銀行放款總額對總體經濟變數的影響

The Role of Bank Credits on the Macroeconomy

周宜萱(Yi-Xuan Zhou)

指導教授 ： 廖先昱

中原大學/商學院/國際經營與貿易研究所/碩士(2020年)

https://doi.org/10.6840/cycu202000464

摘要

由美國的次級房屋信貸危機的發生到2008年的全球金融危機爆發與緊接著的經濟衰退，可以得知金融中介機構與信貸市場對景氣循環有著重大的影響。由銀行引起的衝擊會因信貸摩擦而引發經濟動盪，因此，信用貸款供應的衝擊會造成一個新的危機。本研究除了對整體的樣本期間進行分析外，還以美國2008年金融危機為標的，對臺灣與美國的總體經濟變數在發生金融危機的前後究竟受到哪一種信用貸款的衝擊影響最深進行探討，研究期間分別為臺灣的2001年第一季至2019年第三季與美國的1990年第一季至2019年第二季。
本研究使用VAR模型探討在不同樣本區間下銀行對不同單位的放款會對總體經濟變數產生何種影響。實證結果顯示，在整個樣本期間下，臺灣的銀行對政府的放款發生正向衝擊時，會使實質總體變數產生同向的景氣循環波動，而美國則是銀行對企業與家庭的放款發生正向衝擊時，會使實質總體變數產生同向的景氣循環波動；在金融危機前，臺灣的銀行對政府、企業以及家庭的放款發生正向衝擊時，會使GDP產生同向的影響，而美國的銀行對政府、企業以及家庭的放款對總體經濟影響較不顯著；在金融危機後，臺灣與美國的銀行對政府的放款對總體經濟影響較不顯著，然而銀行對企業與家庭的放款對消費支出皆會產生同向的景氣波動。

關鍵字

單根檢定 ； 向量自我迴歸模型 ； 衝擊反應函數 ； 變異數分解

並列摘要

From the occurrence of the subprime mortgage crisis in the US to the outbreak of the global financial crisis in 2008 and the subsequent economic recession, we can see that financial intermediaries and credit market have a significant impact on the business cycle. The impact caused by banks will cause economic downturn due to credit friction. Therefore, the impact of credit loan supply may produce a new crisis. In addition to analyzing the overall sample period, this study also takes the 2008 financial crisis of the US as the segmentation to explore which kind of credit loan has the greatest impact on the macroeconomic variables of Taiwan and the US before and after the financial crisis. The research period is from 2001Q1 to 2019Q3 in Taiwan and 1990Q1 to 2019Q2 in the US.
This study uses VAR model to explore the impact of bank loans to different targets on the macroeconomic variables under different sample periods. The empirical results show that during the overall sample period, a positive impact of the bank loans to the government in Taiwan will result in a positive effect on real aggregate variables, while in the US, a positive impact of the bank loans to enterprises and households will produce a positive effect on real aggregate variables. Before the financial crisis, a positive impact of the bank loans to the government, enterprises, and households in Taiwan increases GDP, while a positive impact of the bank loans to the government, enterprises, and households in the US on most of real variables is not significant. After the financial crisis, the impact of bank loans to the government is not significant, while the impact of bank loans to enterprises and households will produce comovement in consumption expenditure in both Taiwan and the US.

並列關鍵字

unit root test ； vector autoregression model ； impulse response functions ； variance decomposition

參考文獻

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