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    题名: 台灣實質與金融部門之非線性互動關係分析
    其它题名: The Nonlinear Interaction between the Real and Financial Sectors: Evidence from Taiwan
    作者: 萬哲鈺
    贡献者: 淡江大學經濟學系
    关键词: 信用價差;銀行資產負債表管道;門檻向量自我迴歸模型;銀行放款備抵呆帳;credit spread;bank balance sheet channel;threshold vector autoregression model;bank loan loss provision
    日期: 2013-08
    上传时间: 2015-04-21 15:08:32 (UTC+8)
    摘要: 台灣實質與金融部門之非線性互動關係分析 廠商或銀行的資產負債表、銀行放款以及銀行抵押品或資產品質等,會受金融衝擊或貨 幣性衝擊尤其是負面的衝擊之影響,讓廠商投資計畫以及銀行放款能力出現變化,進而 改變總合需求,使總體經濟之實質產出、就業以及通貨膨脹等受到負面的影響。同樣地, 實質面的不利衝擊,也會影響廠商的經營,致使銀行的信用或資產品質出現惡化,進而 影響金融環境的穩定。此外 Bernanke and Gertler (1989) 以及 Bernanke et al. (1996) 提 出的金融加速因子假說 (financial accelerator hypothesis) 強調信用市場的狀況會擴大緊 縮性貨幣政策對經濟的影響效果,使銀行放款、實質產出的變化等,會因貨幣政策寬鬆 或緊縮的差異,而出現非線性或不對稱的調整變化。而 Balke (2000) 以遞迴結構性門檻 向量自我迴歸模型的分析也指出,信用緊縮對產出的影響,比信用處於正常狀態明顯, 而且貨幣政策衝擊在信用緊縮區間的影響也比信用處正常區間顯著。為此本研究擬分別 以(1)、信用價差變化對總體經濟的衝擊,(2)貨幣衝擊透過銀行資產負債表管的傳遞影 響作用,以及(3)、實質衝擊對銀行營運以及信用品質的影響等三個方向,討論台灣實質 與金融部門間是否具有非線性的互動關係,分析不同衝擊在不同狀態下對實質與及金融 變數的影響效果。
    The Nonlinear Interaction between the Real and Financial Sectors: Evidence from Taiwan The financial shock or monetary shock, especially the negative one, will influence the balance sheet of firms and banks, lending of banks and value of collaterall, change the investment plans of firms and lending ability of banks, and affect the major macroeconomic variables such as growth of real output, unemployment and inflation. In addtion, the negative real shocks will also influence the business operations, worsen the credit or capital quality of banks, and affect the financial stability of the economy. In addition, the financial accelerator hypothesis proposed by Bernanke and Gertler (1989) and Bernanke et al. (1996) emphasizes that a monetary policy tightening will exacerbate its negative impacts through the credit channel and make the effect of the lending of banks and real output growth responding a monetary squeeze different from the one to a monetary easing. The empirical study of Balke (2000), adopting the recursive structure threshold vector autoregression model, also points out that the shocks are more potent in the tight-credit regime and that contractionary monetary shocks have a larger effect on output than do expansionary shocks. In this research focusing on the empirical evidence of Taiwan, we will discuss the effects of credit shocks on macroeconomy, the effects of monetary policy on macroeconomy through the bank balance sheet channel, and the real shocks on the credit quality of banks. Whether the interaction between real and financial sectors is nonlinear and the effect of shocks on real and financial variables are regime dependent are the central issues to be investigated in this research.
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