郵政儲金與總體經濟變數關係之實證研究

郵政儲金對台灣推動經濟發展與維持金融體系穩定性，長期扮演舉足輕重角色。因此本文針對郵政儲金與總體變數，探討其間的因果關係及互動過程。本研究利用因果關係檢定、向量自我迴歸模型、衝擊反應及變異數分解等計量方法建立實證模型。實證結果歸納如下： 1.由因果關係檢定顯示，存簿儲金和郵政儲金存在單向因果關係；簡易壽險保費收入和劃撥儲金存在雙向因果關係；郵政儲金和M1B餘額存在因果關係，領先M1B餘額3期；郵政儲金和加權股價指數、工業生產指數存在單向因果關係，和消費者物價指數、美元兌新台幣匯率彼此獨立，無法相互預測。 2.由VAR模型的係數分析可知，郵政儲金第1期即受本身前期正向變化影響，顯示存在持續性；簡易壽險保費收入1~4期均受前期變化影響；台灣加權股價指數變動會負向影響郵政儲金，其變化也受過去股價變動影響；M1B貨幣餘額在第3期受到本身前期變化影響，顯示存在持續性。 3.由衝擊反應分析可知，郵政儲金變動面臨本身干擾的反應，在第2期反應衝擊達到最大，屬於正面反應，至第16期後則轉為負向反應；當M1B餘額變動一單位標準差時，郵政儲金呈現變動衝擊反應先負後正；當台灣加權股價指數變動一單位標準差時，郵政儲金呈現由負轉正，第14期正向反應達到最大。 4.由變異數分解得知，郵政儲金和台灣加權股價指數主要被存簿儲金及M1B餘額所解釋；M1B餘額變數主要被台灣加權股價指數及存簿儲金所解釋。

關鍵字

郵政儲金；因果關係檢定；向量自我迴歸模型

並列摘要

Postal savings to Taiwan's economic development and financial system’s stability play a decisive role in the long term. This paper investigates causal relationship and interaction between postal savings and macroeconomic. In this study, the empirical model is derived from the quantitative methods such as the Granger’s Causality Test, VAR model, Impulse Response Analysis and Variance Decomposition. The main conclusions of the empirical results are describe as follows: 1.The causality test reveals that there is one-way causality relationship between the postal savings and the passbook savings. On the other hand, there exist two-way causal relationship between insurance premiums and giro savings. In the causal relationships between postal savings and M1B, the postal savings lead M1B balance by three periods. The postal savings have one-way causal relationship with Taiwan weighted stock index and industrial production index , and is independent with CPI, foreign exchange rates, thus CPI and foreign exchange rates movements are unable to provide predictive power. 2.From the analysis of coefficients of VAR model, the postal savings does impacted by the prior postal savings. Simple life insurance premiums from 1~4 periods are subject to the premium in the prior period. Taiwan stock index’s movement is negatively related with postal savings changes , is also influenced by changes in the past stock price. The M1B balance is self correlated at the 3rd period, and it shows the continuity exist. 3.According to the impulse responses analysis, postal savings in the second phase response have the maximum positive response, and after the 16th period, the response becomes negative. When M1B balance’s standard deviation change by one unit, postal savings impact response turns from negative to positive. When Taiwan weighted stock index’s standard deviation change by one unit, postal savings change from negative to positive, and reach the maximum positive response at 14th period. 4.From the analysis of variance decomposition, the postal savings and Taiwan weighted stock index are primary explained by the passbook savings and M1B balance. Whereas the M1B is mainly explained by the Taiwan weighted stock index and passbook savings.