台灣地區消費性貸款與總體經濟因素之實證研究

淡江大學機構典藏 > 商管學院 > 企業管理學系暨研究所 > 學位論文 > Item 987654321/33504

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题名:	台灣地區消費性貸款與總體經濟因素之實證研究
其它题名:	The relationship between consumer loan and macroeconomic factors : an empirical study of Taiwan 臺灣地區消費性貸款與總體經濟因素之實證研究
作者:	何宙靈;Ho, Chou-lin
贡献者:	淡江大學企業管理學系碩士在職專班趙慕芬;Chao, Muh-fen
关键词:	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
日期:	2006
上传时间:	2010-01-11 04:12:59 (UTC+8)
摘要:	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。其實證發現，即消費性貸款餘額、房屋貸款餘額與信用卡循環信用餘額雖為同屬消費金融市場中之產品，但實證後三者之間沒有互相影響之關係，而領先、落後之關係僅反應於各應變數自身；總體經濟因素在經過篩選步驟後，在進行實證後發現對應變數中之消費性貸款餘額與總體經濟因素無任何實證之顯著相關關係；重貼現率對房屋貸款餘額呈現顯著負相關，狹義貸幤供給額（M1A）與信用卡循環信用餘額呈顯著正相關，而失業率對房屋貸款餘額呈現顯著負向相關關係但與信用卡循環信用餘額呈顯著正向相關，在商票本票初市30-90天期利率與房屋貸款餘額呈顯著正相關，而債市利率與信用卡循環信用餘額呈顯著負相關。失業率對房屋貸款餘額及信用卡循環信用餘額有不同方向的顯著關係最為顯著，藉此證明失業率影響消費金融商品變化之最。 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.
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