次貸危機金融要素變動對流動性效果影響之分析

The Liquidity Effect and the Change of Financial Factors in Subprime Crisis

馬欣芝(Shin-Chih Ma)

指導教授 ： 陳旭昇

國立臺灣大學/社會科學院/經濟學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.02827

摘要

自從次貸危機發生以來，美國的金融市場經歷了結構性的變遷，此時銀行體系也發生了巨大的改變。此篇論文主要欲探討次貸危機對流動性效果所造成的影響。所謂流動性效果，指的是名目利率對於外生性貨幣存量改變所造成的反向變動效果，此效果亦是貨幣傳遞機制中重要的一環。在對次貸危機和流動性效果做合理的連結以前，本文想先確立一個關於流動性效果與金融市場要素的假說。此假說來自於一般化設定的限制參與模型，而從此模型可以推導出以下的論述：流動性效果會受到金融市場中存在交易成本的影響而變得更強烈。本論文採用門檻值向量自我相關迴歸模型，先確定時間序列的金融市場變數為反應金融市場交易成本的良好指標，再將此些金融變數視為模型中的門檻變數。門檻變數的作用在於將每一筆時間序列資料依準則歸類到高交易成本或低交易成本的其一區間內，再針對每一區間做流動性效果的估計。藉由流動性效果的係數估計結果以及非線性衝擊反應函數的模擬結果，本篇論文得到的結論主要有兩個：第一，本文的結論支持一般化設定的限制參與模型下所隱含的假說成立，也就是估計的結果發現高交易成本的區間產生了比較強的流動性效果與比較立即的利率反應；反之低交易成本的區間則流動性效果較弱且開始反應的時間較為延後。第二，由於觀察次貸危機發生以來，大部分美國金融市場的時間序列資料都被納入門檻模型中的高交易成本區間，而在此區間估計出的流動性效果又較低成本區間強烈，故可推論美國在次貸危機之後的流動性效果變得比次貸危機之前來的強烈。

關鍵字

流動性效果 ； 金融市場要素 ； 次貸危機 ； 門檻值向量自我相關迴歸模型

並列摘要

Since the subprime crisis in 2007, the changes of the U.S. financial market have led to a substantial movement in the financial variables of the banking system. In order to identify the variation of the liquidity effect --- the negative response of the interest rate to an exogenous money stock shock --- that comes from the subprime crisis, this thesis targets to provide evidence for the hypothesis which implicitly predict a linkage between the financial variables and the liquidity effect. The hypothesis, which is implied by a generalized version of limited-participation models, says that the transaction costs in financial markets may intensify the liquidity effects. To examine the hypothesis, the thesis employs the threshold vector autoregressive (TVAR) model to estimate from the U.S. time series data. The financial variables, which are regarded as good indicators for the transaction costs, are used as the threshold variable to separate the time series data into the high- and low-transaction-cost regimes. Based on the TVAR estimates as well as the nonlinear impulse responses, the findings support the hypothesis of the generalized version of limited-participation models. The estimation implies that there is a more prominent and instant liquidity effect under the high-transaction-cost regime than under the low-transaction-cost regime. In addition, we find that most of the U.S. time series data after 2007 subprime crisis coincide with the high-transaction-cost regime. This implies that, given other things unchanged, the liquidity effect may be more prominent after the crisis than before the crisis.

並列關鍵字

Liquidity effect ； Financial factor ； Subprime crisis ； TVAR model

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