臺灣博碩士論文加值系統

Most theoretical and empirical literatures have investigated the credit channel of monetary transmission in a closed economy. However, when Taiwan becomes financially more internationalized, little literature can provide economic implication for the credit-channel effect of a monetary policy to the case of Taiwan. Therefore we set up a model with the credit market under an open economy to study the credit channel-effect of monetary policy with the inclusion of foreign assets and debts in the bank’s balance sheet. The main conclusion in our theoretical model is that the effect of a tight monetary policy on bank loans will be reduced in an open economy; furthermore, such effect may make bank loans increase after a contractionary monetary policy. Besides, the empirical evidence also shows that bank loans increase after a contractionary monetary policy with the data of Taiwan.

Chapter 1 Introduction 1
Chapter 2 The Model 7
Chapter 3 Empirical Evidence 12
3.1 Data and Empirical Approach 12
3.2 Empirical Analysis and Results 13
3.2.1 Bank Loans, the Exchange Rate, and the Interest Rate 14
3.2.2 Securities, the Exchange Rate, and the Interest Rate 18
3.2.3 Foreign Assets, the Exchange Rate, and the Interest Rate 20
3.2.4 Foreign Debts, the Exchange Rate, and the Interest Rate 21
Chapter 4 Conclusions 24
References 26

Tables
Table 1 Unit Root Tests 14
Table 2 Residual Misspecification Tests for VAR Models 15
Table 3 Tests for the Number of Cointegrating Vectors 15
Table 4 Coefficient Tests for the Equation of Bank Loans 16
Table 5 Residual Misspecification Tests for VAR Models 18
Table 6 Tests for the Number of Cointegrating Vectors 18
Table 7 Coefficient Tests for the Equation of Securities 19
Table 8 Residual Misspecification Tests for VAR Models 20
Table 9 Tests for the Number of Cointegrating Vectors 20
Table 10 Coefficient Tests for the Equation of Foreign Assets 21
Table 11 Residual Misspecification Tests for VAR Models 22
Table 12 Tests for the Number of Cointegrating Vectors 22
Table 13 Coefficient Tests for the Equation of Foreign Debts 23

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