信用卡消費金額與總體經濟變數之長期均衡關係

A Long-run Equilibrium Relationship between the amount of credit card Consumption and Macroeconomic Variables

王慧男(Wang Hui-Nan)

指導教授 ： 李孟峰

國立臺北大學/商學院/統計學系/碩士(2014年)

摘要

近幾年銀行業者不斷開拓信用卡市場，使得信用卡的使用範圍和交易功能不斷擴張，也導致信用卡的交易金額成長快速。信用卡之使用已經影響國人的生活習慣，同樣的，對台灣的經濟影響也日益顯著，成為一個值得關注的議題。
本研究的主要目的是探討我國總體經濟變數對信用卡消費金額之影響。首先利用總體經濟變數建構「信用卡消費金額之預測模型」，來預測我國信用卡消費金額。其次再利用總體經濟變數建購「信用卡消費金額之長期均衡模型」，來探討信用卡消費金額和經濟變數間的長期和短期之互動關係。本文就貨幣供給額M1B、失業率兩項總體經濟變數以及信用卡消費金額，建構向量自我迴歸 (VAR) 模型，來探討信用卡消費金額的變化趨勢。再利用Johansen共整合分析對貨幣供給額M1B、失業率和信用卡消費金額建立長期均衡關係。
根據VAR模型的分析結果顯示，消費金額一階差分後之落後一、二、三、四期和貨幣供給額M1B一階差分後之落後五期共5個變數，對當期信用卡消費金額有顯著影響，信用卡消費金額和M1B有顯著正向影響。根據共整合分析顯示，信用卡消費金額和M1B呈現正向關係，和失業率呈現反向關係。其原因可能在於近幾年政府實施寬鬆貨幣政策，才會導致信用卡消費金額和M1B呈現同向的走勢，有別於先前的文獻研究，信用卡消費金額會抑制貨幣供給額。

關鍵字

M1B ； 失業率 ； 信用卡消費金額 ； 向量自我迴歸模型 ； 共整合分析

並列摘要

In recent years, credit cards market was promoted incessantly by the banking industry. The usage scopes and transaction capabilities of credit cards were also expanded incessantly which caused the transaction amount of credit cards growing rapidly. Living habits of people was affected by the use of credit cards in Taiwan. Similarly, the impact on Taiwan economic was significant day by day. So, this becomes a concerned issue in Taiwan.
The major purpose of this study was to investigate the effects of macroeconomic variables on the amount of credit card consumption. First, a predict model for the amount of credit card consumption was established by using macroeconomic variables. Next, macroeconomic variables were using to construct a long-run equilibrium model of the amount of credit card consumption to discuss the short-term and long-term interaction between the credit card consumptions and macroeconomic variables. In this study, the amount of credit card consumption and two macroeconomic variables, monetary aggregate (M1B), and unemployment rate, are applied to construct a vector auto-regression (VAR) model to investigate the trend of amount change of credit card consumption. Then co-integration analysis is used to establish the long-run equilibrium relationship between the amount of credit card consumption and macroeconomic.
The VAR model shows that the amount of credit card consumption is significantly affected by the lag-1, lag-2, lag-3, lag-4 difference of the credit card sales, lag-5 difference of the monetary aggregate M1B. In addition, the co-integration analysis shows that amount of credit card consumption and unemployment rate have a negative impact, as well as credit card sales and M1B have a positive impact. The reason is that the government implements easing monetary policy, so amount of credit card consumption and M1B have a positive impact. This result differs with some former researches which are the increasing in amount of credit card consumption will reduce the monetary aggregate.

並列關鍵字

vector autoregressive model ； co-integration analysis ； monetary aggregate ； unemployment rate

參考文獻

陳啟超 (2009)，影響台灣民間消費總體經濟變數得探討，台灣大學經濟學研究所碩士論文。

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