通貨膨漲門檻值對東協六國銀行績效的影響

Threshold Effects of Inflation on Banking Sector Performance in the ASEAN-6 Countries

吳女曜圭(Ngo Nu Dieu Khue)

指導教授 ： 賴雅雯

國立虎尾科技大學/管理學院/財務金融系碩士班/碩士(2017年)

摘要

本研究探討通貨膨脹門檻值對銀行部門績效的影響。實證結果顯示，東協國家通貨膨脹門檻較低。本研究採用固定效應迴歸模型（Fixed effect model）進行分析，研究樣本為六個東協國家在1996-2014年的追蹤資料 (panel data)，六個東盟國家分別為柬埔寨、印度尼西亞、馬來西亞、菲律賓、泰國和越南。本研究使用不同的指標來測量銀行業績效表現，研究結果發現通膨與銀行的績效表現具有顯著的門檻效應，即當通貨膨脹率在門檻值以下，銀行部門績效表現隨通貨膨脹率而提高；當通貨膨脹率超過門檻值，這個正面的影響逐漸消失。同時，不同的衡量指標面臨不同的通膨門檻值。因此，本研究結果有助於決策者決定適合銀行體系發展的目標通貨膨脹率。

關鍵字

通貨膨脹 ； 門檻效應 ； 銀行部門績效 ； 門檻模式 ； 東協六國.

並列摘要

This study aims to test the threshold effect of inflation on banking sector performance. Our research can be considered as one of the scant empirical studies on the inflation-threshold effect in ASEAN countries. The research applies the fixed effect models (FEM) using annual data panel of the ASEAN-6 countries including Cambodia, Indonesia, Malaysia﹐ Philippines, Thailand and Vietnam over the period of 1996-2014. Using different indicators to measure banking development, the threshold regression results show strong evidences of the inflation-threshold effect in the inflation-banking relationship. However, we found different aspects of banking activities have different levels of inflation thresholds. Therefore, the findings will be a basis for the policy-makers to determine a target inflation rate to stimulate the banking system development.

並列關鍵字

inflation ； threshold effect ； banking sector performance ； threshold model ； ASEAN-6.

參考文獻

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