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    Title: 影響現金與存款比率變化因素之探討 : 臺灣實證研究
    Other Titles: An econometric study of the factors affecting Taiwan's currency ratio
    Authors: 黃琬瑜;Huang, Wan-Yu
    Contributors: 淡江大學經濟學系碩士班
    柯大衛;Kleykamp, David
    Keywords: 現金與存款比率;通貨比率;貨幣乘數;currency/deposit ratio;currency ratio;money multiplier
    Date: 2012
    Issue Date: 2012-06-21 06:36:57 (UTC+8)
    Abstract: 各種相關研究顯示,正確的現金存款比率(通貨比率)有助於以下幾項研究的正確估計︰(1)銀行恐慌的本質研究、(2)貨幣定義與控制的相關研究、(3)地下經濟、走私、非法交易和逃稅的相關研究、(4)研究貨幣比例、金融創新與支付技術改變三者之間的關係及(5)貨幣乘數的相關預測,是以本論文試圖找出影響台灣現金與存款比率的因素,藉此預測出正確的通貨比率進而使其他相關研究能更準確的進行。
    本論文將影響因素分為以下六類︰(1)機會成本、(2)總體經濟因素、(3)交易方式的受限、(4)天災等不可預期因素、(5)金融體系與支付系統的改變及(6)時間趨勢或應變數本身落後期影響,並在各類型影響力中挑選適當的變數放入最終的迴歸方程式,以分別探討其對兩種不同通貨比率的影響。本論文之研究結果彙整出以下幾點結論:
    (1) 代表機會成本的一年期存款利率與代表總體因素的ln(加權平均股價指數)、ln(工業生產指數)與ln(消費者物價總指數)對兩種通貨比率的影響結果相反,符合預期的方向。
    (2) 以現金消費比率作為交易方式受限的替代變數,得出此變數對兩種通貨比率的影響皆為正向的結論,表示需要使用現金來消費的機會增加則需要持有更多的現金。
    (3) 一月份、SARS、921、颱風與千禧危機這五項虛擬變數各自對兩種通貨比率的影響有相同的趨勢,但各變數對兩種通貨比率的影響方向與理由不盡相同。
    (4) 分別以ln(信用卡簽帳金額)與 ln(金融機構家數)代表金融體系與支付系統的改變對lncdratio1與lncdratio2的影響,由實證結果得知其對於通貨比率的影響為負向,表示隨著金融體系與支付系統的持續擴展,大眾在支付費用上漸漸地以存款來取代現金。
    (5) 應變數本身落後期的各自影響結果都為正向,顯示出大眾對於通貨比率的持有有其慣性作用,導致當期的通貨比率皆以部分調整前期比率的方式來持有。
    除了上述變數的影響結果,本文所選定的六類影響因素皆有其合理的選定理由及顯著的影響力,而本文新發現的影響因素為對此研究提出的新貢獻。此外,對不同貨幣定義下的通貨比率所做的各別探討亦是研究台灣通貨比率的文獻中所沒有探討的部分,此舉可以讓研究通貨比率的人比較出不同變數對不同定義下的通貨比率的影響。
    The currency/deposit ratio is a fundamental determinant of the stock of money in the economy. Past studies of the behavior of the currency/deposit ratio have generally been related to five areas of research including (1) studies of the nature bank panics; (2) the definition and control of the money supply and its determinants; (3) evaluating the underground economy, contraband, illegal transactions, and tax evasion; (4) the relationships among the currency ratio, financial improvement, and changes in payment technology; and (5) evaluating the predictability of money multiplier. This thesis undertakes a statistical analysis of the various factors important in determining Taiwan''s currency ratio.

    The explanatory variables used in this study can be classified into six categories: (1) opportunity cost; (2) macroeconomic variables; (3) limitations on transactions; (4) natural disasters and other unexpected factors; (5) the changes of financial system and payment mechanisms; and (6) time trend and lags of dependent variables. Data on a number of variables representing these various factors were employed in a regression analysis to clarify the determinants of the currency/deposit ratio.


    In addition to certain macroeconomic variables used in the models, it was found that the typical opportunity cost variables, proxied by particular interest rates, bore an inverse relation to the currency ratio. Moreover, an innovative variable constructed using basic (cash-based) consumption to total consumption proved to have a significant and positive relation. Credit card transactions data and variables related to the number of financial institutions were seen to be negatively related to the C/D ratio. In general improvements and innovations to the payments system was seen to be negatively related to the currency/deposit ratio. Variables involving seasonal and unusual events were introduced showing a significant effect for Chinese New Year, SARS, the 921 earthquake period, typhoons, and Y2K events.

    The effects of the variables used in the regressions were found to depend crucially on the definition of the currency ratio; namely, whether the ratio used a narrow definition of deposits or a broad definition of deposits. In addition, it was found that lags in the dependent variable showed that changes in both types of currency ratios tend to take place slowly over time, reflecting the gradual changes occurring society and to the payments technology over time.
    Appears in Collections:[經濟學系暨研究所] 學位論文

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