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研究生:李建龍
研究生(外文):CHIEN-LUNG LI
論文名稱:利率對廠商投資與負債影響之實證分析
論文名稱(外文):Interest rate, firm investment and debt: Empirical analysis for Taiwan's public-listed Electronic firms
指導教授:呂文正呂文正引用關係
指導教授(外文):WEN-CHENG LU
學位類別:碩士
校院名稱:真理大學
系所名稱:財經研究所
學門:商業及管理學門
學類:一般商業學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:43
中文關鍵詞:向量自我迴歸貨幣政策銀行借貸管道
外文關鍵詞:vector auto regressionmonetary policybank lending channel
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本篇文章旨在討論銀行借貸管道對廠商投資與負債之影響分析,利用台灣的電子業上市(櫃)公司,樣本期間取自1990年第三季開始至2006年第二季為止這段期間的台灣電子業上市(櫃)公司(取其中269家)之長短期投資與負債,探討銀行借貸管道對廠商投資與負債之影響,文章中選定重貼現率與隔夜拆款利率做為貨幣政策工具,並且對所有廠商的員工人數做排序,在分配的前百分之二十五為小廠商,後百分之二十五為大廠商,分別探討其長短期投資與負債是否會受到貨幣政策的衝擊而有所影響。
實證結果顯示隔夜拆款利率與重貼現率,對大小廠商的長短期投資與負債之影響,對短期的投資與負債,皆有減緩的趨勢,而對長期的投資與負債較無明確顯示。此結果正如,貨幣政策對實質經濟活動產生短期的影響效果,已普遍獲得共識,且在實證研究上學者們亦多支持Friedman and Schwartz(1963)的發現,即貨幣政策變動將造成實質產出二年以上之變動 [ Romer and Romer (1989) ;Bernanke and Blinder (1992)]實證結果也顯示,隔夜拆款利率對廠商的影響,比重貼現率對廠商的影響效果要來的大,此現象正與Bernanke and Blinder (1992) 發現聯邦資金利率(federal funds rate)是良好的貨幣政策指標,似乎不謀而合。
The purpose of this paper is to shed light on the relationship between interest rate, investment and debt. The data are derived from the Taiwan Economic Journal (TEJ) database from 1990 Ⅲ to 2006 Ⅱ, including 269 publicly-trade companies in Taiwan Electronic industry. We divide firm investments and debt into long-run and short-run variables. Monetary policy may affect firm’s investments and debt through the change of interest rate by bank channel. We use interbank call loan rate and the discount rate as monetary policy tools, and divide firms into large firms and small firms by employees. The empirical results show that the interbank call loan rate and the discount rate make the short-run investment and debt slow-down tendency but they don’t have obviously effect on the long-run investment and debt. In this paper, our conclusions show monetary policy has significant effect to short-run investment and debt. According to the study of Friedman and Schwartz (1963), monetary brings substantial influence on real economic activity. Many researchers(Romer and Romer (1989);Bernanke and Blinder (1992)) argue that the influence of monetary policy persisted for 2 years. The major points that emerge from this paper are different monetary policy tool will make different effect on firm investment and debt. In other words, the interbank call loan rate has greater effect than discount rate. In contrast, the long-run effect of interest rate movement is more ambiguous. Central Bank may have many economic goals in the long-run and there is limited support for the pattern of long-run relation between interest rate, investment and debt.
目 錄
第一章 緒論
第一節 研究背景及動機.........................................1
第二節 研究架構..............................................3
第二章 文獻回顧
第一節 貨幣政策的效果.........................................5
第二節 貨幣市場工具的影響.....................................6
第三節 利率對投資影響的相關理論................................7
第四節 利率對負債影響的相關理論................................9
第三章 研究方法
第一節 資料來源........................................13
第二節 實證步驟........................................15
第三節 最適落後期數的選取................................16
第四節 數列恆定性檢定...................................16
第五節 共整合檢定.......................................17
第六節 Granger因果檢定模型..............................20
第七節 衝擊反應分析.....................................21
第四章 實證結果分析
第一節 單根檢定.........................................23
第二節 共整合檢定.......................................24
第三節 因果關係檢定.....................................28
第四節 VAR、VEC與衝擊反應...............................29
第五章 結論
第一節 結論與建議.......................................38
第二節 研究限制.........................................39
參考文獻....................................................41
參考文獻
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