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    題名: A Test for the Bank Lending Channel of Monetary Policy in Taiwan
    作者: 孫慎明
    Sun, Shen-Ming
    貢獻者: 朱美麗
    孫慎明
    Sun, Shen-Ming
    關鍵詞: 銀行借貸管道
    Bank lending channel
    日期: 2004
    上傳時間: 2009-09-14 13:34:07 (UTC+8)
    摘要: 本篇論文旨在探討台灣貨幣政策的銀行借貸傳遞管道，著重在銀行行為的分析，我們為銀行在借貸管道中所扮演的行為提供了一個理論的解釋架構。實證上利用共整合與衝擊反應函數分析貨幣政策的影響，結果發現因銀行會調整資產負債的組合來抵銷貨幣政策的影響，所以銀行借貸管道在台灣並不是一個重要的貨幣政策傳遞管道。
    This paper investigates the role of the bank lending channel in the monetary policy transmission process in Taiwan.
    Particularly, we provide a theoretical framework to describe the effect of banks` behaviors on the bank lending channel.
    In the empirical study, we perform cointegrated relation and impulse response to analyze the effect of monetary policy on bank loans.
    We find that a bank lending channel is not a relevant transmission mechanism of monetary policy, which can be due to banks` buffer behaviors.
    參考文獻: Bernanke, B. S. and A. S. Blinder (1988), “Credit, Money and Aggregate Demand”, American Economic Review, 78, 435-439.
    Bernanke, B. S. and A. S. Blinder (1992), “The Federal Funds Rate and the Transmission of Monetary Policy”, American Economic Review, 81, 901-921.
    Bernanke, B. S. and M. Gertler (1995), “Inside the Black Box: The Credit Channel of Monetary Policy Transmission”, Journal of Economic Perspectives, 9, 27-48.
    Chang, Y. (2001), The Bank Loan Channel of Monetary Policy -- An Empirical Study of Taiwan, Master’s thesis, Department of Economics, Shih Hsin University, (in Chinese).
    Engle, R. F. and C. Granger (1987), “Co-Integrated and Error Correction Model: Representation, Estimation and Testing”, Economitrica, 55, 251-276.
    Hulsewig, O., P. Winker, and A. Worms (2004), “Bank Lending in the Transmission of Monetary Policy: A VECM Analysis for Germany”, Jahrbucher fur Nationalokonomie und Statistik, 224, 511-529.
    Johansen, S. (1995), Likelihood Based Inference in Cointegrated Vector Error Correction Models, Oxford: Oxford University Press.
    Kakes, J. (2000), “Identifying the Mechanism: Is There a Bank Lending Channel of Monetary Transmission in the Netherlands?”, Applied Economics Letters, 7, 63-67.
    Kashyap, A. K. and J. C. Stein (2000), “What Do a Million Banks Have to Say about the Transmission of Monetary Policy?”, American Economic Review, 90, 407-428.
    Kashyap, A. K., J. C. Stein and D. W. Wilcox (1993), “Monetary Policy and Credit Constraints: Evidence from the Composition of External Finance”, American Economic Review, 83, 78-98.
    Kishan, R. P. and T. P. Opiela (2000), “Bank Size, Bank Capital, and the Bank Lending Channel”, Journal of Money, Credit and Banking, 32, 121-141.
    Lukepohl, H. and H. E. Reimers (1992), “Impulse Response Analysis of Cointegrated Systems”, Journal of Economic Dynamics and Control, 16, 53-78.
    Phillips, P. and P. Perron (1988), “Testing for Unit Roots in Time Series Regression”, Biometrika, 75, 335-346.
    Said, S. and D. Dickey (1984), “Testing for Unit Roots in Autoregressive Moving-Average Models with Unknown Order”, Biometrika, 71, 559-607.
    Sims, C. A. (1980), “Macroeconomics and Reality”, Econometrica, 48, 1-48.
    Stock, J. H. and M. W. Watson (1993), “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems”, Econometrica, 61,783-820.
    Tsaur, T. W., C. L. Lin, and M. L. Chu (1999), “The Tests of Purchasing Power Parity in Taiwan”, in Taiwan Economics Association Annual Conference: Proceedings, Taiwan Economics Association, (in Chinese).
    Zheng, H. P. (2004), The Credit Channel of Monetary Policy in Taiwan, Master’s thesis, Department of Economics, National Chengchi University, (in Chinese).
    描述: 碩士
    國立政治大學
    經濟研究所
    92258039
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0922580391
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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