跳到主要內容

臺灣博碩士論文加值系統

(18.204.48.64) 您好!臺灣時間:2021/08/04 18:48
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:張瓊文
研究生(外文):Chiung-Wen Chang
論文名稱:銀行業存款量與放款量的因果關係非線性互動探討-以T銀行為例
論文名稱(外文):Nonlinear Causal Relationship between the Amounts of Deposit and Lending volumes for Banking Industry - T Bank Evidence
指導教授:聶建中聶建中引用關係林建甫林建甫引用關係
指導教授(外文):Chieh-Chung NiehChien-Fu Lin
口試委員:韋伯韜林景春聶建中
口試日期:2013-06-21
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系碩士在職專班
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:2013
畢業學年度:101
語文別:中文
論文頁數:39
中文關鍵詞:存款量放款量銀行業動差門檻誤差修正模型非對稱長短期因果
外文關鍵詞:depositloanbanking industrymomentum threshold error correction modelasymmetric dynamic causality
相關次數:
  • 被引用被引用:2
  • 點閱點閱:183
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
存款和放款間之利差是「價」的問題,存款量與放款量間之互動是「量」的問題。存款和放款之間的利差,以及存款量與放款量之間的互動,皆是影響著銀行經營獲利的重要因素。本研究自存款量與放款量間之互動的「量」的角度出發,以一般銀行業(T銀行)為案例,探討存款量和放款量的長、短期因果互動關係。研究方法採用Enders and Granger(1998)及Enders and Siklos(2001)所發展的MTAR及MTECM兩階段非線性方法,嘗試以存款與放款兩者的量之間的差異作門檻,來探討在門檻之上和門檻之下,存款量和放款量的非線性非對稱長、短期因果互動關係。
本研究實證結果發現,若考量存款和放款互動間之非對稱門檻關係,不論以放款量或存款量為被解釋變數,存放款兩變數之相互間,於短期中並無任何「領先-落後」的因果關係存在;然而傳統誤差修正模型實證卻發現於短期間,存款量對放款量呈現顯著(1%)之「領先」因果關係。於長期間,非對稱門檻誤差修正模型發現,唯當存款與放款之偏離度較大而超過兩變數之殘差值門檻時,存款量存在著對放款量「領先」的因果關係。據以T銀行為例之研究綜合結果分析,該銀行於短期內當存款量增加或減少時,就會產生放款部門隨之增減其放款量之行為。而於長期間,當存款量與放款量之差異擴大至一定之數額時,放款量因存款量之變化而隨之跟變的情形會容易發生;反之,若存款量與放款量之差異數額不大時,兩者間應是相互獨立而互不「領先-落後」因果影響的。據此以T銀行為例之結果發現,期望能提供政府相關單位在未來設定金融機構利率定價之施政參考,並提供專業金融機構對於存、放之間的控制方針。

The spread between loan and deposit relates the issue of price, whereas the interrelationship between the amounts of loan and deposit is the issue of volume. Both issues are key factors affecting the performance of bank operation. Concerning the volume issue, this study uses T-bank as sample for proxy for the general banking industry to investigate the long run and short run dynamic relationship between the amounts of loan and deposit. The methodologies include MTAR and MTECM elaborated by Enders and Granger (1998) and Enders and Siklos (2001), which are employed for the nonlinear asymmetric threshold cointegration and long run and short run dynamic Granger causality tests for the amounts of loan and deposit.
The empirical finding shows that not any ‘lead-lag’ causal relation found in the short run when considering the asymmetric threshold effect. However, the uni-directional short run causal relation from the amount of deposit to the amount of loan (at the 1% significant level) exists in the ECM modeling. For the long run relationship, the amount of deposit also leads the amount of loan when the previous disequilibrium between them is too large and over a threshold level. The overall analyses by T-bank evidence illustrate that increasing and decreasing of the amount of deposit in T-bank will affect the amount of loan of T-bank during the short run and the long run when the amounts of deposit and loan depart too far. However, the amounts of deposit and loan are mutual independent when they are getting closer. Our finding hopefully can offer good references for government in making interest rate policy for financial industry and for professional financial institutes in controlling their deposit and loan.

目錄
謝辭······································································· Ⅰ
中文摘要 ··································································· II
英文摘要 ··································································III
目錄 ········································································IV
表目錄 ······································································ V
圖目錄 ······································································ V
第一章 緒論.............................…………………….............................................……1
第一節 研究動機 .............................................………………………………..1
第二節 研究目的......................... ............….......………………………...........2
第三節 研究流程與步驟.....................................……………………………...4.
第四節 論文架構.............................................………………………………...5
第二章 文獻回顧................................................…………………………………......6
第三章 資料來源與分析..............................…………………………………..........11
第一節 存、放款量資料..................………………………........................... 11
第二節 變數之敘述性統計資料........…………………….......……................12
第四章 研究方法..........................................…………………..……………............13
第一節 單根檢定....................……………………………….......................... 14
第二節 門檻共整合檢定.................……………………………..................... 19
第三節 門檻誤差修正模型.....…………………………................................. 23
第五章 實證結果與分析..............………………………………..............................27
第一節 單根檢定之實證結果.………………………………......................... 27
第二節 門檻共整合檢定之實證結果………………………….......................28
第三節(非對稱) 門檻誤差修正模型檢定之實證結果…...............................30
第六章 研究結論.................................…………………………………...................34
參考文獻......................................………………………………………...............….36
IV
表目 錄
表3-1 T銀行存款量與放款量之樣本期間年度總量……………….…………..11
表3-2 存放款量的敘述統計...….......………………………................... .................12
表5-1 單根檢定...….......……………………….................................................... ...............27
表5-2 存放款量之門檻共整合檢定...….......…………………………… …...........29
表5-4 存放款量之一般誤差修正模型實證結果...…............………………………...........31
表5-3 存放款量之非對稱門檻誤差修正模型實證結果...….......………………………....33
圖 目 錄
圖1-1 研究流程圖...….......………………………......................................................4

中文文獻
黃文瑞(1991),「銀行資產負債組合與經營績效關係之研究」,私立中國文化大學企業管理研究所碩士論文。
陳海鵬 (2011),「貨幣政策與痛苦指數雙變數的長短期因果非線性關係探討」,淡江大學財務金融學系碩士在職專班學位論文。
張瓊文 (2009),「利率與房價長短期非線性因果關係研究-台北市與台北縣之比較」,淡江大學財務金融學系碩士在職專班學位論文。
英文文獻
Balke, N. S., and Fomby, T. B. (1997), “Threshold cointegration. International Economic Review,” 38(3), 627-645.
Berger, A. N., and Udell, G. F. (1990), “Collateral, loan quality and bank risk,” Journal of Monetary Economics, 25(1), 21-42.
Bhargava, A. (1986), “On the theory of testing for unit roots in observed time series,” Review of Economic Studies, 53, 369-384.
Booth, J. R. (1992), “Contract Costs, Bank Loans, and the Cross-Monitoring Hypothesis,” Journal of Financial Economics, 31, 25-41
Booth, D. T., Agustrina, R., and Abernethy, R. H. (1999), “Evidence of cell deterioration in winterfat seeds during refrigerated storage” Journal of range management, 290-296.
Brewer III, E, and Mondschean, T. H. (1991), “An Empirical Test of Incentive Effects of Deposit Insurance:The Case of Junk Bonds at Savings Loan Associations,” FRB Chicago Working Paper, Sep.,1-27.
Chan, K. S. (1993), “Consistency and Limiting Distribution of the Least Squares Estimator of a Continuous Threshold Autoregressive Model,” The Annals of Statistics, 21, 520-533
36
Coakley, Jerry and Fuertes, Ana-Maria (2002), “Asymmetric dynamics in UK real interest rates,” Applied Financial Economics, 12, 379-387.
Dejong, K. N., Nankervis, J. C., Savin, N. E. and Whiteman, C. H. (1992), “Intergration versus stationarity in the time series,” Econometrica, 60, 2, 423-433.
Dickey, D. A. and Fuller, W. A. (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association, 74, 424-431
______. (1981) “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, 49, 1057-1072
Enders, W., and Granger, C. W. J. (1998). “Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates,” Journal of Business and Economic Statistics, 16(3), 304-311.
Enders, W., and Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business and Economic Statistics, 19(2), 166-176.
Engle, R. F. and Granger, C. W. J. (1987), “Cointegration and error correction: representation, estimation and testing,” Econometrica, 55, 251-276.
Ewing, B. T., Hammoudeh, S. M., and Thompson, M. A. (2006),” Examining asymmetric behavior in US petroleum futures and spot prices,” The Energy Journal, 27(3), 9-23.
Granger, C. W. J. (1981), “Some properties of time series data and their use in econometric model specification,” Journal of Econometrics, 16, 121-130.
Granger, C. W. J. and Newbold, P. (1974), “Spurious Regression in Econometrics,” Journal of Econometrics, 2, 111-120.
Granger,C. W. J and Terasvita, T. (1993), “Modeling nonlinear economic relationships,” Oxford University Press.
Hester, D. D. (1979), “Customer relationships and terms of loans: evidence from a pilot survey,” Journal of Money, Credit, and Banking, 11, 349–357.
James, C. (1988), “The Use of Loan Sales and Standby Letters of Credit by Commercial Banks,” Journal of Monetary Economics, 22, 395-422.
______. (1990), “Heterogeneous Creditors and Market Value of Bank LDC Loan Portfolios,” Journal of Monetary Economics, 25,325-426.
37
Johansen, S. (1988), “Statistical analysis of cointegrating vectors,” Journal of Economic Dynamics and Control, 12, 231-254.
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992), “Testing the null hypothesis of stationary against the alternative of a Unit Root,” Journal of Econometrics, 54, 159-178.
Kapetanios, G., Shin, Yongcheol and Snell, A. (2003), “Testing for a unit root in the nonlinear STAR framework,” Journal of Econometrics, 112, 359-379.
Nelson, C. R. and Plosser, C. I. (1982), “Trends and random walks in macroeconomic time series: some evidence and implications,” Journal of Monetary Economics, 10, 139-162.
Ng, S. and Perron, P. (2001), “Lag length selection and the construction of Unit Root Tests with good size and power,” Econometrica, 69, 1519-1554.
Nieh, C. C., and Lee, C. F. (2001), “Dynamic relationship between stock prices and exchange rates for G-7 countries,” Quarterly Review of Economics and Finance, 41(4), 477-490.
Perron, P. and Ng, S. (1996), “Useful modifications to some unit root tests with dependent errors and their local asymptotic properties,” Review of Economic Studies, 63, 435-463.
Phillips, P. C. B. and Perron, P. (1988), “Testing for a Unit Root in time series regression,” Biometrika, 75, 335-346.
Pippenger, M. K., and Goering, G. E. (1993), “A note on the empirical power of unit root tests under threshold processes,” Oxford Bulletin of Economics and Statistics, 55(4), 473-473.
Schwert, G. William (1989), “Tests for Unit Roots: A Monte Carlo Investigation,” Journal of Business & Economic Statistics, American Statistical Association, 7, 2, 47-59.
Scott, J. A., and Smith, T. C. (1986), “The effect of the bankruptcy reform act of 1978 on small business loan pricing,” Journal of Financial Economics, 16(1), 119-140.
Smith, C. W. (1980), “On the Theory of Financial Contracting: The Personal Loan Market,” Journal of Monetary Economics, 6, 333-357.
38
Tong, H. (1983), “Threshold models in nonlinear time series analysis,” Lecture Notes in Statistics, New York:Springer-Verlag.
______. (1990), “Non-linear time series: a dynamic approach,” Oxford, U. K. Oxford University

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊