本文主要在研究總體經濟變數影響銀行放款的效果，是否因貨幣政策緊縮、寬鬆或經濟擴張、收縮不同，而出呈現不對稱的反應行為。實證結果指出，以線性向量誤差修正模型而言，銀行放款不受任何總體變數的影響。然以不對稱向量誤差修正模型之架構，選擇隔夜拆款利率變化為門檻變數時，估計結果顯示放款利率變動會影響銀行放款，且在貨幣政策緊縮階段總體經濟變數影響銀行放款之效果，較貨幣政策寬鬆階段時為大，此結果與Gambacorta and Rossi (2010) 的結論類似。若改以工業生產指數變動為門檻變數，估計結果指出銀行放款變動會影響工業生產指數的變化，且景氣衰退階段總體經濟變數影響銀行放款的效果，也較景氣擴張階段明顯，這一點則與Bernanke et al. (1996) 之金融加速機制隱含之推論相符。

This research investigates whether the interactions between bank lending and  major macroeconomic variables are asymmetric under different phases of monetary policy and business cycles. The empirical results indicate that the macroeconomic variables cannot influence the changes of bank lending under linear vector correction framework. However, under asymmetric vector error correction model taking change in overnight rates as threshold variable, the effect of lending rate on bank lending during tight monetary policy is larger than the one during easy monetary policy. Besides, by adopting change in output as threshold variables, the effects of macroeconomic variables on bank lending during contraction are larger than the one during expansion.

圖目錄	II
表目錄	III
第一章  緒論	1
第二章  文獻回顧	4
2.1  理論文獻	4
2.2  實證文獻	6
2.2.1 總體變數之選擇	6
2.2.2 貨幣政策變數之選擇	7
2.2.3 計量方法	7
第三章  資料說明及研究方法	11
3.1  資料說明與模型設定	11
3.2  研究方法	13
3.2.1  單根檢定	13
3.2.2  Johansen共整合檢定	15
3.2.3  向量誤差修正模型與弱外生性檢定	17
3.2.4	不對稱向量誤差修正模型	19
第四章  實證結果	23
4.1  單根檢定	23
4.2  Johansen共整合檢定	29
4.3  弱外生性檢定	31
4.4  向量誤差修正模型估計	33
4.4.1  模型1	33
4.4.2  模型2	37
4.5  不對稱向量誤差修正模型估計	43
4.5.1	門檻變數為隔夜拆款利率	43
5.5.2	門檻變數為工業生產指數	45
第五章  結論	55
參考文獻	57
 
圖目錄
圖2-1  Bernanke and Blinder(1988)的CC-LM模型	6
圖4-1  消費者物價指數原始序列圖	25
圖4-2  工業生產指數經季節性調整原始序列圖	25
圖4-3  名目放款原始序列圖	26
圖4-4  放款利率原始序列圖	26
圖4-5  隔夜拆款利率原始序列圖	27
圖4-6  實質有效匯率指數序列圖	27
圖4-7  加權平均股價指數序列圖	28

  
表目錄
表3-1  資料型式與來源	12
表4-1  單根檢定表	24
表4-2  模型1 Johansen共整合檢定	30
表4-3  模型2 Johansen共整合檢定	30
表4-4  模型1弱外生性檢定	31
表4-5  模型2弱外生性檢定	32
表4-6  模型1-1誤差修正模型估計結果	36
表4-7  模型1-2誤差修正模型估計結果	37
表4-8  模型2-1誤差修正模型估計結果	41
表4-9  模型2-2誤差修正模型估計結果	42
表4-10 模型1-1不對稱誤差修正模型估計結果	47
表4-11 模型1-2不對稱誤差修正模型估計結果	48
表4-12 模型2-1不對稱誤差修正模型估計結果	49
表4-12 模型2-1不對稱誤差修正模型估計結果 (續)	50
表4-13 模型2-2不對稱誤差修正模型估計結果	51
表4-13 模型2-2不對稱誤差修正模型估計結果 (續)	52

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