臺灣博碩士論文加值系統

在真實環境下，銀行的流動性創造與經濟成長具有密切相關性。銀行的流動性創造能力扮演了刺激經濟成長的重要角色。然而彼此之間的因果關係的探討卻少被提及。過去的文獻指出流動性創造在金融危機發生的前有極明顯的變動。然而銀行可能會受到景氣的好壞狀況影響其放款意願。因此本研究探討銀行流動性創造與經濟成長間彼此的領先與落後關係。本文利用Granger causality 檢測10個已開發國家的商業銀行其1994年至2006年總和流動性創造與經濟成長之間的關係。研究結果指出10個研究對象中並未有完全一致的結果。在西班牙中，經濟成長為領先因子；法國、紐西蘭與美國則發現有回饋效果的情形。進一步研究大銀行流動性創造與經濟成長的關係則發現與前述採用全部銀行流動性創造所做出的結果一致。

In the real world, the liquidity creation from the bank is closely related to the economic growth. Liquidity creation from the bank plays an important role on stimulating economic growth. However, the causality between liquidity creation and economic growth is an unclear issue. Existing literatures indicate the liquidity creation may change dramatically before financing crisis. Yet, the bank might be more willing to lend money to firms during the higher growth than lower growth. Furthermore, we test the lead and lag relationship between liquidity creation and economic growth. The results show that GDP is a leading factor to bank liquidity creation in Spain. And there is a feedback effect in France, New Zealand and USA. When we test the Granger causality relationship between large bank liquidity creation and GDP, the result is consistent.

LIST OF TABLES iii
LIST OF FIGURES iv
致謝 v
Abstract vi
中文摘要 vii
Chapter 1 Introduction 1
1.1 Background and Motivations 1
1.2 The Purposes and Major Findings 3
1.3 Research Framework 4
Chapter 2 Literature Review 5
2.1 Liquidity Definitions 5
2.2 Measurement of Bank Liquidity Creation 5
2.3 Relationship between Liquidity Creation, and Economic Growth 6
Chapter 3 Variable and Sample Description 9
3.1 Sample Description 9
3.2Variable Definition 9
Chapter 4 Methodologies 12
4.1 Unit root test 12
4.2 Granger Causality test 13
4.3.1 Co-integration test 14
4.4 VAR/VEC Model 16
Chapter 5 Empirical Results 17
5.1 Unit root test 17
5.2 Co-integration test 18
5.3 Granger Causality test 19
5.3.1 ALLC and GDP 20
5.3.2 LLC and GDP 21
5.3.3 SLC and GDP 22
5.3.4 LLC Granger Cause SLC? 23
Chapter 6 Conclusions 24
6.1 Research Conclusions 24
6.2 Limitations and Future Research 26
References 27

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