信用擴張與景氣循環之實證分析

Credit Expansion and Business Cycles: An Empirical Analysis.

莊宜潔(I-Chieh Chuang)

指導教授 ： 黃朝熙

國立清華大學/科技管理學院/經濟學系/碩士(2014年)

https://doi.org/10.6843/NTHU.2014.00461

摘要

本論文採用Jordà et al.（2013）的實證方法，研究信用擴張與景氣循環的關係，其結果指出金融危機所造成的衰退程度會較於一般衰退期更嚴重，又若是在擴張時期擁有較快速的信用擴張將會加深其影響程度。我們選取了文獻忽略的亞太地區與較低開發程度國家的9個國家為樣本，使用最長自西元1960年至2012年之年資料，探討金融相關衰退與景氣循環波動對於衰退期時各國實質經濟成長率之影響差異性，並同時考量樣本國家在擴張時期的信用擴張情形以及加入量化模型和信用變數門檻模型進行分析。
除了得到文獻相似的結果—金融相關衰退期對於實質經濟成長率造成的負影響大於一般衰退期，且若是在擴張期時信用擴張較快速的話，亦會增加衰退期之下跌幅度，我們額外發現，是否處於金融相關衰退期為決定衰退程度的重要因素，又若是擴張期時信用比率年增量超越門檻值也會對爾後衰退期造成負面影響，但門檻值估計結果並不顯著。

關鍵字

信用擴張 ； 金融衰退 ； 景氣循環 ； 門檻模型

並列摘要

This paper is aimed to investigate the role of credit in business cycles, with a focus on private credit overhang in the expansion. There are two major findings from Jordà et al. (2013): first, financial recessions are more serious than normal recessions in terms of the magnitude of the output decrease; and second, for both types of recession, more credit expansion during the expansion stage of business cycles tend to be followed by deeper recessions and slower recoveries. Following Jordà et al. (2013), we employ the data from the Asia-Pacific and less-development countries between 1960 and 2012 to examine the magnitude of the output decrease between financial and normal recessions and how the credit growth in the expansion stage works. We find that the financial recession causes economic output dropped more than the normal recession and a credit-intensive expansion tend to be followed by a deeper recession. Besides, from the quantitative model, we test the effect of the credit on the output in recession depends on the threshold value. The result is the drop of output in the recession is deeper at the high credit expansion, but it is not statistically significant. Eventually, we can conclude with that an important factor in determining the output falling level is whether it is financial recession or not in our study.

並列關鍵字

credit expansion ； financial recession ； business cycle ； threshold model

參考文獻

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