存款和放款間之利差是「價」的問題，存款量與放款量間之互動是「量」的問題。存款和放款之間的利差，以及存款量與放款量之間的互動，皆是影響著銀行經營獲利的重要因素。本研究自存款量與放款量間之互動的「量」的角度出發，以一般銀行業(T銀行)為案例，探討存款量和放款量的長、短期因果互動關係。研究方法採用Enders and Granger（1998）及Enders and Siklos（2001）所發展的MTAR及MTECM兩階段非線性方法，嘗試以存款與放款兩者的量之間的差異作門檻，來探討在門檻之上和門檻之下，存款量和放款量的非線性非對稱長、短期因果互動關係。 本研究實證結果發現，若考量存款和放款互動間之非對稱門檻關係，不論以放款量或存款量為被解釋變數，存放款兩變數之相互間，於短期中並無任何「領先-落後」的因果關係存在；然而傳統誤差修正模型實證卻發現於短期間，存款量對放款量呈現顯著(1%)之「領先」因果關係。於長期間，非對稱門檻誤差修正模型發現，唯當存款與放款之偏離度較大而超過兩變數之殘差值門檻時，存款量存在著對放款量「領先」的因果關係。據以T銀行為例之研究綜合結果分析，該銀行於短期內當存款量增加或減少時，就會產生放款部門隨之增減其放款量之行為。而於長期間，當存款量與放款量之差異擴大至一定之數額時，放款量因存款量之變化而隨之跟變的情形會容易發生；反之，若存款量與放款量之差異數額不大時，兩者間應是相互獨立而互不「領先-落後」因果影響的。據此以T銀行為例之結果發現，期望能提供政府相關單位在未來設定金融機構利率定價之施政參考，並提供專業金融機構對於存、放之間的控制方針。 The spread between loan and deposit relates the issue of price, whereas the interrelationship between the amounts of loan and deposit is the issue of volume. Both issues are key factors affecting the performance of bank operation. Concerning the volume issue, this study uses T-bank as sample for proxy for the general banking industry to investigate the long run and short run dynamic relationship between the amounts of loan and deposit. The methodologies include MTAR and MTECM elaborated by Enders and Granger (1998) and Enders and Siklos (2001), which are employed for the nonlinear asymmetric threshold cointegration and long run and short run dynamic Granger causality tests for the amounts of loan and deposit. The empirical finding shows that not any ‘lead-lag’ causal relation found in the short run when considering the asymmetric threshold effect. However, the uni-directional short run causal relation from the amount of deposit to the amount of loan (at the 1% significant level) exists in the ECM modeling. For the long run relationship, the amount of deposit also leads the amount of loan when the previous disequilibrium between them is too large and over a threshold level. The overall analyses by T-bank evidence illustrate that increasing and decreasing of the amount of deposit in T-bank will affect the amount of loan of T-bank during the short run and the long run when the amounts of deposit and loan depart too far. However, the amounts of deposit and loan are mutual independent when they are getting closer. Our finding hopefully can offer good references for government in making interest rate policy for financial industry and for professional financial institutes in controlling their deposit and loan.
