銀行借貸管道的因果關係之應用

The Application of Causality Analysis for the Bank Lending Channel

胡文杰(Wen-Chieh Hu)

指導教授 ： 張瑞娟

國立暨南國際大學/管理學院/經濟學系/碩士(2010年)

https://doi.org/10.6837/NCNU.2010.00282

摘要

本文主要在利用Toda與Yamamoto (1995) 所提出的較簡易的無因果關係 (Granger non-causality) 檢定，探討貨幣政策的銀行借貸管道，方法上，採用美國自1947年至2009年之間的季資料，藉以分析幾個重要經濟變數之間的因果關係。本研究並進而資料切割為六個時期，以分別探討各個時期貨幣政策的傳遞機制以及各變數之間的因果關係。本研究的實證結果顯示，銀行借貸管道在早期的美國確實存在。除此之外，我們也檢驗了英國與日本的資料，但並未發現銀行借貸管道確實在這兩國存在的證據。

關鍵字

因果分析 ； 銀行借貸管道 ； 貨幣傳遞機制

並列摘要

This paper will investigate the causality of bank lending channel by applying the non-causality test proposed by Toda and Yamamoto (1995). We apply the quarterly data from 1947Q1 to 2009Q4 in the United States and divide the sample into six sub-samples to conduct our empirical studies. Based on evidence of this thesis, we verify the bank lending channel does exist in the early years of the United States. We also examine the U.K. and the Japan data, but we find that there is no strong evidence that the bank lending channel exists in these two countries.

並列關鍵字

Causality Analysis ； Bank Lending Channel ； Monetary Transmission Mechanism

參考文獻

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