跳到主要內容

臺灣博碩士論文加值系統

(100.28.2.72) 您好!臺灣時間:2024/06/13 12:21
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

: 
twitterline
研究生:童湘婷
研究生(外文):Hsiang-ting Tung
論文名稱:短、中及長期利率之不對稱調整機制研究
論文名稱(外文):Asymmetric Adjustment of Interest Rates
指導教授:翁逸群翁逸群引用關係
指導教授(外文):Yi-chiun Weng
學位類別:碩士
校院名稱:僑光科技大學
系所名稱:企業管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:中文
論文頁數:53
中文關鍵詞:ADF單根檢定Johansen共整合門檻共整合模型門檻誤差修正模型
外文關鍵詞:Augmented Dickey-Fuller TestJohansen co-integration testThreshold co-integration modelError correction model(ECM)
相關次數:
  • 被引用被引用:1
  • 點閱點閱:210
  • 評分評分:
  • 下載下載:34
  • 收藏至我的研究室書目清單書目收藏:0
本研究是探討短、中及長期利率之不對稱調整機制。文中樣本取至台灣經濟新報TEJ+資料庫,以月資料為分析頻率,採取ADF單根檢定、Johansen共整合檢定、門檻共整合檢定及門檻向量誤差修正模型等,來探討本文之研究目的。
經實證結果發現﹕短、中、長期利率皆為一階整合非定態數列,且透過迴歸分析,得知零售利率對貨幣市場利率(同業拆款利率)之改變是存在不完全轉嫁的加碼定價機制;且存款的期間越長,轉嫁程度就越大。甚且,當引入通膨率當作門檻變數來考量利率之不對稱調整現象時,本文發現﹕一個月、三個月、六個月、九個月、二年定期儲蓄及三年定期儲蓄存款利率,其與貨幣市場利率(同業拆款利率)是存在不對稱(門檻)共整合關係。並且短、中期利率會呈現向上僵固性,而極短期(一個月定存)與長期(三年定期儲蓄存款利率)則會呈現向下僵固性。
This study investigates of asymmetric adjustment of retail interest rates in short, medium and long terms take Taiwan area as example. The samples of this paper taken from the Taiwan Economic Report database, by monthly frequency data for the analysis, were used by ADF unit root test, Johansen co-integration test, Threshold co-integration test and Error-correction model, and so on for the purpose of this study. The empirical results show that all interest rates are integrated of order one non-steady state.
Using the regression analysis and finding that retail interest rates respond from money market-call loan existence the presence of not complete pass-through of mark-up pricing mechanisms; and the longer the period of the deposit, the pass –through of degree greater. When adding the inflation rate as a threshold variable to consider the phenomenon of asymmetric interest rate in adjustment, we find that one month, three months, six months, nine months, 2 Yr. time save deposit and 3 Yr. time save deposit with money market-call loan are asymmetric (threshold) co-integration each other. And the short, medium rates will showed up, while very short-term (1 month time deposit) and long-term (3 Yr. time save deposit) will present downward.
目錄
目錄????????????????????????????????i

第一章 緒論???????????????????????????1
第一節 研究背景及動機????????????????????1
第二節 研究目的????????????????????????4
第三節 研究範圍與限制????????????????????5
第四節 研究流程????????????????????????5

第二章 理論探討與文獻回顧?????????????????7
第一節 利率轉嫁回顧相關文獻????????????????7
第二節 通膨門檻模型回顧相關文獻?????????????13

第三章 研究方法 ???????????????????????17
第一節 單根檢定 ???????????????????????18
第二節 共整合檢定??????????????????????18
第三節 門檻共整合模型???????????????????19
第四節 門檻誤差修正模型??????????????????20

第四章 實證結果???????????????????????22
第一節 資料來源和變數定義????????????????22
第二節 樣本特性???????????????????????23
第三節 單根檢定實證結果??????????????????24
第四節 對稱共整合檢定實證結果??????????????25
第五節 利率轉嫁機制之檢測?????????????????25
第六節 以誤差修正項為門檻變數
之門檻共整合模型實證結果???????????? 26
第七節 以通膨率為門檻變數之門檻
及衝量門檻共整合模型檢測?????????????27
第八節 門檻誤差修正模型之參數估計……………………28

第五章 結論與建議…………………………………………29
第一節 結論…………………………………………………29
第二節 建議…………………………………………………30

參考文獻 …………………………………………………31

圖目錄
圖1-1 研究架圖………………………………………6
圖3-1 研究方架構圖…………………………………15
圖4-1 台灣不同到期期限存、放款利率平均
與拆款利率的時間走勢圖…………………17
表4-1 變數中英文對照…………………………38
表4-2 短、中、長期利率之樣本特徵………?39
表4-3 ADF單根檢定…………………………?40
表4-4 Johansen共整合檢定…………………41
表4-5 利率加碼與轉嫁參數值………………?42
表4-5-1 轉嫁圖表……………………………?42
表4-6 以誤差修正項為門檻變數
且門檻值設定為0之TAR模型……………43
表4-7 以通膨率為門檻變數之TAR及MTAR模型…………44
表4-8 門檻誤差修正模型參數估計值(未刪版本)……?45
表4-8-1門檻誤差修正模型參數估計值(已刪版本)……?46
參考文獻
中文文獻
1、王冠閔、吳書慧,2006年,「長短期零售利率不對稱調整」,僑光科技大學管理研究所,碩士論文。
2、王冠閔、吳書慧,2006年,「台灣股、匯市與美國股市傳導機制之實證分析」運籌研究集刊2006年, pp.1~15。
3、王冠閔、方文碩,2006 年,「利率長期轉嫁機制是否存在?對稱與不對稱門檻共整合模型應用」金融風險管理季刊 2006年,pp.49~71。
4、王冠閔、葉志權,2006年,「利率的轉嫁與非對稱調整:中國大陸、香港與台灣的實證研究」,台北大學論文集。
5、王冠閔,2007年,「零售利率非對稱性的轉嫁調整與衝擊反應分析:中國大陸與台灣的實證研究」,中華管理評論國際學報,第10卷、第3期,pp.1~17。
6、王冠閔、李源明、黃柏農 (2009),「預期、非預期貨幣政策的衝擊與不對稱的利率轉嫁」,台灣經濟預測與政策,第四十五卷第二期,pp.189-235(TSSCI)。
7、王冠閔,2010年,「不對稱轉嫁機制和利率風險實證台灣和香港研究」,經濟學刊,第一卷第五期,pp.659-670。
8、王儷容、沈中華、李紹瑋,2014年,「台灣利率自由化歷程與成效—美日台三國利率自由化比較」,兩岸金融季刊,第二卷第一期,pp.3~10。
9、何棟欽,2001 年,「我國新台幣拆款利率與存、放款利率之關係及其傳遞效果的實證研究」,中央銀行季刊,第二十三卷第三期, pp.51-72。
10、李建強,2003年,「金融發展、經濟成長與通貨膨脹的門檻效果」,台灣經濟預測與政策,第三十六卷第二期,pp.77–113(TSSCI) 。
11、林依伶、張志揚、陳佩玗,2012年,「台灣利率法則之實證研究—考慮匯率變動之不對稱性效果」,中央銀行季刊2012年,第三十四卷第一期,pp39~62。
12、林柏君、吳中書,2013年,「通貨膨脹與匯率轉嫁-以台灣進口物價為例」,台灣經濟預測與政策,第四十三卷第二期,pp.51-81(TSSCI) 。
13、高崇瑋、萬哲鈺,2014年,「臺灣之利率轉嫁分析」,第四十四卷第二期,pp.45–101(TSSCI) 。
14、黃仁德,1999年,「我國央行貼放政策效果與貨幣政策傳導機能的實證分析」,中央銀行季刊1999年,第二十一卷第三期,pp.49~75 。
15、楊奕農, 2008年,「時間序列分析-經濟與財務上之應用」,台北﹕雙葉書廊。
16、蔡怡純、陳明吉,2012年,「房價之不對稱均衡調整﹕門檻誤差修正模型應用」,台灣土地研究,第十六卷第一期,pp.37~58。

西文文獻
1、Atje, R. and B. Jovanovic (1993), “Stock Markets and Development,” European Economic Review, 37, 632–640.
2、Andion, C. L. (2010) , “ Co-integration between mortgage markets in the monetary union,” Journal of Economics and Finance ,60 , 40-57.
3、Azariadis, C. and B. D. Smith (1996), “Private Information, Money, and Growth: Indeterminacy, Fluctuations, and the Mundell-Tobin Effect,” Journal of Economic Growth, 1(3),309–332.
4、Bahar, D.2013, “Asymmetric behavior of the exchange rate pass-through to manufacturing prices in Turkey,” Emerging Markets Finance &; Trade ,49, 35-47.
5、Bredin, D. , Fitzpatrick, T. , &; O’Reilly, G. (2001) , “Retail interest rate pass-though: The Irish experience,” Central Bank of Ireland Technical Paper, 6, November.
6、Bernanke B. S. (1990), “On the Predictive Power of Interest Rates and Interest Rate Spreads,” New England Economic Review , 51-68.
7、Bruna, K.. (2008) , “Monetary policy stabilization, changes in the banking system and interest rate pass-through,” the Post-Communist Economies ,20, 413-429.
Bruno, M. and W. Easterly (1998), “In?ation Crises and Long-Run Growth,” Journal of Monetary Economics, 41(1), 3–26.
8、Bohl, M. T. and P. Siklos (2001), “The Bundesbank’s Inflation Policy and Asymmetric Behavior of the German Term Structure,” Working Paper, Wilfrid Laurier University.
9、Bose, N. (2002), “In?ation, the Credit Market, and Economic Growth,” Oxford Economic Papers, 54(3), 412–434.
10、Boyd, J. H. , R. Levine, and B. D. Smith (2001), “The Impact of In?ation on Financial Sector Performance,” Journal of Monetary Economics, 47(2), 221–248.
11、Bouakez and Rebei, (2008). “Has exchange rate pass-through really declined? Evidence from Canada,” Journal of International Economics, 75, 249-267.
12、Bullard, J. and J. W. Keating (1995),“The Long-Run Relationship between In?ation and Output in Postwar Economies,” Journal of Monetary Economics, 36(3), 477–496
13、Campa , J., Goldberg, L., 2004. “Exchange Rate Pass-through into import prices,” CEPR Discussion Paper ,43-91.
14、Campa , J., Goldberg, L., 2005. “Exchange rate pass-through into import prices,” Review of Economics and Statistics 87(4), 679-690.
15、Chan, K. S. (1993) , “Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model,” The Annals of Statistics, 21, 20-533.
16、Choudhri, E., Hakura, D. (2006), “Exchange rate pass-through to domestic prices: does the inflationary environment matter? ,”Journal of International Money and Finance ,25, 614-639.
17、Chionis , D. P. and C. A. Leon (2006), “Interest Rate Transmission in Greece: Did EMU Cause a Structural Break?” Journal of Policy Modeling, 28, 453–466.
18、Clarida, R., J. Gali and M. Gertler (1998), “Monetary Policy Rules in Practice: Some International Evidence,” European Economic Review, 42, 1033-1067.
19、De Bondt , G.(2005) , “Interest rate pass-through: empirical results for the euro area,”,German Economic ,6,37-78.
20、De Gregorio, J. and P. E. Guidotti (1995), “Financial Development and Economic Growth ,”World Development, 23(3), 433–448.
21、Enders, W. and Siklos, P. (2001) , “Co-integration and threshold adjustment,” Journal of Business and Economic Statistics, 19,166-176.
22、Engle, R. F. and C. W. J. Granger. (1987). “Co-integration and error correction: representation ,estimation and testing,”Econometrica, 55,251-276.
23、Frost, D., &; Bowden, R. (1999). An asymmetric generator for error correction mechanisms, with application to bank mortgage-rate dynamics. Journal of Business and Economic Statistics, 17, 253-263.
24、Garry, A .M. and Rudra S. (2011). “Asymmetric effects of interest rate changes: the role of the consumption-wealth channel,”Journal of Economics, 16, 1991-2001.
25、Gagnon, J., Ihrig, J.(2001). “ Monetary policy and exchange rate pass-through. ” International finance discussion paper.
26、Hannan, T. H. and A. N. Berger (1991), “The Rigidity of Prices: Evidence from the Banking Industry,” American Economic Review , 81, 938-945.
27、Henry D. A. (2012) , “Threshold effects and asymmetric price adjustments in the ghanaian plantain market,”Journal of Economics and Behavioral Studies, 4, 548-554.
28、Humala, A. (2005), “Interest rate pass-through and financial crises: do switching regimes matter? ,” Financial Economics, 15,77-94.
28、Hofmann, B. (2002), “The Pass-Through of Money Market Rates to usiness Loan Rates in the Euro Area Countries,” Center for uropean Integration Studies (ZEI), University of Bonn, Bonn.
29、Horvath, C., J. Kreko and A. Naszodi (2004), “Interest Rate Pass-Through in Hungary,” MNB working paper.
30、Hung, F. S. (2003), “In?ation, Financial Development, and Economic Growth,” International Review of Economics and Finance, 12(1), 45–67.
31、Huybens, E. and B.D.Smith(1999),“In?ation, Financial Markets and Long-Run Real Activity,”Journal of Monetary Economics, 43(2), 283–315.
32、Iregui, A. M., C., Milas and J. Otero (2002), “On the Dynamics of Lending and Deposit Interest Rates in Emerging Markets: A Non-Linear Approach,” Studies in Nonlin ear Dynamics and Econometrics , 6.
33、Johansen, S. (1988) , “Statistical analysis of co-integrating vectors,” Journal of Economic Dynamics and Control , 12, 231-254.
34、Johansen, S. and Juselius, K. (1990) , “Maximum likelihood estimation and inference on co-integration – with applications to the demand for money,” Oxford Bulletin of Economics and Statistics ,52 , 169-210.
35、Kleimeier, S. and H. Sander , (2002), “Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through,” Kredit und Kapital , 35(2), 161-192.
36、Kleimeier, S. and H. Sander ,(2004), “Convergence in Euro-Zone Retail Banking? What Interest Rate Pass-Through Tells Us about Monetary Policy Transmission, Competition and Integration,” Journal of International Money and Finance , 23, 461-492.
37、Kleimeier, S. and H. Sander, (2006), “Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets,” Journal of Banking and Finance,30 1839-1870.
38、Lim, G. C. (2001), “Bank Interest Rates Adjustment: Are they Asymmetric?” Economic Record , 77, 135-147.
39、Levine, R. and S. Zervos (1998), “Stock Markets, Banks, and Economic Growth,” American Economic Review, 88(3), 537–558.
40、Lowe, P. and T. Rohling (1992), “Loan Rate Stickiness: Theory and Evidence,” Research Discussion Paper, Reserve Bank of Australia.
41、Mojon, B. (2000), “Financial Structure and the Interest Channel of the ECB Monetary Policy,” ECB Working Paper, 40, November.
42、Manna, M., Pill, H., &; Quiros , G. (2001) , “The eurosystems operational framework in the context of the ECB’s monetary policy strategy ,”European Central Bank..
43、Neumark, D. and S. Sharpe (1992), “Market Structure and the Nature of Price Rigidity,” Quarterly Journal of Economics , 107, 657-680.
44、Scholnick, B. (1996), “Asymmetric Adjustment of Commercial Bank Interest Rates: Evidence from Malaysia and Singapore,” Journal of International Money and Finance , 15, 485-496.
45、Shen, C.-H. and D. R. Hakes (1995), “Monetary Policy as a Decision-Making Hierarchy: The Case of Taiwan,” Journal of Macroeconomics, 17(2), 357–368.
46、Shen, C. H., (1996), “Are the Effect of Monetary Policy Asymmetric? The Case of Taiwan,” Unpublished Paper.
47、Steven , P. C. (2014) , “Time variation in an optimal asymmetric preference monetary policy model,” Studies in Nonlinear Dynamics &; Econometrics, 41-49.
48、Steel, D., King, A.(2004),, “&;quot;Exchange Rate Pass-through: The Role of Regime Changes,” International Review of Applied Economics.
49、Taylor, J.(2000), “Low inflation, pass-through, and the pricing power of firms. ” European Economic ,Review ,44 (7), 1389-1408.
50、Toolsema, L. A., J. E. Sturm and J. De Haan (2002), “Convergence of Pass-Through from Money Market to Lending Rates in EMU Countries: New Evidence,” Centre for Economic Research, Groningen.
51、Tong, H. (1978), On a Threshold Model in C. H. Chen (ed.). “Pattern Recognition and Signal Processing,” Amsterdan: Sijthoff and Noordhoff,101-141.
52、Wane A , S. Gilbert and S . Dibooglu. (2004) , “ Critical values of momentum threshold autoregressive models,”Discussion papers.
53、W. Enders and C.W.J. Granger (1998) , “ Unit-root tests and
asymmetric adjustment with an example using the term structure of interest rates,” Journal of Business &; Economic Statistics,16 ,304-311.
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top