本研究利用Tsay (1998) 多變數門檻模型，分析台灣指標利率和零售利率之間的互動調整關係。針對1989年至2011年間的資料進行分析顯示： (1) 不同到期期限之指標利率與零售利率皆具有共整關係。(2) 在短期主要透過指標利率的變化，調整指標利率與零售利率間的失衡關係。(3) 指標利率對零售利率的影響效果隨到期期限提高而上升。當分析的資料期間改變時，此結論依然可以成立。(4) 不論到期期限長短為何，顯示長期均衡關係之共整係數皆小於1的水準，這表示指標利率影響零售利率的轉嫁程度為不完整的。(5) 不論是指標利率或零售利率，多數結果指出當期利率變化不受落後期利率改變的影響。

This thesis employs the Tsay (1998) multivariate threshold model and investigates the relationship between the benchmark rate and banks’ retail rates to examine the pass-through process in the banking system of Taiwan. The main findings indicate that the pass through from the benchmark rate to retail rate is complete in the long run. In addition, with the maturity of the retail rates increase, the impact of benchmark rates on retail rate rises.

表目錄	IV
圖目錄	VI
壹、	緒論	1
一、	研究背景	1
二、	研究動機	4
貳、	文獻回顧	7
一、	貨幣政策傳遞之六種管道	7
二、	利率僵固性的原因	11
三、	實證方法與內容	15
參、	研究方法	19
一、	模型介紹	19
二、	非線性檢定	20
三、	模型的估計與確認	21
肆、	實證分析與結果	23
一、	資料描述	23
二、	單根與共整合檢定	24
三、	非線性檢定	32
四、	模型的估計與確認	35
五、	實證結果與意涵	36
伍、	結論	48
參考文獻	49
附錄	53

表目錄
表1　中央銀行重貼現率	3
表2　利率僵固性結果總整理	14
表3　存、放款利率的個別影響效果	17
表4　台灣銀行的指標利率和零售利率之單根檢定表(1989~2007年)	26
表5　第一銀行的指標利率和零售利率之單根檢定表(1989~2007年)	27
表6　彰化銀行的指標利率和零售利率之單根檢定表(1989~2007年)	28
表7　土地銀行的指標利率和零售利率之單根檢定表(1989~2007年)	29
表8  ENGLE-GRANGER共整檢定(臺灣銀行)	30
表9  ENGLE-GRANGER共整檢定(第一銀行)	30
表10  ENGLE-GRANGER共整檢定(彰化銀行)	31
表11  ENGLE-GRANGER共整檢定(土地銀行)	31
表12　台灣銀行1989年~2007年延遲變數之選定	33
表13　台灣銀行1989年~2011年延遲變數之選定	34
表14　1989年8月~2007年7月門檻值(台灣銀行)	35
表15　1989年8月~2011年9月門檻值(台灣銀行)	36
表16　臺灣銀行1989~2007年不同區間之最小平方估計值	37
表17　臺灣銀行1989~2011年不同區間之最小平方估計值	38
表18　長期均衡關係(臺灣銀行)	38
表19　彰化銀行1989~2007年不同區間之最小平方估計值	40
表20　彰化銀行1989~2011年不同區間之最小平方估計值	41
表21　長期均衡關係(彰化銀行)	41
表22　土地銀行1989~2007年不同區間之最小平方估計值	43
表23　土地銀行1989~2011年不同區間之最小平方估計值	44
表24　長期均衡關係(土地銀行)	44
表25　第一銀行1989~2007年不同區間之最小平方估計值	46
表26　第一銀行1989~2011年不同區間之最小平方估計值	47
表27　長期均衡關係(第一銀行)	47

圖目錄
圖1　貨幣政策傳遞過程	4
圖2　貨幣政策傳遞機制	10
圖3　隔夜拆款利率	23
圖4　隔夜拆款利率與存款利率比較圖	24

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