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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77364

    Title: 指標利率與零售利率之互動調整分析 : 臺灣實證
    Other Titles: The interaction between benchmark interest rate and retail interest rate : evidence from Taiwan
    Authors: 許瀞允;Hsu, Ching-Yun
    Contributors: 淡江大學經濟學系碩士班
    Keywords: 利率轉嫁;不對稱調整;僵固性;Interest rate pass-through;Asymmetric adjustment;Sticky;TAR
    Date: 2012
    Issue Date: 2012-06-21 06:36:39 (UTC+8)
    Abstract: 本研究利用Tsay (1998) 多變數門檻模型,分析台灣指標利率和零售利率之間的互動調整關係。針對1989年至2011年間的資料進行分析顯示: (1) 不同到期期限之指標利率與零售利率皆具有共整關係。(2) 在短期主要透過指標利率的變化,調整指標利率與零售利率間的失衡關係。(3) 指標利率對零售利率的影響效果隨到期期限提高而上升。當分析的資料期間改變時,此結論依然可以成立。(4) 不論到期期限長短為何,顯示長期均衡關係之共整係數皆小於1的水準,這表示指標利率影響零售利率的轉嫁程度為不完整的。(5) 不論是指標利率或零售利率,多數結果指出當期利率變化不受落後期利率改變的影響。
    This thesis employs the Tsay (1998) multivariate threshold model and investigates the relationship between the benchmark rate and banks’ retail rates to examine the pass-through process in the banking system of Taiwan. The main findings indicate that the pass through from the benchmark rate to retail rate is complete in the long run. In addition, with the maturity of the retail rates increase, the impact of benchmark rates on retail rate rises.
    Appears in Collections:[經濟學系暨研究所] 學位論文

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