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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: | 14-九月-2009 | 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.\r\nParticularly, we provide a theoretical framework to describe the effect of banks` behaviors on the bank lending channel.\r\nIn the empirical study, we perform cointegrated relation and impulse response to analyze the effect of monetary policy on bank loans.\r\nWe 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 |
Appears in Collections: | 學位論文 |
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