影響台灣中長期放款總體經濟因素之探討

Macroeconomic Determinants of Medium and Long-term Loans in Taiwan

王凱澤(Kai-Tse Wang)

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(2013年)

https://doi.org/10.6342/NTU.2013.03088

摘要

隨著台灣金融逐漸開放，金融相關性商品不斷推陳出新，銀行間業務競爭愈演愈烈，尤其以傳統授信業務所受衝擊為最大。在銀行業務多樣化下，銀行追求經營業務績效，而放款為銀行獲利的主要來源，一般銀行放款總額約超過總資產的七至八成，實為銀行生存之命脈。尋找何種因素影響銀行中長期放款決策，進而影響銀行業務經營，以作為銀行資產負債管理參考，這是銀行營運關注焦點。
本文依據文獻回顧之理論基礎及配合台灣全體銀行中長期放款走勢，將可能影響銀行中長期放款的總體經濟變數納入實證模型。後續利用單根檢定、VAR模型分析等計量方法針對各項總體經濟變數與銀行中長期放款互動關係進行實證分析，探討總體變數是否對銀行中長期放款餘額造成衝擊。
實證結果發現，銀行中長期放款餘額與商業本票發行餘額並無顯著影響。 M2餘額具顯著正向影響，顯示當M2餘額攀升時，國內資金充裕刺激中長期放款餘額上升。短期週轉金放款餘額與銀行中長期放款餘額具有落後性顯著負向影響，顯示週轉金放款增加時將擠壓到對中長期放款餘額的需求。工業生產指數、股票面值與進口資本設備對銀行中長期放款餘額具有落後性顯著正向影響。政府發行公債餘額具有顯著負向影響，顯示當政府公債發行較多時，將會排擠民間企業投資，造成中長期放款需求相對減少，發揮替代效果。零售業營業額具落後顯著負向影響。物價指數具落後顯著正向影響。房價指數具落後顯著負向影響，原先預期為房價指數成長時，對中長期放款應為增加，但在本文實證分析結果卻為負向關係，原因或許是因為近期金管會宣布，銀行所承作供企業擴增產能之廠房放款的相關條例更改有關。

關鍵字

中長期放款 ； 銀行資產負債管理 ； 總體經濟 ； VAR模型

並列摘要

Due to the opening up financial industries and the continuous launch of financial goods in Taiwan, the interbank competition is intensively increasing. In particular, there is a great impact of interbank competition on the traditional credit business. Diversification in the banking business, the bank pursue business performance, while the bank loan is the main source of profit. Average bank lending over total assets amounted to approximately 70% to 80%. In order to survive in financial market where competition becomes increasingly fierce,it is important issue for banking business to look for the factors that affect medium and long-term loans, as a bank asset and liability management reference.
This paper review based on the theoretical foundation and medium and long-term loans with the Bank of Taiwan, the whole trend of medium and long-term lending bank will likely affect the overall economic variables into an empirical model. Subsequent use of unit root test, VAR model analysis and other econometric methods construct an empirical analysis to explore the interaction between macroeconomic variables and medium and long-term loans.
Empirical results show that medium and long-term loans and commercial paper issued no significant impact. M2 has a significant positive correlation with medium and long-term loans, display when M2 climb, the domestic liquidity to stimulate medium and long-term loans to rise. Medium long-term loans has a significant negative correlation with the lagged of short-term revolving loans, showing increased revolving loans will be squeezed into the medium and long-term loans outstanding needs. Medium long-term loans has a significant positive correlation with the lagged variable of industrial production index, the issued share capital and imports of capital equipment. Government Bonds have a significant negative correlation, the display is large when the government bond issuance will crowd out private sector investment, resulting in reduced demand for medium and long-term loans to play substitution effect. Retail turnover has significant negative correlation with the lagged. CPI has a significant positive correlation with the lagged. Home purchase price index has significant negative correlation with the lagged. Originally expected for the price index grows, medium and long term loans should be increased, but the results of empirical analysis in this paper was a negative relationship. Perhaps the reason is the recent FSC announced that banks engage in the trading business for expansion of plant capacity changes for lending-related regulations.

並列關鍵字

medium and long-term loan ； bank asset and liability management ； macroeconomic ； VAR model

參考文獻

周亞萱(2012)，影響台灣週轉金總體經濟因素之探討，國立台灣大學社會科學院經濟學系碩士論文

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