商銀放款組合與貨幣傳導機制：台灣之實證研究

摘要本文旨在實證探討貨幣政策對於商業銀行放款組合的影響。利用工業生產指數、實質匯率、M2、及台灣各商業銀行的放款子項目，估計四變量的向量自我回歸模型 (vector autoregression，VAR)，並且根據 Blanchard and Quah (1989) 認定結構性衝擊之方式，對於其估計之VAR模型中moving average representation 係數設定長期限制，以認定貨幣衝擊、實質總合需求與總合供給衝擊。本文發現，當央行實施貨幣緊縮政策，商銀對企業與個人的實質放款餘額，在短期內皆呈現顯著之負向反應。儘管如此，商銀放款組合中的細目卻各自顯現不同程度的反應：商銀降低無擔保放款比例，如:企業週轉金放款及個人消費性放款等，但同時增加擔保放款比例，如:企業投資性放款及消費者房屋相關放款等。此一放款組合的變化，反映了銀行經理人在資金借貸市場訊息不對稱的情況下，基於緊縮貨幣政策造成的金融中介成本 (cost of intermediation) 提高，將資金導向高品質資產 (flight to quality) 的現象。關鍵詞：貨幣政策傳導機制、放款組合、金融中介成本

關鍵字

貨幣政策傳導機制；放款組合；金融中介成本

並列摘要

Abstract This article aims to empirically study the impact of monetary policy on the loan portfolio of commercial banks. We estimate the vector autoregression model (VAR Model), which includes four variables, i.e., industrial production index, real exchange rate, M2, and the loan components of commercial banks. To identify the structural impact, we follow Blanchard and Quah (1989) approach and impose the long-run restrictions on the coefficients of the moving average representation to identify the monetary shock, aggregate demand shock, and aggregate supply shock. We find that in the short run both business and personal loans significantly decline in response to a monetary tightening. However, there is a contrast between the response in the proportions of secured and unsecured loans to a monetary tightening: the unsecured loans, such as consumer loans and business revolving loans, fall, while the secured loans, such as personal housing loans and business investment loans, rise. The response in the loan components to a monetary tightening implies that the information asymmetric between lenders and borrowers and a rise in the financial cost of intermediation after a monetary tightening causes a flight to quality in the loans of commercial banks. Keywords: Monetary transmission mechanism, Loan portfolio, Cost of intermediation.