本文主要在研究總體經濟變數影響銀行放款的效果，是否因貨幣政策緊縮、寬鬆或經濟擴張、收縮不同，而出呈現不對稱的反應行為。實證結果指出，以線性向量誤差修正模型而言，銀行放款不受任何總體變數的影響。然以不對稱向量誤差修正模型之架構，選擇隔夜拆款利率變化為門檻變數時，估計結果顯示放款利率變動會影響銀行放款，且在貨幣政策緊縮階段總體經濟變數影響銀行放款之效果，較貨幣政策寬鬆階段時為大，此結果與Gambacorta and Rossi (2010) 的結論類似。若改以工業生產指數變動為門檻變數，估計結果指出銀行放款變動會影響工業生產指數的變化，且景氣衰退階段總體經濟變數影響銀行放款的效果，也較景氣擴張階段明顯，這一點則與Bernanke et al. (1996) 之金融加速機制隱含之推論相符。 This research investigates whether the interactions between bank lending and major macroeconomic variables are asymmetric under different phases of monetary policy and business cycles. The empirical results indicate that the macroeconomic variables cannot influence the changes of bank lending under linear vector correction framework. However, under asymmetric vector error correction model taking change in overnight rates as threshold variable, the effect of lending rate on bank lending during tight monetary policy is larger than the one during easy monetary policy. Besides, by adopting change in output as threshold variables, the effects of macroeconomic variables on bank lending during contraction are larger than the one during expansion.
