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題名 銀行資本與金融控股體系對銀行放款管道的影響－追蹤資料分析
The impact of bank capital and financial holding company on the bank lending channel-a panel data analysis
作者 郭羿伶
貢獻者 蕭明福
郭羿伶
關鍵詞 放款管道
銀行資本
金融控股體系
追蹤資料
貨幣政策
Lending channel
Bank capital
Financial holding company
Panel data
Monetary policy
日期 2011
上傳時間 30-Oct-2012 11:09:37 (UTC+8)
摘要 本文以1999年第4季至2011年第3季24家銀行的追蹤資料，分析銀行資本與金融控股體系對銀行放款管道的影響。全體樣本銀行的實證結果顯示，沒有顯著證據支持放款管道的存在。銀行淨值及調整成本對放款有顯著的影響，支持銀行資本管道存在。另外，銀行加入金融控股體系之後，調整成本的影響增加。
大型銀行樣本的實證結果顯示，大型銀行放款管道的作用不顯著；但是，銀行資本管道呈現顯著影響。小型銀行放款管道及資本管道皆沒有顯著證據支持兩者存在，但非存款負債對小型銀行放款的影響顯著。除此之外，小型銀行在金融控股體系下，短期投資及非存款負債對放款的影響顯著。由此結果可知，大小型銀行皆可藉由資產負債的調整來抵銷貨幣政策的衝擊，維持放款的成長。
參考文獻 一、 英文部分

1.Aliaga-Diaz, R. (2005), “General Equilibrium Implications of the Capital Adequacy Regulation for Banks,” Computing in Economics and Finance No. 238. Society for Computational Economics.

2.Altunbas, Y., De Bondt, G., and Marqués, D. (2004). “Bank Capital, Bank Lending and Monetary Policy in the Euro Area,” Kredit und Kapital, 4, 443-465.

3.Bernanke, B. S., and Blinder, A. S. (1989), “Credit, Money, and Aggregate Demand,” NBER Working Paper No. 2534.

4.Bernanke, B. S., and Gertler, M. (1995), “Inside the Black Box: The Credit Channel of Monetary Policy Transmission,” NBER Working Paper No. 5146.

5.Berrospide, J., and Edge, R. (2011), “The Effects of Bank Capital on Lending: What Do We Know, and What Does it Mean?” FEDS Working Paper No. 2010-44, Washington DC.

6.Black, L., Hancock, D., and Passmore, W. (2009), “Core Deposit Funding of Subprime Mortgages and the Effect of Monetary Policy,” Board of Governors of the Federal Reserve System, Washington DC.

7.Blum, J., and Hellwig, M. (1995), “The Macroeconomic Implications of Capital Adequacy Requirements for Banks,” European Economic Review, 39(3), 739-749.

8.Brewer III, E. (1990), “The Risk of Banks Expanding Their Permissible Nonbanking Activities,” The Financial Review, 25(4), 517-537.

9.Concetta Chiuri, M., Ferri, G., and Majnoni, G. (2002), “The Macroeconomic Impact of Bank Capital Requirements in Emerging Economies: Past Evidence to Assess the Future,”
Journal of Banking and Finance, 26(5), 881-904.

10.Cosimano, T., andHakura, D. (2011), “Bank Behavior in Response to Basel III: A Cross-Country Analysis,” IMF Working Paper No. 11/119.

11.Demirgüç-Kunt, A., and Huizinga, H. (2009), “Bank Activity and Funding Strategies: The Impact on Risk and Return,” European Banking Center Discussion Paper No. 2009-01.

12.Deng, S. E., Elyasiani, E., and Mao, C. X. (2007), “Diversification and the Cost of Debt of Bank Holding Companies,” Journal of Banking and Finance, 31(8), 2453-2473.

13.Engler, P., Jokipii, T., Merkl, C., Rovira Kaltwasser, P., and Vinhas de Souza, L. (2007), “The Effect of Capital Requirement Regulation on the Transmission of Monetary Policy: Evidence from Austria,” Empirica, 34(5), 411-425.

14.Hülsewig, O., Mayer, E., and Wollmershäuser, T. (2006), “Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses,” Journal of Banking and Finance, 30(10), 2893-2910.

15.Kakes, J., and Sturm, J. E. (2002), “Monetary Policy and Bank Lending: Evidence from German Banking Groups,” Journal of Banking and Finance, 26(11), 2077-2092.

16.Kashyap, A. K., and Stein, J. C. (1995). “The Impact of Monetary Policy on Bank Balance Sheets,”Paper presented at the Carnegie-Rochester Conference Series on Public Policy, North-Holland.

17. Kishan, R. P., and Opiela, T. P. (2000), “Bank size, Bank capital, and the Bank Lending Channel,” Journal of Money, Credit and Banking, 32(1), 121-141.

18.Kuttner, K. N., and Mosser, P. C. (2002), “The Monetary Transmission Mechanism in the United States: Some Answers and Further Questions,” Bank for International Settlements, BIS Papers (12 part 22), 433-443.

19.Mishkin, F. S. (1995), “Symposium on the Monetary Transmission Mechanism,” The Journal of Economic Perspectives, 9(4), 3-10.

20.Morgan, D. P. (1998), “The Credit Effects of Monetary Policy: Evidence Using Loan Commitments,” Journal of Money, Credit and Banking, 30(1), 102-118.

21. Obi, C. P., and Emenogu, A. (2003), “Bank Holding
Company Expansion into Nonbank Functions: Is the Rise in Systematic Risk Rewarded?” Managerial Finance, 29(8), 9-22.

22.Peek, J., and Rosengren, E. (1995), “Bank Regulation and the Credit Crunch,” Journal of Banking and Finance, 19(3), 679-692.

23.Safaei, J., and Cameron, N. E. (2003), “Credit Channel and Credit Shocks in Canadian Macrodynamics-a Structural VAR Approach,” Applied Financial Economics, 13(4), 267-277.

24.Suzuki, T. (2004), “Is the Lending Channel of Monetary Policy Dominant in Australia?” Economic Record, 80(249), 145-156.

25.Templeton, W. K., and Severiens, J. T. (1992), “The Effect of Nonbank Diversification on Bank Holding Company Risk,” Quarterly Journal of Business and Economics, 31(4), 3-17.

26.Thakor, A. V. (1996), “Capital Requirements, Monetary Policy, and Aggregate Bank Lending: Theory and Empirical Evidence,” Journal of Finance, 51(1), 279-324.

27.Van den Heuvel, S. J. (2002), “The Bank Capital Channel of Monetary Policy,” The Wharton School, University of Pennsylvania, mimeo.

二、中文部分

1.吳中書、陳建福（2010）， 「台灣信用管道之探討」，《台灣經濟預測與政策》，第41卷1期，頁121-153。
2.吳懿娟（2004）， 「我國貨幣政策傳遞機制之實證分析」，《中央銀行季刊》，第26卷4期。

3.汪建南、李光輝（2004）， 「我國貨幣政策操作及傳遞機制之實證分析─兼論銀行信用管道與股票價格管道」，《中央銀行季刊》，第26卷3期。

4.張瑞娟、欉清全、吳杰聰（2010）， 「台灣貨幣政策與銀行信用之非對稱性效果─動態縱橫資料分析」，《經濟與管理論叢》，第6卷2期，頁229-246。

5.馮立功（2009）， 「貨幣政策傳遞機制之信用管道─來自臺灣股市證據」，第十屆全國實證經濟學論文研討會。

6.賴惠子（2002）， 「台灣地區貨幣政策信用傳遞管道之探討」，《經濟研究》，第38卷1期，頁57-95。
描述 碩士
國立政治大學
經濟學系
99258008
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0992580081
資料類型 thesis
dc.contributor.advisor 蕭明福zh_TW
dc.contributor.author (Authors) 郭羿伶zh_TW
dc.creator (作者) 郭羿伶zh_TW
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 11:09:37 (UTC+8)-
dc.date.available 30-Oct-2012 11:09:37 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 11:09:37 (UTC+8)-
dc.identifier (Other Identifiers) G0992580081en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54480-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 99258008zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 本文以1999年第4季至2011年第3季24家銀行的追蹤資料，分析銀行資本與金融控股體系對銀行放款管道的影響。全體樣本銀行的實證結果顯示，沒有顯著證據支持放款管道的存在。銀行淨值及調整成本對放款有顯著的影響，支持銀行資本管道存在。另外，銀行加入金融控股體系之後，調整成本的影響增加。
大型銀行樣本的實證結果顯示，大型銀行放款管道的作用不顯著；但是，銀行資本管道呈現顯著影響。小型銀行放款管道及資本管道皆沒有顯著證據支持兩者存在，但非存款負債對小型銀行放款的影響顯著。除此之外，小型銀行在金融控股體系下，短期投資及非存款負債對放款的影響顯著。由此結果可知，大小型銀行皆可藉由資產負債的調整來抵銷貨幣政策的衝擊，維持放款的成長。		zh_TW
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構與內容 6
第二章 文獻回顧 7
第一節 貨幣政策傳遞機制 7
第二節 金融控股公司相關文獻 9
第三節 信用管道相關實證文獻 10
第三章 研究方法 15
第一節 追蹤資料分析 15
第二節 實證模型 17
第三節 研究變數與資料來源 19
第四章 實證分析 23
第一節 敘述統計 23
第二節 模型選擇 34
第三節 全體樣本之實證分析 36
第四節 大型與小型樣本銀行之實證分析 42
第五章 結論與建議 46
第一節 研究結論 46
第二節 建議與限制 47
參考文獻 49
附錄 52		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0992580081en_US
dc.subject (關鍵詞) 放款管道zh_TW
dc.subject (關鍵詞) 銀行資本zh_TW
dc.subject (關鍵詞) 金融控股體系zh_TW
dc.subject (關鍵詞) 追蹤資料zh_TW
dc.subject (關鍵詞) 貨幣政策zh_TW
dc.subject (關鍵詞) Lending channelen_US
dc.subject (關鍵詞) Bank capitalen_US
dc.subject (關鍵詞) Financial holding companyen_US
dc.subject (關鍵詞) Panel dataen_US
dc.subject (關鍵詞) Monetary policyen_US
dc.title (題名) 銀行資本與金融控股體系對銀行放款管道的影響－追蹤資料分析zh_TW
dc.title (題名) The impact of bank capital and financial holding company on the bank lending channel-a panel data analysisen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、 英文部分

1.Aliaga-Diaz, R. (2005), “General Equilibrium Implications of the Capital Adequacy Regulation for Banks,” Computing in Economics and Finance No. 238. Society for Computational Economics.

2.Altunbas, Y., De Bondt, G., and Marqués, D. (2004). “Bank Capital, Bank Lending and Monetary Policy in the Euro Area,” Kredit und Kapital, 4, 443-465.

3.Bernanke, B. S., and Blinder, A. S. (1989), “Credit, Money, and Aggregate Demand,” NBER Working Paper No. 2534.

4.Bernanke, B. S., and Gertler, M. (1995), “Inside the Black Box: The Credit Channel of Monetary Policy Transmission,” NBER Working Paper No. 5146.

5.Berrospide, J., and Edge, R. (2011), “The Effects of Bank Capital on Lending: What Do We Know, and What Does it Mean?” FEDS Working Paper No. 2010-44, Washington DC.

6.Black, L., Hancock, D., and Passmore, W. (2009), “Core Deposit Funding of Subprime Mortgages and the Effect of Monetary Policy,” Board of Governors of the Federal Reserve System, Washington DC.

7.Blum, J., and Hellwig, M. (1995), “The Macroeconomic Implications of Capital Adequacy Requirements for Banks,” European Economic Review, 39(3), 739-749.

8.Brewer III, E. (1990), “The Risk of Banks Expanding Their Permissible Nonbanking Activities,” The Financial Review, 25(4), 517-537.

9.Concetta Chiuri, M., Ferri, G., and Majnoni, G. (2002), “The Macroeconomic Impact of Bank Capital Requirements in Emerging Economies: Past Evidence to Assess the Future,”
Journal of Banking and Finance, 26(5), 881-904.

10.Cosimano, T., andHakura, D. (2011), “Bank Behavior in Response to Basel III: A Cross-Country Analysis,” IMF Working Paper No. 11/119.

11.Demirgüç-Kunt, A., and Huizinga, H. (2009), “Bank Activity and Funding Strategies: The Impact on Risk and Return,” European Banking Center Discussion Paper No. 2009-01.

12.Deng, S. E., Elyasiani, E., and Mao, C. X. (2007), “Diversification and the Cost of Debt of Bank Holding Companies,” Journal of Banking and Finance, 31(8), 2453-2473.

13.Engler, P., Jokipii, T., Merkl, C., Rovira Kaltwasser, P., and Vinhas de Souza, L. (2007), “The Effect of Capital Requirement Regulation on the Transmission of Monetary Policy: Evidence from Austria,” Empirica, 34(5), 411-425.

14.Hülsewig, O., Mayer, E., and Wollmershäuser, T. (2006), “Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses,” Journal of Banking and Finance, 30(10), 2893-2910.

15.Kakes, J., and Sturm, J. E. (2002), “Monetary Policy and Bank Lending: Evidence from German Banking Groups,” Journal of Banking and Finance, 26(11), 2077-2092.

16.Kashyap, A. K., and Stein, J. C. (1995). “The Impact of Monetary Policy on Bank Balance Sheets,”Paper presented at the Carnegie-Rochester Conference Series on Public Policy, North-Holland.

17. Kishan, R. P., and Opiela, T. P. (2000), “Bank size, Bank capital, and the Bank Lending Channel,” Journal of Money, Credit and Banking, 32(1), 121-141.

18.Kuttner, K. N., and Mosser, P. C. (2002), “The Monetary Transmission Mechanism in the United States: Some Answers and Further Questions,” Bank for International Settlements, BIS Papers (12 part 22), 433-443.

19.Mishkin, F. S. (1995), “Symposium on the Monetary Transmission Mechanism,” The Journal of Economic Perspectives, 9(4), 3-10.

20.Morgan, D. P. (1998), “The Credit Effects of Monetary Policy: Evidence Using Loan Commitments,” Journal of Money, Credit and Banking, 30(1), 102-118.

21. Obi, C. P., and Emenogu, A. (2003), “Bank Holding
Company Expansion into Nonbank Functions: Is the Rise in Systematic Risk Rewarded?” Managerial Finance, 29(8), 9-22.

22.Peek, J., and Rosengren, E. (1995), “Bank Regulation and the Credit Crunch,” Journal of Banking and Finance, 19(3), 679-692.

23.Safaei, J., and Cameron, N. E. (2003), “Credit Channel and Credit Shocks in Canadian Macrodynamics-a Structural VAR Approach,” Applied Financial Economics, 13(4), 267-277.

24.Suzuki, T. (2004), “Is the Lending Channel of Monetary Policy Dominant in Australia?” Economic Record, 80(249), 145-156.

25.Templeton, W. K., and Severiens, J. T. (1992), “The Effect of Nonbank Diversification on Bank Holding Company Risk,” Quarterly Journal of Business and Economics, 31(4), 3-17.

26.Thakor, A. V. (1996), “Capital Requirements, Monetary Policy, and Aggregate Bank Lending: Theory and Empirical Evidence,” Journal of Finance, 51(1), 279-324.

27.Van den Heuvel, S. J. (2002), “The Bank Capital Channel of Monetary Policy,” The Wharton School, University of Pennsylvania, mimeo.

二、中文部分

1.吳中書、陳建福（2010）， 「台灣信用管道之探討」，《台灣經濟預測與政策》，第41卷1期，頁121-153。
2.吳懿娟（2004）， 「我國貨幣政策傳遞機制之實證分析」，《中央銀行季刊》，第26卷4期。

3.汪建南、李光輝（2004）， 「我國貨幣政策操作及傳遞機制之實證分析─兼論銀行信用管道與股票價格管道」，《中央銀行季刊》，第26卷3期。

4.張瑞娟、欉清全、吳杰聰（2010）， 「台灣貨幣政策與銀行信用之非對稱性效果─動態縱橫資料分析」，《經濟與管理論叢》，第6卷2期，頁229-246。

5.馮立功（2009）， 「貨幣政策傳遞機制之信用管道─來自臺灣股市證據」，第十屆全國實證經濟學論文研討會。

6.賴惠子（2002）， 「台灣地區貨幣政策信用傳遞管道之探討」，《經濟研究》，第38卷1期，頁57-95。		zh_TW