, Bank of Jamaica. Nana, P. N., & Samson, L. (2014). Why are banks in Africa hoarding reserves? An empirical investigation of the precautionary motive. Review of Development Finance, 4(1), 29-37. Ogawa, K. (2007). Why commercial banks held excess reserves: the Japanese experience of the late 1990s. Journal of Money, Credit and Banking, 39(1), 241-257. Ramos, A. M. (1996). Deposit insurance, bank capital structures and the demand for liquidity (No. WP-96-8). Federal Reserve Bank of Chicago. Sims, C. A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 48(1),1-48. Tobin, J. (1956). The interest-elasticity of transactions demand for cash. The Review of Economics and Statistics, 38(3):241-247.
Description:	碩士國立政治大學國際經營與貿易學系 103351026
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0103351026
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

Files in This Item:

File	Size	Format
102601.pdf	1756Kb	Adobe PDF2	47	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

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 © - Feedback