臺灣博碩士論文加值系統

逾放比是觀察銀行業經營穩定與否的關鍵指標。逾放比過高會影響金融穩定與安全。本文探討總體經濟變數對台灣地區本國銀行及外國銀行逾放比的影響，利用2004年6月至2008年8月份共51筆月資料觀測值，透過單根檢定、共整合檢定、向量誤差修正、因果關係檢定、變異數分析與衝擊反應分析等統計方法進行實證研究，結果發現：1.本國銀行逾放比或外國銀行逾放比皆與總體經濟變數存在共整合關係。2.本國銀行逾放比具有單向領先消費者貸款變化與貨幣供給額的因果關係；外國銀行逾放比則具有單向領先景氣領先指標與股價指數的因果關係，且與通貨膨脹率具有雙向回饋的因果關係。3.消費者貸款對本國銀行逾放比的衝擊屬於持續性的負向反應，對外國銀行逾放比的衝擊在10期以後由負向略轉為正向反應；通貨膨脹率和貨幣供給額對本國銀行逾放比或外國銀行逾放比的衝擊均為正向反應，隨期數增加而減緩；景氣領先指標綜合指數對本國銀行逾放比衝擊為負向反應；對外國銀行逾放比在第8期以後由負向轉為正向反應；失業率對本國銀行逾放比為持續性正向反應，但對外國銀行逾放比的衝擊則呈現持續性負向反應。股價指數對本國銀行逾放比的衝擊為持續性負向反應，對外國銀行逾放比的衝擊為持續性正向反應。

Non-performing loan ratio is a key index for examining the business stability of bank sector, and high non-performing loan ratio will threaten financial strength and reliability. Due to the importance of this issue, this research will discuss the influence of macro economic factors on the non-performing loan ratio of local banks and foreign banks in Taiwan via investigating the data between June 2004 to August 2008. An empirical study is conducted through Unit Root Test, Co-integration Test, Vector Error Correction Model, Granger Causality Test, Variation Analysis and Impulse Response Analysis. There are three major findings in this research. First, the non-performing loan ratio of the local or foreign banks is co-integrated with the macro economic factors in Taiwan. Second, the non-performing loan ratio of local banks shows in a uni-directional way the relationship between customer loan and money supply, while that of foreign banks shows also in a uni-directional way the relationship leading indicator and stock prices and it is interrelated with inflation rate. Third, the impact of customer loan upon the non-performing loan ratio for the local banks is constantly negative, but for the foreign banks, the impact switches from negative to positive after a short period of time. It is also found that, the impact of the inflation rate and money supply on the non-performing ratio is positive for both the local and foreign banks. The leading indicate has negative impact on the non-performing ratio for the local banks, but for the foreign banks, the impact turns from negative to positive after a short period of time. The unemployment rate has constant positive responses on the non-performing ratio of the local banks, but has constant negative responses on that of the foreign banks. On the contrary, stock price index has constant negative responses on the non-performing ratio of the local banks, but has constant positive responses on that of the foreign banks.

目錄
中文摘要--------------------------------------------------i
英文摘要-----------------------------------------ii
學位論文考試審定書------------------------------------- iii
誌謝---------------------------------------------------- iv
目錄------------------------------------------------v
表目錄---------------------------------------------------vi
圖目錄-----------------------------------------------vii
第壹章 緒論-----------------------------------------------1
第一節 研究背景----------------------------------------1
第二節 研究動機-----------------------------------5
第三節 研究目的---------------------------------6
第四節 研究架構-----------------------------------7
第貳章 文獻探討與回顧-------------------------------------9
第一節 逾期放款比率之定義----------------------------9
第二節 銀行逾放比率與總體經濟因素相關之文獻探討-------10
第参章 研究方法------------------------------------------14
第一節 單根檢定----------------------------------------14
第二節 共整合檢定------------------------------------16
第三節 向量誤差修正----------------------------------18
第四節 因果關係檢定----------------------------18
第五節 變異數分解--------------------------------19
第六節 衝擊反應分析----------------------------------21
第肆章 實證結果與分析------------------------------------22
第一節 資料來源與變數說明------------------------22
第二節 單根檢定分析結果------------------------------31
第三節 共整合檢定分析結果----------------------------35
第四節 誤差修正模型檢定分析結果-----------------------38
第五節 因果關係分析結果---------------------------42
第六節 變異數分解分析結果-----------------------------44
第七節 衝擊反應分析結果----------------------------------49
第伍章 結論與建議---------------------------------------55
第一節 結論--------------------------------------------55
第二節 建議----------------------------------------------56
參考文獻------------------------------------------ 57

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