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系統識別號 U0002-1607201300101500
中文論文名稱 銀行業存款量與放款量的因果關係非線性互動探討-以T銀行為例
英文論文名稱 Nonlinear Causal Relationship between the Amounts of Deposit and Lending volumes for Banking Industry - T Bank Evidence
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 101
學期 2
出版年 102
研究生中文姓名 張瓊文
研究生英文姓名 Chiung-Wen Chang
學號 700530115
學位類別 碩士
語文別 中文
口試日期 2013-06-21
論文頁數 39頁
口試委員 指導教授-聶建中
指導教授-林建甫
委員-韋伯韜
委員-林景春
委員-聶建中
中文關鍵字 存款量  放款量  銀行業  動差門檻誤差修正模型  非對稱長短期因果 
英文關鍵字 deposit  loan  banking industry  momentum threshold error correction model  asymmetric dynamic causality 
學科別分類
中文摘要 存款和放款間之利差是「價」的問題,存款量與放款量間之互動是「量」的問題。存款和放款之間的利差,以及存款量與放款量之間的互動,皆是影響著銀行經營獲利的重要因素。本研究自存款量與放款量間之互動的「量」的角度出發,以一般銀行業(T銀行)為案例,探討存款量和放款量的長、短期因果互動關係。研究方法採用Enders and Granger(1998)及Enders and Siklos(2001)所發展的MTAR及MTECM兩階段非線性方法,嘗試以存款與放款兩者的量之間的差異作門檻,來探討在門檻之上和門檻之下,存款量和放款量的非線性非對稱長、短期因果互動關係。
本研究實證結果發現,若考量存款和放款互動間之非對稱門檻關係,不論以放款量或存款量為被解釋變數,存放款兩變數之相互間,於短期中並無任何「領先-落後」的因果關係存在;然而傳統誤差修正模型實證卻發現於短期間,存款量對放款量呈現顯著(1%)之「領先」因果關係。於長期間,非對稱門檻誤差修正模型發現,唯當存款與放款之偏離度較大而超過兩變數之殘差值門檻時,存款量存在著對放款量「領先」的因果關係。據以T銀行為例之研究綜合結果分析,該銀行於短期內當存款量增加或減少時,就會產生放款部門隨之增減其放款量之行為。而於長期間,當存款量與放款量之差異擴大至一定之數額時,放款量因存款量之變化而隨之跟變的情形會容易發生;反之,若存款量與放款量之差異數額不大時,兩者間應是相互獨立而互不「領先-落後」因果影響的。據此以T銀行為例之結果發現,期望能提供政府相關單位在未來設定金融機構利率定價之施政參考,並提供專業金融機構對於存、放之間的控制方針。
英文摘要 The spread between loan and deposit relates the issue of price, whereas the interrelationship between the amounts of loan and deposit is the issue of volume. Both issues are key factors affecting the performance of bank operation. Concerning the volume issue, this study uses T-bank as sample for proxy for the general banking industry to investigate the long run and short run dynamic relationship between the amounts of loan and deposit. The methodologies include MTAR and MTECM elaborated by Enders and Granger (1998) and Enders and Siklos (2001), which are employed for the nonlinear asymmetric threshold cointegration and long run and short run dynamic Granger causality tests for the amounts of loan and deposit.
The empirical finding shows that not any ‘lead-lag’ causal relation found in the short run when considering the asymmetric threshold effect. However, the uni-directional short run causal relation from the amount of deposit to the amount of loan (at the 1% significant level) exists in the ECM modeling. For the long run relationship, the amount of deposit also leads the amount of loan when the previous disequilibrium between them is too large and over a threshold level. The overall analyses by T-bank evidence illustrate that increasing and decreasing of the amount of deposit in T-bank will affect the amount of loan of T-bank during the short run and the long run when the amounts of deposit and loan depart too far. However, the amounts of deposit and loan are mutual independent when they are getting closer. Our finding hopefully can offer good references for government in making interest rate policy for financial industry and for professional financial institutes in controlling their deposit and loan.
論文目次 目錄
謝辭······································································· Ⅰ
中文摘要 ··································································· II
英文摘要 ··································································III
目錄 ········································································IV
表目錄 ······································································ V
圖目錄 ······································································ V
第一章 緒論.............................…………………….............................................……1
第一節 研究動機 .............................................………………………………..1
第二節 研究目的......................... ............….......………………………...........2
第三節 研究流程與步驟.....................................……………………………...4.
第四節 論文架構.............................................………………………………...5
第二章 文獻回顧................................................…………………………………......6
第三章 資料來源與分析..............................…………………………………..........11
第一節 存、放款量資料..................………………………........................... 11
第二節 變數之敘述性統計資料........…………………….......……................12
第四章 研究方法..........................................…………………..……………............13
第一節 單根檢定....................……………………………….......................... 14
第二節 門檻共整合檢定.................……………………………..................... 19
第三節 門檻誤差修正模型.....…………………………................................. 23
第五章 實證結果與分析..............………………………………..............................27
第一節 單根檢定之實證結果.………………………………......................... 27
第二節 門檻共整合檢定之實證結果………………………….......................28
第三節(非對稱) 門檻誤差修正模型檢定之實證結果…...............................30
第六章 研究結論.................................…………………………………...................34
參考文獻......................................………………………………………...............….36
IV
表目 錄
表3-1 T銀行存款量與放款量之樣本期間年度總量……………….…………..11
表3-2 存放款量的敘述統計...….......………………………................... .................12
表5-1 單根檢定...….......……………………….................................................... ...............27
表5-2 存放款量之門檻共整合檢定...….......…………………………… …...........29
表5-4 存放款量之一般誤差修正模型實證結果...…............………………………...........31
表5-3 存放款量之非對稱門檻誤差修正模型實證結果...….......………………………....33
圖 目 錄
圖1-1 研究流程圖...….......………………………......................................................4
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