銀行存款與放款互動關係之研究：台灣的實證分析

A Study of Interaction Between Bank Deposits and Bank Loans：Edivence from Taiwan

吳丁現(Ding-Shiann Wu)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.03153

摘要

銀行放款與存款間存在密切關係，因此本文針對放款中企業金融與消費金融放款與各種存款，探討其間的因果關係及互動過程，並進一步探討總體經濟因素對企業金融與消費金融的影響。研究架構上，先對放款與存款進行因果關係檢定，並以VAR模型來驗證企業金融與消費金融和各存款的互動關係，然後再就企業金融與消費金融對其他總體變數做迴歸分析。本研究利用單根檢定、Granger因果檢定、向量自我迴歸模型等計量方法建立實證模型。
實證結果所獲得的重要結論如下：
1、企業金融和各存款互動關係:企業金融和活期存款、定期存款存在雙向的因果關係。企業金融和活期儲蓄存款、定期儲蓄存款間無明顯的因果關係。
2、消費金融和各存款互動關係：消費金融和活期存款、定期儲蓄存款存在雙向的因果關係，其中活期存款領先消費金融，定期儲蓄存款和消費金融則為同期的因果關係。消費金融和定期存款存在單向因果關係，其中消費金融領先定期存款。消費金融和活期儲蓄存款無顯著因果關係。
3、放款和存款的互動關係：放款體系和活期存款、定期存款的互動關係較為明顯，其中活期存款和各放款皆存在雙向的因果關係，且活期存款對各放款具有明顯的領先性。定期存款則是領先企業金融，但落後於消費金融。
4、影響企業金融的因素：當期活期存款增加、匯率貶值及通貨膨脹發生皆會擴大企業金融。
5、影響消費金融的因素：當期與前一期活期存款餘額、定期儲蓄存款餘額對消費金融有顯著正向影響。此外，消費金融也受前期的正向影響，顯示消費金融具有習慣性。

關鍵字

單根檢定 ； Granger因果檢定 ； 向量自我迴歸模型

並列摘要

There exists close relationship between bank deposits and bank loans. This paper investigates causal relationship and interaction between bank deposits and bank loans of the corporate finance and consumer finance. Furthermore, we discuss the effect on corporate finance and on consumer finance of the macroeconomic factors . About the researching mechanism, we first examine the causality relation between deposits and loans, then do the interaction test of corporate finance and consumer finance with all kind of deposits. Later, we use regression to examine effects on corporate finance and on consumer finance of macroeconomic factors. In this study, the empirical model is derived from the quantitative methods such as Unit Root Test, Granger Causality Test and Vector Autoregression Model.
Following conclusions can be drawn from this empirical result:
1. Interaction between corporate finance and deposits: There exist two-way causal relationships between corporate finance and demand deposits, and between corporate finance and time saving deposits. However, there is no significant causal relationship between corporate finance and demand saving deposits, time saving deposits.
2. Interaction between consumer finance and deposits: There exist two-way causal relationship between consumer finance and demand deposits and between consumer finance and time saving deposits. Furthermore, demand deposits lead consumer finance, and there exists contemporaneous causal relationship between time saving deposits and consumer finance. There exist unidirectional causal relationship between consumer finance and time deposits. Besides, consumer finance leads demand deposits. There is no significant causal relationship between consumer finance and demand saving deposits.
3. Interaction between loans and deposits: There are apparent interaction between loans and demand deposits, and between loans and time deposits. There exist two-way causal relationship between demand deposits and loans. Furthermore, demand deposits lead loans apparently. Time deposits lead corporate finance but lag behind consumer finance.
4. Factors affecting corporate finance: Increasing current demand deposits, depreciation and inflation will all expand corporate finance.
5. Factors affecting consumer finance: Consumer finance is positively impacted by increasing current and previous demand deposits and by time saving deposits. Besides, consumer finance is positively impacted by its previous performance, which revealed inertia of consumer finance.

並列關鍵字

Unit Root Test ； Granger Causality Test ； Vector Autoregression Model

參考文獻

2、何宙靈（2006），《台灣地區消費性貸款與總體經濟因素之實證研究》淡江大學企管研究所碩士論文。

1、Brewer III, E, and T. H. Mondschean (1991)“An Empirical Test of Incentive Effects of Deposit Insurance:The Case of Junk Bonds at Newly Established Texas Banks,”Financial Industry Studies, Dec., 11.

2、Dickey, D.A., and W.A. Fuller(1979),”Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of American Statistics association, Vol. 74, pp. 427-431.

3、Dickey,D.A.and W.A.Fuller(1981) ,“Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,”Econometrica,49,pp.1057-1072.

4、Granger C.W.J. (1969), “Investigating Causal Relations by Econometric Models and Cross-spectral Methods . ” Econometrica, Vol. 37, No. 3, pp. 424-438