臺灣博碩士論文加值系統

本研究是探討短、中及長期利率之不對稱調整機制。文中樣本取至台灣經濟新報TEJ+資料庫，以月資料為分析頻率，採取ADF單根檢定、Johansen共整合檢定、門檻共整合檢定及門檻向量誤差修正模型等，來探討本文之研究目的。
經實證結果發現﹕短、中、長期利率皆為一階整合非定態數列，且透過迴歸分析，得知零售利率對貨幣市場利率(同業拆款利率)之改變是存在不完全轉嫁的加碼定價機制；且存款的期間越長，轉嫁程度就越大。甚且，當引入通膨率當作門檻變數來考量利率之不對稱調整現象時，本文發現﹕一個月、三個月、六個月、九個月、二年定期儲蓄及三年定期儲蓄存款利率，其與貨幣市場利率(同業拆款利率)是存在不對稱（門檻）共整合關係。並且短、中期利率會呈現向上僵固性，而極短期(一個月定存)與長期(三年定期儲蓄存款利率)則會呈現向下僵固性。

This study investigates of asymmetric adjustment of retail interest rates in short, medium and long terms take Taiwan area as example. The samples of this paper taken from the Taiwan Economic Report database, by monthly frequency data for the analysis, were used by ADF unit root test, Johansen co-integration test, Threshold co-integration test and Error-correction model, and so on for the purpose of this study. The empirical results show that all interest rates are integrated of order one non-steady state.
Using the regression analysis and finding that retail interest rates respond from money market-call loan existence the presence of not complete pass-through of mark-up pricing mechanisms; and the longer the period of the deposit, the pass –through of degree greater. When adding the inflation rate as a threshold variable to consider the phenomenon of asymmetric interest rate in adjustment, we find that one month, three months, six months, nine months, 2 Yr. time save deposit and 3 Yr. time save deposit with money market-call loan are asymmetric (threshold) co-integration each other. And the short, medium rates will showed up, while very short-term (1 month time deposit) and long-term (3 Yr. time save deposit) will present downward.

目錄
目錄????????????????????????????????i

第一章 緒論???????????????????????????1
第一節 研究背景及動機????????????????????1
第二節 研究目的????????????????????????4
第三節 研究範圍與限制????????????????????5
第四節 研究流程????????????????????????5

第二章 理論探討與文獻回顧?????????????????7
第一節 利率轉嫁回顧相關文獻????????????????7
第二節 通膨門檻模型回顧相關文獻?????????????13

第三章 研究方法 ???????????????????????17
第一節 單根檢定 ???????????????????????18
第二節 共整合檢定??????????????????????18
第三節 門檻共整合模型???????????????????19
第四節 門檻誤差修正模型??????????????????20

第四章 實證結果???????????????????????22
第一節 資料來源和變數定義????????????????22
第二節 樣本特性???????????????????????23
第三節 單根檢定實證結果??????????????????24
第四節 對稱共整合檢定實證結果??????????????25
第五節 利率轉嫁機制之檢測?????????????????25
第六節 以誤差修正項為門檻變數
之門檻共整合模型實證結果???????????? 26
第七節 以通膨率為門檻變數之門檻
及衝量門檻共整合模型檢測?????????????27
第八節 門檻誤差修正模型之參數估計……………………28

第五章 結論與建議…………………………………………29
第一節 結論…………………………………………………29
第二節 建議…………………………………………………30

參考文獻 …………………………………………………31

圖目錄
圖1-1 研究架圖………………………………………6
圖3-1 研究方架構圖…………………………………15
圖4-1 台灣不同到期期限存、放款利率平均
與拆款利率的時間走勢圖…………………17
表4-1 變數中英文對照…………………………38
表4-2 短、中、長期利率之樣本特徵………?39
表4-3 ADF單根檢定…………………………?40
表4-4 Johansen共整合檢定…………………41
表4-5 利率加碼與轉嫁參數值………………?42
表4-5-1 轉嫁圖表……………………………?42
表4-6 以誤差修正項為門檻變數
且門檻值設定為0之TAR模型……………43
表4-7 以通膨率為門檻變數之TAR及MTAR模型…………44
表4-8 門檻誤差修正模型參數估計值(未刪版本)……?45
表4-8-1門檻誤差修正模型參數估計值(已刪版本)……?46

參考文獻
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