開放型經濟體系下貨幣政策之銀行借貸管道的認定

Identifying the Bank Lending Channel of Monetary Policy in an Open Economy

連瑋鑫(Wei-Shin Lien)

指導教授 ： 張瑞娟老師

國立暨南國際大學/管理學院/經濟學系/碩士(2006年)

摘要

貨幣政策藉由貨幣傳遞機制影響實質經濟體系之過程，一直是重要且受爭議之議題。除卻傳統的利率管道外，近代以美國為研究對象之經濟學家，無不多將研究焦點轉向信用管道之銀行借貸管道，其研究主題也多主要在探討價格或數量變數與貨幣政策變數之關係，藉由其變動關係，觀察貨幣政策何以透過銀行借貸管道，影響至實質經濟的活動。然而，此種討論方式多數仍難以辨認銀行借貸管道影響之來源，以致於政策當局難以制定有效之政策。因而，本文試圖使用美國季資料 (1966:Q4-2005:Q4)，根據 Bernanke and Blinder (1988) 之模型，重新架構一開放經濟體系模型，並使用多重共整合 (Johansen and Juselius, 1994) 之技術，來進行銀行借貸管道之辨認。藉由辨認借貸供給之影響或借貸需求之影響，將有助於政策當局制定有效政策。儘管，衍生性金融商品之增加，造成銀行借貸之替代性增加，但根據本文實證結果，不僅能證實銀行借貸管道之存在，並能符合先前相關之文獻結果。

關鍵字

銀行借貸管道 ； 多重共整合技術 ； 開放經濟

並列摘要

How monetary policy affects the real economic system is an important and arguable topic. In addition to the traditional interest rate channel, many of the US-oriented investigations have focused on the bank lending channel. Over the last decade, most studies mainly discuss the relationship between price or quantity variables and monetary policy variables, and appear in capable of identifying the bank lending channel that is crucial for authorities to design efficient policies. This thesis attempts to establish the bank lending channel in an open economic model and adopt the US quarterly data over the period from 1966:Q4 to 2005:Q4 to conduct an empirical study. Multivariate cointegration techniques (Johansen and Juselius, 1994) are employed to distinguish the effect of loan supply from the effect of loan demand, which is a crucial viewpoint of the bank lending channel. By identifying the effect of loan supply or loan demand, it will help the authorities to make policies efficiently. Basis on evidence results of this thesis, we can not only verify the existence of bank lending channel but also derive the similar results as previous literature, even though the increases of derivatives financial commodities cause the substitution for bank lending.

並列關鍵字

Bank Lending Channel, Multivariate Cointegration Techniques, Open Economy

參考文獻

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