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研究生:張嘉珍
研究生(外文):Chia-Chen Chang
論文名稱:銀行最適準備金管理之實證研究
論文名稱(外文):An experiment investigation of Taiwan''s bank reserve management behavior
指導教授:周麗娟周麗娟引用關係陳勝源陳勝源引用關係
指導教授(外文):Li-Chuan ChouShen-Yuan Chen
學位類別:碩士
校院名稱:銘傳大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
中文關鍵詞:主題編目分類法準備金管理縱橫資料
外文關鍵詞:reserve managementpanel data
相關次數:
  • 被引用被引用:5
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本研究依據Miller和Orr(1966)現金餘額管理模型,和Frenkel和Jovanovic(1981)之國際準備管理實證模型架構,採用縱橫資料(panel data)之固定效果模型(fixed effects model)和隨機效果模型(random effects model)主要以銀行業準備金之波動度和利率水準兩變數,並考慮總資產和季營收等控制變數,分析我國銀行業之超額準備管理行為。
實證結果發現,銀行所面臨之提存不確定性越高,銀行提存超額準備亦會增加;以各銀行之淨利率邊際,作為資金成本的利率指標時,在舊銀行或新銀行之實證結果皆發現,淨利率邊際並不顯著影響銀行超額準備管理行為。另外,探討規模變數是否影響銀行超額準備提列行為,結果發現舊銀行超額準備與規模變數有較顯著負向關係,顯示舊銀行之總資產或季營收越大者,傾向降低超額準備;但規模變數並不顯著影響新銀行超額準備提列行為。
An experiment into the bank reserve management, using the Miller-Orr (1966) model and Frenkel-Jovanovic (1981) empirical model to examine the effects from the variability measure and interest level. This empirical result, based on 38 examples of Taiwan banks for the period of April 1994 to November 2001, shows that the variability of excess reserve significantly and positively influences the excess reserve amount, in other words, the stock of excess reserves depends positively on the fluctuation in external transactions. Moreover, we adopt NIM (net interest margin) to represent bank’s interest level, but different from the result of Frenkel-Jovanovic (1981) empirical model, NIM does not significantly affect the excess reserve. However, when dividing total banks into two parts, old and new banks, and introducing scale variables into our model, it indicates that total assets or operating income significantly and positively influence old banks’ excess reserve, but not significantly influence new banks'' excess reserve.
目 錄
頁次
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......................................... 5
第二章 文獻探討與制度介紹..................................6
第一節 我國存款準備提存制度與同業拆款市場現狀............6
第二節 國外相關文獻.....................................17
第三節 國內相關文獻.....................................18
第三章 理論模型...........................................21
第一節 Baumol(1952)存貨管理模型.......................21
第二節 Miller和Orr(1966)現金餘額模型..................24
第四章 研究方法...........................................28
第一節 研究流程.........................................28
第二節 研究樣本及資料來源...............................30
第三節 實證模型.........................................32
第四節 實證設計與變數定義...............................40
第五章 實證研究...........................................46
第一節 樣本敘述統計.....................................46
第二節 實證結果分析.....................................49
第六章 結論與建議.........................................58
第一節 結論.............................................58
第二節 建議.............................................59
第三節 研究限制.........................................60
參考文獻...................................................61
【中文部分】
中央銀行,「金融業務統計輯要」。
何瑞坤譯,民國六十六年六月,「貨幣理論與政策」,幼獅文化事業,第185頁至196頁。
李瑋琪,民國八十六年,「存款準備金制度與拆款市場價量關係之研究」,國立中央大學財務管理研究所碩士論文。
房婉縈,民國八十年,「同業拆款利率資訊內容之研究」,國立台灣大學財務金融研究所碩士論文。
胡裕翔譯,民國七十五年十一月,「短期資金運作與管理」,清華管理科學圖書中心,第245頁至250頁。
徐桂華,民國八十四年,「金融業拆款利率波動原因之探討與實證-結構化向量自我迴歸實證研究」,國立台灣大學財務金融研究所碩士論文。
陳又慈,民國九十年,「我國境外金融中心經營與績效之研究」,中原大學企業管理研究所碩士論文。
黃志典,民國八十五年七月,「我國、美國及日本拆款市場之比較」,台灣經濟金融月刊,第三十二卷第五期,第1頁至第10頁。
黃愛華,民國九十年,「好銀行保證有好公司嗎?-全球實證分析」,東吳企業管理研究所碩士論文。
曾正權,民國八十年,「商業銀行資產組合之研究--台灣地區實證」,交通大學管理科學研究所碩士論文。
鄭又慈,民國八十六年,「我國最適存款準備問題之研究」,中山大學財務管理研究所碩士論文。
楊佩玉,民國八十二年,「存款準備金管制對銀行資產組合與風險之影響」,中山大學財務管理研究所碩士論文。
蘇詠智,民國八十五年,「台灣隔夜拆款利率之變異性與指標性之研究」,台灣大學財務金融研究所碩士論文。
【英文部分】
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Clouse, James A., and James P. Dow Jr., 1999, “Fixed costs and the behavior of the federal funds rate.”, Journal of Banking and Finance 23, 1015-1029.
Cox, John C., and Stephen A. Ross, 1976, “The valuation of options for alternative stochastic processes.” Journal of Financial Economics 3, 145-166.
Dixit, Avinash, 1989, “Entry and exit decisions under uncertainty.” Journal of Political Economy 97, 620-638.
Dixit, Avinash, 1989, “Hysteresis, import penetration, and exchange rate pass-through.” The Quarterly Journal of Economics, 205-228.
Dixit, Avinash, 1991, “A simplified treatment of the theory of optimal regulation of Brownian motion.”, Journal of Economics and Control 15, 657-685.
Evanoff, Douglas D., 1990, “An empirical examination of bank reserve management behavior.”, Journal of Banking and Finance 14, 131-143.
Frenkel, Jacob A., and Boyan Jovanovic, 1981, “Optimal international reserves: A stochastic framework.”, The Economic Journal 91,507-514.
Furfine, Craig H., 2000, “Interbank payments and the daily federal funds rate.” Journal of Monetary Economics 46, 535-553.
Furfine, Craig H., 2001, “Banks as monitors of other banks: Evidence from theovernight Federal funds market.”, Journal of Business 74, 33-57.
Giorgio, Giorgio Di, 1999, ”Financial development and reserve requirements.”, Journal of Banking and Finance 23, 1031-1041.
Griffiths, Mark D., and Drew B. Winters, 1995, “Day-of —the-week effects in federal funds rates: Further empirical findings.”, Journal of Banking and Finance 19,1265-1284.
Hamada, Koichi, and Kazuo Ueda, 1977, “Random walk and the theory of the optimal international reserves.”, The Economic Journal 87, 722-742.
Hamilton James D., 1996, “The daily market for Federal funds.”, Journal of Political Economy 104, 26-56.
Harrison, J. Michael, and Michael I. Taksar, 1983, "Instantaneous control of Brownian motion.”, Mathematics of Operations Research 8, 439-453.
Harrison, J. Michael, Thomas M. Sellke, and Allison J. Taylor, 1983, “Impulse control of Brownian motion.”, Mathematics of Operations Research 8, 454-466.
Hausman, A. Jerry, and David A. Wise, 1978, ”A conditional profit model for qualitative choice: discrete decisions recognizing interdependence and heterogeneous preferences. “, Econometrica 46, No.2, 403-426.
IM, Joon-Hwan, 2001, “Optimal currency target zones: how wide should exchange rate bands be?”, International Economic Journal 15, 61-93.
Jess, Beltz, and Murray Frank, 1996, “ Risk and Corporate Holdings of Highly Liquid Assets.”, working paper.
Jung, Chulho, 1995, “Optimal management of international reserves.”, Journal of Macroeconomics 17, 601-621.
Miller, Merton H., and Daniel Orr, 1966, “A model of the demand for money by firms.”, Quarterly Journal of Economics 80, 413-435.
Mundaca, Gabriela, and Bernt Oksendal, 1998, “Optimal stochastic intervention control with application to the exchange rate.”, Journal of Mathematical Economics 29, 225-243.
Pindyck, Robert S., 1988, “Irreversible investment, capacity choice, and the value of the firm.”, American Economic Review 78, 969-985.
Samanta, Subarna K, and Ali H. Mohamad-Zadeh, 1992, “Bank’s portfolio management under uncertainty.”, The American Economist 36, 30-38.
Spindt Paul A., and J. Ronald Hoffmeister, 1988, “The Micromechanics of the Federal funds market: Implications for day-of-the-week effects in funds rate variability.”, Journal of Financial and Quantitative Analysis 23, 401-416.
VanHoose, David D., and David B. Humphrey, 2001, “Sweep accounts, reserve management, and interest rate volatility.”, Journal of Economics and Business 53, 387-404.
Vickson, R. G., 1985, “Simple optimal policy for cash management: The average balance requirement case.” Journal of Financial and Quantitative Analysis 20, 353-369.
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