總體經濟波動對東協五國銀行存放款利差之影響研究 : 縱橫平滑移轉迴歸模型之應用

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 學位論文 > Item 987654321/114096

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/114096

Title:	總體經濟波動對東協五國銀行存放款利差之影響研究 : 縱橫平滑移轉迴歸模型之應用
Other Titles:	A study of the effect of the macroeconomic volatility on bank's interest rate spread for ASEAN five countries : approach by PSTR model
Authors:	陳玟伶;Chen, Wen-Ling
Contributors:	淡江大學財務金融學系碩士班聶建中
Keywords:	Bank’s Interest Rate Spread;exchange rate volatility;GDP Growth Rate;GDP成長率;Inflation Rate;Money Supply Growth Rate;銀行存放款利差;總體經濟;蹤橫平滑移轉模型
Date:	2017
Issue Date:	2018-08-03 14:41:27 (UTC+8)
Abstract:	本研究主要探討總體經濟變數變動對於下一季銀行存放款利差之影響狀況，分別輔以總體經濟變數中國家生產毛額(GDP)成長率、物價指數變動率、貨幣供給變動率，並且採用González, Teräsvirta and van Dijk(2004, 2005)所發展平滑移轉迴歸模型(Smooth Transition Regression Model, STR)，以GDP成長率作為門檻變數，針對2007年第1季到2017年第1季，東協創始五國銀行存放款利差之影響做進一步探討。實證結果發現，在僅存在一個GDP成長率門檻值下，GDP成長率變動對於銀行存放款利差均呈現顯著非線性關係。進一步說明，當國家生產毛額成長率低於或超過門檻值時，通貨膨脹率、貨幣供給額成長率與匯率變動率皆分別對下一季銀行存放款利差有顯著的正或負向影響。 This study adopts the empirical model of Gonza''lez, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the macroeconomic volatility. This research uses regression model to analyze the nonlinear impact of macroeconomic volatility on bank''s interest rate spread of ASEAN five countries. and we make bank’s interest rate spread, GDP growth rate, inflation rate, money supply growth rate and exchange rate volatility as independent variable. Empirical results show that GDP growth rate volatility on most of bank’s interest rate spread of ASEAN five countries has significant smooth transition effects, and most of the countries whose inflation rate, money supply growth rate and exchange rate volatility significantly affects in bank’s interest rate spread between the threshold.
Appears in Collections:	[財務金融學系暨研究所] 學位論文

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