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題名 貨幣政策中之信用管道：以台灣為例
The credit channel of monetary policy: evidence from Taiwan
作者 王安中
貢獻者 朱美麗
王安中
關鍵詞 Credit channel
Monetary policy
Interest rates
日期 2010
上傳時間 5-Sep-2013 14:19:06 (UTC+8)
摘要 The credit market is an important subject in today’s macroeconomic world. Prior to the introduction of the credit market, traditional models only included the goods market and money market to form the IS-LM model. Under this IS-LM model, a change in money supply would have a known effect, such as a monetary expansion policy will result in a drop in the bond rate because the IS curve will remain constant. However, many previous studies did not show this effect, but instead the opposite; those that did show this effect, the magnitude of the shift was different than a traditional IS-LM model. Once the credit market is introduced into the IS-LM model, both the goods market (IS curve) and the money market (LM curve) will shift, resulting in an undetermined change in bond rate, and will also introduce the loan rate, which also shows an undetermined change. Under this model, when a monetary expansionary policy is in effect, it is possible that the bond rate could decrease, increase, or remain constant. This thesis will determine how the credit channel operates in Taiwan, using quarterly data from 1992Q1 to 2009Q4. The final result shows that under this new model, the credit channel in Taiwan does not necessarily follow the previously-known theory.
參考文獻 Bernanke, Ben and Alan Blinder, “Credit, Money, and Aggregate Demand.” American Economic Review, May 1988. Vol. 78, 435-439.
Bernanke, Ben and Alan Blinder, “The Federal Funds Rate and the Channels of Monetary Transmission.” American Economic Review, Sept. 1992. Vol. 82, No. 4, 901-921.
Bernanke, Ben and Mark Gertler, “Inside the Black Box: The Credit Channel of Monetary Policy.” Journal of Economic Perspective, Autumn 1995. Vol. 9, No. 4. 27-48.
Cottarelli, Carlo and Angeliki Kourelis. “Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy.” International Monetary Fund Staff Papers, Dec. 1994. Vol. 41, No. 4. 587-623.
De Bondt, G.J., 2000. “Financial Structure and Monetary Transmission in Europe.” Edward Elgar, Cheltenham, UK.
Hannan, Timothy H. and Allen N. Berger. “The Rigidity of Prices: Evidence from the Banking Industry.” American Economic Review, Sept. 1991. Vol. 81, No. 4. 938-945.
Holtemoller, Oliver, “Further VAR Evidence for the Effectiveness of a Credit Channel in Germany.” Applied Economics Quarterly 49, 2003. Vol. 4, 359–381.
Hulsewig, Oliver and Eric Mayer, Timo Wollmerhauser, “Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses.” Journal of Banking and Finance, 2006. Vol. 30, 2893-2910.
Klein, Michael A., “A Theory of the Banking Firm.” Journal of Money, Credit, and Banking, May 1971. 205-218.
Litterman, Robert B. and Laurence Weiss, "Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data," Econometrica, January 1985, Vol. 53, 129-156.
McCallum, Bennett T., "A Reconsideration of Sims` Evidence Concerning
26
Monetarism," Economics Letters, 1983, Vol. 13 (2-3), 167-171.
Sims, Christopher, "Macroeconomics and Reality," Econometrica, January 1980. Vol. 48, 1-48.
何棟欽，2001年九月，「我國新台幣拆款利率與存、放款利率之關係」。中央銀行季刊，第二十三卷第三期。
吳中書，陳立修，2004，「台灣總體經濟信用管道之探討」。2004年亞太地區域研討會。
Data Sources
Paper Sources
準備貨幣（月底數）(1993) “中華民國台灣地區金融統計月報” 民國八十三年一月, 中央銀行經濟研究處, March 2010.
準備貨幣（月底數）(1994) “中華民國台灣地區金融統計月報” 民國八十四年一月, 中央銀行經濟研究處, March 2010.
準備貨幣（月底數）(1995) “中華民國台灣地區金融統計月報” 民國八十五年一月, 中央銀行經濟研究處, March 2010.
準備貨幣（月底數）(1996) “中華民國台灣地區金融統計月報” 民國八十六年一月, 中央銀行經濟研究處, March 2010.
準備貨幣（月底數） (1997) “中華民國台灣地區金融統計月報” 民國八十七年一月. 中央銀行經濟研究處, March 2010.
準備貨幣（月底數） (1998/6) “中華民國台灣地區金融統計月報” 民國八十八年一月. 中央銀行經濟研究處, March 2010.
Electronic Sources
放款利率 (1992-2009), 中央銀行.
27
http://win.dgbas.gov.tw/dgbas03/bs7/calendar/calendar.asp?Page=1&Sel-Org=27&ShrField=ShrItm&KeyWrd=存款利率. [June 2010].
國內生產毛額 (1992-2009), 行政院主計處. http://www.stat.gov.tw/lp.asp?ctNode=2404&CtUnit=1088&BaseDSD=7. [June 2010].
準備貨幣（月底數）(1998/7-2009), 中央銀行經濟研究處. http://win.dgbas.gov.tw/dgbas03/bs7/calendar/calendar.asp?Page=1&Sel- Org=27&ShrField=ShrItm&KeyWrd=準備貨幣. [June 2010]
拆款利率 (1992-2009), 中央銀行. http://win.dgbas.gov.tw/dgbas03/bs7/calendar/calendar.asp?Page=1&Sel- Org=27&ShrField=ShrItm&KeyWrd=拆款利率. [March 2010].
描述 碩士
國立政治大學
經濟學系
97258008
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097258008
資料類型 thesis
dc.contributor.advisor 朱美麗zh_TW
dc.contributor.author (Authors) 王安中zh_TW
dc.creator (作者) 王安中zh_TW
dc.date (日期) 2010en_US
dc.date.accessioned 5-Sep-2013 14:19:06 (UTC+8)-
dc.date.available 5-Sep-2013 14:19:06 (UTC+8)-
dc.date.issued (上傳時間) 5-Sep-2013 14:19:06 (UTC+8)-
dc.identifier (Other Identifiers) G0097258008en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60327-
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) 97258008zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) The credit market is an important subject in today’s macroeconomic world. Prior to the introduction of the credit market, traditional models only included the goods market and money market to form the IS-LM model. Under this IS-LM model, a change in money supply would have a known effect, such as a monetary expansion policy will result in a drop in the bond rate because the IS curve will remain constant. However, many previous studies did not show this effect, but instead the opposite; those that did show this effect, the magnitude of the shift was different than a traditional IS-LM model. Once the credit market is introduced into the IS-LM model, both the goods market (IS curve) and the money market (LM curve) will shift, resulting in an undetermined change in bond rate, and will also introduce the loan rate, which also shows an undetermined change. Under this model, when a monetary expansionary policy is in effect, it is possible that the bond rate could decrease, increase, or remain constant. This thesis will determine how the credit channel operates in Taiwan, using quarterly data from 1992Q1 to 2009Q4. The final result shows that under this new model, the credit channel in Taiwan does not necessarily follow the previously-known theory.en_US
dc.description.tableofcontents Chapter 1: Introduction and Literature Review…..………………………………….……………….. 1
Chapter 2: The Theoretical Model…………………………………………………………………………… 4
2.1: Loan Market.…………………………………………..………………………………………………… 4
2.2: Money Market...……………………………………………………………………………………….. 5
2.3: Good Market…………………………………………………………………………………………….. 5
2.4: The Effect of a Change in Bank Reserves…………………………………………………… 5
2.5: Graphical Representation…………………………………………………………………………. 7
2.5.1: LM Curve……………………………...……………………………………………………….. 7
2.5.2: CC Curve………………………………………………………………………………………… 8
2.5.3: The Effect of Reserve Money Change on Bond Rate…..…………………. 10
2.5.4: The Effect of Reserve Money Change on Loan Rate.……………………… 13
2.6: Summary………………………………………………………………………………………………… 16
Chapter 3: Methodology and Test Results……………………………………………..………………. 17
3.1: Methodology and Data…………………………………………………………..………………. 17
3.2: Test Results…………………………………………………………………………..………………… 20
3.2.1: VAR Setup………………………………………………………………..………………….. 20
3.2.2: Effect on MONEYRATE…………………………………………………………………. 20
3.2.3: Effect on GDPSA…………………………………………………………………………… 20
3.2.4: Effect on INTEREST……………………………………………………………………….. 21
3.2.5: Considering 1997 Asian Financial Crisis and 2008 Global Financial Crisis………………………………………………………………………………………………………. 21
3.3: Summary…………………………………………………………………………..……………………. 21
Chapter 4: Conclusion……………………………………………………………..……………………………. 24
References…………………………………………………………………………..………………………………… 25
Data Sources………..……………………………………………………………………………………………….. 26
Appendix…………………………………………………………………….…………………………………………. 28		zh_TW
dc.format.extent 571601 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097258008en_US
dc.subject (關鍵詞) Credit channelen_US
dc.subject (關鍵詞) Monetary policyen_US
dc.subject (關鍵詞) Interest ratesen_US
dc.title (題名) 貨幣政策中之信用管道：以台灣為例zh_TW
dc.title (題名) The credit channel of monetary policy: evidence from Taiwanen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Bernanke, Ben and Alan Blinder, “Credit, Money, and Aggregate Demand.” American Economic Review, May 1988. Vol. 78, 435-439.
Bernanke, Ben and Alan Blinder, “The Federal Funds Rate and the Channels of Monetary Transmission.” American Economic Review, Sept. 1992. Vol. 82, No. 4, 901-921.
Bernanke, Ben and Mark Gertler, “Inside the Black Box: The Credit Channel of Monetary Policy.” Journal of Economic Perspective, Autumn 1995. Vol. 9, No. 4. 27-48.
Cottarelli, Carlo and Angeliki Kourelis. “Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy.” International Monetary Fund Staff Papers, Dec. 1994. Vol. 41, No. 4. 587-623.
De Bondt, G.J., 2000. “Financial Structure and Monetary Transmission in Europe.” Edward Elgar, Cheltenham, UK.
Hannan, Timothy H. and Allen N. Berger. “The Rigidity of Prices: Evidence from the Banking Industry.” American Economic Review, Sept. 1991. Vol. 81, No. 4. 938-945.
Holtemoller, Oliver, “Further VAR Evidence for the Effectiveness of a Credit Channel in Germany.” Applied Economics Quarterly 49, 2003. Vol. 4, 359–381.
Hulsewig, Oliver and Eric Mayer, Timo Wollmerhauser, “Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses.” Journal of Banking and Finance, 2006. Vol. 30, 2893-2910.
Klein, Michael A., “A Theory of the Banking Firm.” Journal of Money, Credit, and Banking, May 1971. 205-218.
Litterman, Robert B. and Laurence Weiss, "Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data," Econometrica, January 1985, Vol. 53, 129-156.
McCallum, Bennett T., "A Reconsideration of Sims` Evidence Concerning
26
Monetarism," Economics Letters, 1983, Vol. 13 (2-3), 167-171.
Sims, Christopher, "Macroeconomics and Reality," Econometrica, January 1980. Vol. 48, 1-48.
何棟欽，2001年九月，「我國新台幣拆款利率與存、放款利率之關係」。中央銀行季刊，第二十三卷第三期。
吳中書，陳立修，2004，「台灣總體經濟信用管道之探討」。2004年亞太地區域研討會。
Data Sources
Paper Sources
準備貨幣（月底數）(1993) “中華民國台灣地區金融統計月報” 民國八十三年一月, 中央銀行經濟研究處, March 2010.
準備貨幣（月底數）(1994) “中華民國台灣地區金融統計月報” 民國八十四年一月, 中央銀行經濟研究處, March 2010.
準備貨幣（月底數）(1995) “中華民國台灣地區金融統計月報” 民國八十五年一月, 中央銀行經濟研究處, March 2010.
準備貨幣（月底數）(1996) “中華民國台灣地區金融統計月報” 民國八十六年一月, 中央銀行經濟研究處, March 2010.
準備貨幣（月底數） (1997) “中華民國台灣地區金融統計月報” 民國八十七年一月. 中央銀行經濟研究處, March 2010.
準備貨幣（月底數） (1998/6) “中華民國台灣地區金融統計月報” 民國八十八年一月. 中央銀行經濟研究處, March 2010.
Electronic Sources
放款利率 (1992-2009), 中央銀行.
27
http://win.dgbas.gov.tw/dgbas03/bs7/calendar/calendar.asp?Page=1&Sel-Org=27&ShrField=ShrItm&KeyWrd=存款利率. [June 2010].
國內生產毛額 (1992-2009), 行政院主計處. http://www.stat.gov.tw/lp.asp?ctNode=2404&CtUnit=1088&BaseDSD=7. [June 2010].
準備貨幣（月底數）(1998/7-2009), 中央銀行經濟研究處. http://win.dgbas.gov.tw/dgbas03/bs7/calendar/calendar.asp?Page=1&Sel- Org=27&ShrField=ShrItm&KeyWrd=準備貨幣. [June 2010]
拆款利率 (1992-2009), 中央銀行. http://win.dgbas.gov.tw/dgbas03/bs7/calendar/calendar.asp?Page=1&Sel- Org=27&ShrField=ShrItm&KeyWrd=拆款利率. [March 2010].		zh_TW