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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93766

    Title: 銀行業存款量與放款量的因果關係非線性互動探討 : 以T銀行為例
    Other Titles: Nonlinear causal relationship between the amounts of deposit and lending volumes for banking industry : T bank evidence
    Authors: 張瓊文;Chang, Chiung-Wen
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;林建甫;Nieh, Chieh-Chung;Lin, Chien-Fu
    Keywords: 存款量;放款量;銀行業;動差門檻誤差修正模型;非對稱長短期因果;Deposit;loan;Banking Industry;momentum threshold error correction model;asymmetric dynamic causality
    Date: 2013
    Issue Date: 2014-01-23 13:30:24 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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