銀行發展、股市發展與經濟成長－臺灣的實證研究

Banking Development, Stock Market Development, and Economic Growth: The Case of Taiwan

李建強(Chien-Chiang Lee)

《臺灣經濟預測與政策》 35卷2期 (2005/03) Pp. 79-105

https://doi.org/10.29629/TEFP.200503.0004

摘要

以往探討我國金融發展與經濟成長的文獻，大多僅著重銀行的個別功能，而忽略銀行與股市的互動關係，此外也遺漏金融變數可能存有內生性的問題。本文針對上述兩項特點，以共積模型探討我國銀行發展、股市發展與經濟成長的長期關係及因果關係，並檢測銀行及股市之間究竟為替代抑或互補關係？實證結果顯示銀行發展變數具有弱外生的特性；銀行發展單向峰低股市發展，顯示兩者為替代關係。此外，由長期因果關係檢定可知，我國同時存在供給領導(supply-leading)及需求追隨(demand-following)的股市發展型態，而銀行則為供給領導的發展型態。我們將上述實證結果與現有文獻做一比較。

關鍵字

銀行發展 ； 股市發展 ； 經濟成長 ； 長期因果關係

並列摘要

The paper investigates the long-run relationship between banking development, stock market development, and economic growth using Taiwan's data. A multivariate time-series model is employed to test for cointegration and causal relationship between variables that proxy for above. Cointegration and weak exogeneity tests show the following results: (1) banking development and stock market development significantly promote economic growth; (2) proxy for banking development is weakly exogenous for both stock market development and growth; (3) banking development and stock market development are substitute sources for capital borrowing and lending; (4) banking development causes growth which validates supply-leading hypothesis; and (5) the bidirectional causal relationship between stock market development and economic growth supports both supply-leading and demand-following hypothesis. We also compare the empirical results with related literature.

並列關鍵字

Banking development ； Stock market development ； Economic growth ； Long-run causality

參考文獻

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