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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/33504

    Title: 台灣地區消費性貸款與總體經濟因素之實證研究
    Other Titles: The relationship between consumer loan and macroeconomic factors : an empirical study of Taiwan
    Authors: 何宙靈;Ho, Chou-lin
    Contributors: 淡江大學企業管理學系碩士在職專班
    趙慕芬;Chao, Muh-fen
    Keywords: 消費性貸款;信用卡循環信用;向量自我迴歸模型;consumer loan;creditcard revolving credit;Vector Autoregression
    Date: 2006
    Issue Date: 2010-01-11 04:12:59 (UTC+8)
    Abstract: 消費金融業務之發展和總體經濟因素有其一定之關聯性,本研究旨在探討消費性貸款餘額與信用卡循環信用餘額及房屋貸款餘額三者間是否有相關性之影響,另將總體經濟因素一併來探討其間對應變數影響之效果作為本研究之範疇。
    本研究採用台灣地區的數據資料,以1997年1月到2005年12月的月資料共108筆月資料為樣本,使用Augmented Dickey-Fuller(ADF)單根檢定檢驗變數是否為穩定的時間序列關係,再以自我相關檢定及向量自我迴歸(VAR)模型,檢驗消費性貸款之間並依其性質分別探究自身應變數與各總體經濟因素之自變數間,是否存有領先、落後及相關之關係。
    There exists a certain correlation between the consumer loan and macroeconomic factors. This thesis aims to first examine the relationships between consumer loan surplus, creditcard revolving credit limit, and mortgage loan surplus, and later investigate the macroeconomic factors to see if any correlation exists between the above factors and their effects on each other.
    This thesis is based on the sampling on 108 statistic monthly releases in Taiwan from January 1997 through December 2005. The Augmented Dickey-Fuller (ADF) unit root tests analysis has been employed to see if the variables are in steady time series relationship. The autocorrelation analysis and Vector Autoregression (VAR) model are then utilized to analyze the different natures of consumer loan and if self-correlation variable and macroeconomic factors have any leading, falling-behind or correlative relationship.
    The above research results show that consumer loan surplus, mortgage loan surplus and creditcard revolving credit surplus all are products in consumer financial markets; nonetheless, there are no correlations between them. The leading, falling behind relationship only reflects in the variables itself. After selective sampling and empirical studies, the findings are among various economic factors, no correlation exists between consumer loan surplus and macroeconomic factors; a negative correlation exists between rediscount rate and mortgage loan; a positive correlation exists between narrow sense currency supplies volume (M1A) and creditcard revolving credit surplus; a negative correlation exists between unemployment rate and mortgage rate surplus, but a positive correlation exists between unemployment rate and creditcard revolving credit surplus. A positive correlation exists between commercial paper primary market 30-90 days period and mortgage rate surplus. A negative correlation exists between debenture rate and credit card revolving credit surplus.
    Among all, unemployment rate has a significant differentiating impact on mortgage rate surplus and creditcard revolving credit surplus. This research thus comes to the conclusion that unemployment rate is the most significant variable on consumer financial products.
    Appears in Collections:[企業管理學系暨研究所] 學位論文

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