臺灣博碩士論文加值系統

本研究將台灣央行所編製的金融性資產負債餘額表作為研究的主要對象，首先對於金融性資產負債餘額表的細項比重作分析比較，觀察細項比重是否隨著時代的變遷而有所不同，再將家庭及非營利團體部門淨資產與民營企業部門淨資產作為代理變數，以兩個VAR模型測試金融性資產負債餘額表在模型是否具有通道效應，最後建構一個SVAR模型探討代理變數與經濟活動之間的作用關係；資料期間為1982年至2009年，資料頻率為季資料，資料樣本數為112筆。
研究發現隨著社會結構的改變，會反應在資產的細項比重上，社會高齡化的影響最為明顯可見；當VAR模型考慮了金融性資產負債餘額表的代理變數後，衝擊反應的幅度也有所修正，證明確實存在著通道效應；家庭及非營利團體部門淨資產的增加對於經濟活動有著推升的效果，但是民營企業部門淨資產的增加則未必有助於經濟活動，甚至是個負面的訊息。

This study examines Taiwan's Financial Assets-Liabilities Balance Sheet of central bank. First of all, compared the details of Financial Assets-Liabilities Balance Sheet and observed the trend of time. Then, jointed net assets of household and nonprofit institutions and net assets of private enterprises as variables, and used VAR model to examine whether channel effect of Financial Assets-Liabilities Balance Sheet. Finally, we demonstrated SVAR model to analyze the relationship between proxy variables and economic activities. The samples are analyzed for the period of 1982 to 2009. This research uses seasonal data and 112 samples.
From the results show that social structure changed will affect the weight at details of assets and mostly in aging society. When VAR model jointed the Financial Assets-Liabilities Balance Sheet as variables, the range of impact effect is adjusted and shows that channel effect is existed. Increased net assets of household and nonprofit institutions also have positive effect to rise in economic activities. However, increased net assets of private enterprises do not rise in economic activities and even though is negative information.

謝誌 I
論文摘要 II
Abstract III
目錄 IV
表次 VI
圖次 VIII
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻回顧 6
第一節 資產負債表相關文獻 6
第二節 SVAR模型相關研究 9
第三章 研究方法 11
第一節 依時拆分 11
第二節 單根檢定 15
第三節 最適落後期數之選取準則 20
第四節 向量自我迴歸模型 21
第五節 結構式向量自我迴歸模型 24
第四章 研究結果與分析 27
第一節 資料來源、樣本期間與變數處理 27
第二節 台灣金融性資產負債餘額表分析 29
第三節 依時拆分結果 37
第四節 變數敘述統計 39
第五節 向量自我迴歸模型 41
第六節 結構式向量自我迴歸模型 55
第五章 結論 67
參考文獻 68
附錄 71

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