本文主旨討論在貨幣政策的衝擊下，資本市場的不完全性是否影響了銀行借出管道的存在，以及這種影響會不會因為經濟發展程度的不同而有所不同。所以，將49國共2640家銀行樣本資料依每人實質國內生產毛額高低的分佈情形，分為全部樣本國家、高所得國家和低所得國家等三大樣本，使用縱橫資料的計量方法採「固定效果模型」來進行實證分析。我們得到以下的結論：

1.全部樣本國家和低所得國家在緊縮時期皆有銀行放款下跌的現象，同時發現銀行存款和流動性資產也有下跌的現象，更一進步的佐證了這兩個樣本之下顯著的存在借出管道現象。然而高所得國家受緊縮貨幣政策影響，在緊縮時期的放款不顯著，同時觀察銀行的存款和流動性資產與放款呈現相同的結果，因此借出管道在高所得國家下並不顯著。進一步的發現，因為低所得國家市場摩擦程度較高，所以放款下跌幅度最大，因此借出管道的效果也最強。

2.在全部樣本國家和低所得國家下，當一國的金融發展活動指標愈高、債權人權益指標愈高和資訊分享，皆降低了市場摩擦程度，有效地減緩了在緊縮時期銀行存、放款和流動性資產的下跌，同時也削弱了銀行借出管道的影響力，但高所得國家的市場摩擦變數卻不顯著。反之在擴張時期，三大樣本的交叉項大都不顯著。

3.由三大樣本下發現，存、放款在緊縮時期和擴張時期皆為非對稱性現象。不過，我們進一步觀察流動性資產，在全部國家和低所得國家樣本下，緊縮時期皆為顯著的下跌，但擴張時期放款反應卻不顯著，可知流動性資產依然為非對稱性現象。但是，相反的高所得國家與前者略有不同，在緊縮時期和擴張時期皆不顯著，此時高所得國家的流動性資產具有對稱性現象。


關鍵詞：銀行借出管道、資本市場不完全性、貨幣政策、非對稱性效果

This paper investigates empirically the effects of capital market imperfections on bank lending channel. We use financial development index, information sharing, and creditor rights to measure capital market imperfections. Applying to 49 countries covering 2640 banks during the period of 1993-2003, our empirical results are summarized as follows.
First, bank lending channel exists for both whole sample and low-income sample   countries. That is, after monetary tightening, not only bank loans, but also deposits and liquid assets fall immediately. On the other hand, bank lending channel does not significantly exist for high-income sample countries. 
Second, for whole sample and low-income sample countries, the effect of bank lending channel becomes weaker as market imperfection measures improve, while for high-income sample countries the degree of market imperfections has no significant effects on bank lending channel.
Finally, we also find asymmetric effects of bank lending channel for both low- and high-income sample countries. Specifically, monetary tightening causes bank loans to decrease while monetary expansion has insignificant impacts on bank loans.

目錄 
第一章  緒論                                             1
第二章  文獻回顧                                         5
第三章  實證分析                                         11
 3.1    資料來源                                         11
 3.2    實證模型設定                                     13
 3.3    各國的個別銀行採固定效果的實證結果(1993~2003年)  16
 3.3.1  應變數為放款時，採固定效果的實證結果             16
        a.全部樣本國家                                   16
        b.高所得國家                                     18
        c.低所得國家                                     20
        d.小結                                           22
 3.3.2  應變數為存款時，採固定效果的實證結果             23
 3.3.3  應變數為流動性資產時，採固定效果的實證結果       24
第四章  結論與建議                                       33
參考文獻                                                 45


                              表目錄
表1    樣本國家及其銀行家數                              12
表2    變數定義                                          12
表3a   所有國家採固定效果—應變數為放款變動              17
表3b   高所得國家採固定效果—應變數為放款變動            19
表3c   低所得國家採固定效果—應變數為放款變動            21
表4a   所有國家採固定效果—應變數為存款變動              25
表4b   高所得國家採固定效果—應變數為存款變動            26
表4c   低所得國家採固定效果—應變數為存款變動            27
表5a   所有國家採固定效果—應變數為流動性資產變動        29
表5b   高所得國家採固定效果—應變數為流動性資產變動      30
表5c   低所得國家採固定效果—應變數為流動性資產變動      31
附表1  變數基本檢定統計量和相關係數矩陣                  35
附表2a 所有國家採隨機效果—應變數為放款變動              36
附表2b 高所得國家採隨機效果—應變數為放款變動            37
附表2c 低所得國家採隨機效果—應變數為放款變動            38
附表3a 所有國家採隨機效果—應變數為存款變動              39
附表3b 高所得國家採隨機效果—應變數為存款變動            40
附表3c 低所得國家採隨機效果—應變數為存款變動            41
附表4a 所有國家採隨機效果—應變數為流動性資產款變動      42
附表4b 高所得國家採隨機效果—應變數為流動性資產變動      43
附表4c 低所得國家採隨機效果—應變數為流動性資產變動      44

References

Berlin, M., and Loeys J., 1988. “Bond Covenants and Delegated Monitoring.” Journal of Finance, Vol. 43, 397-412.

Bernanke, B., 1983. “Nonmonetary effects of the financial crisis in propagation of the great depression. ” American Economic Review, Vol.73, 257-276.

Bernanke, B. S., and Gertler, M., 1995.“Inside the black box:The credit channel of monetary policy transmission.”The Journal of Economic Perspectives, Vol. 9, No. 4, 27-48

Billett, M. T., Flannery , M. J., and Garfinkel , J. A., 2006. “Are bank loans special?Evidence on the post-announcement performance of bank borrowers.” Journal of Financial and Quantitative Analysis, Vol. 41, No. 4, 733-751.

Djankov, S., McLiesh, C., and Shleifer, A., 2006.“Private credit in 129 Countries.”NBER Working Paper No.11078.

Favero, C. A., Giavazzi, F., and Flabbi, L., 1999.“The transmission mechanism of monetary policy in Europe: Evidence from banks balance sheets.”NBER Working Paper No.7231.

Fama, E., 1985. “What’s different about banks?” Journal of Monetary Economics, Vol.15., 29-39.

Gambacorta, L., 2005.“Inside the banking lending channel.”European Economic Review 49, 1737-1759.

Jappelli, T., and Pagano, M., 2002.“Information sharing, lending and defaults: Cross- Country evidence.”Journal of Banking and Finance26, 2017-2045.

Kakes, J., and Sturm, J. E., 2002.“Monetary policy and bank lending:Evidence from German Banking groups.”Journal of Banking and Finance 26, 2077-2092.

Kashyap, A. K., Stein , J. C., and Wilcox, D. W., 1993.“Monetary policy and credit conditions: Evidence from the composition of external finance.”The American Economic Review, Vol. 83, No. 1, 78-98

Kashyap, A. K., and Stein , J. C., 2000.“What do a million observations on banks say about the transmission of monetary policy?”The American Economic Review , Vol. 90 , No. 3 , 407-428.

Kishan, R. P., and Opiela, T. P., 2006.“Bank capital and loan asymmetry in the transmission of monetary policy.”Journal of Banking and Finance 30, 259-285.

Kishan, R. P., and Opiela, T. P., 2000.“Bank Size, Bank Capital, and the Bank Lending Channel.”Journal of Money, Credit and Banking, Vol. 32, No. 1, 121-141.

Khruana, I. K., Martin, X., and Pereira, R., 2006. “Financial development and the cash flow sensitivity of cash.” Journal of Financial and Quantitative Analysis, Vol. 41, No. 4, 787-807.

Kwan, S., and Carleton W., 1998. “Financial contracting and the choice between private placement and publicly offered bonds.” Federal Reserve Bank of San Francisco Working Paper.

La Porta, R., Lopez-de-Silanes, F., Shleifer, A., and Vishny, R. W., 1998. “Law and finance.”Jorunal of Political Economy, Vol. 106 , No. 6 , 1113-1155.

Levine, R., 1998.“The legal environment,banks and long-run economic growth.”Journal of Money, Credit, and Banking, Vol.30, No.3, 596-620.

Levine, R., 1999.“Law, finance, and economic growth.”Journal of Financial Intermediation 8, 8-35.

Oliner, S. D., and Rudebusch ,G. D., 1996.“Monetary policy and credit conditions: Evidence from the composition of external finance:Comment.”The American Economic Review, Vol. 86, No. 1, 300-309. 

Tadesse, S., 2006. “Innovation, information, and financial architecture.” Journal of Financial and Quantitative Analysis, Vol. 41, No. 4, 753-786.