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系統識別號 U0002-2606201211414100
中文論文名稱 利率轉嫁與貨幣政策傳遞─動態異質追蹤資料模型之應用
英文論文名稱 Interest rate Pass-through and Monetary Policy Transmission─Dynamic Heterogeneous Panel Model applied
校院名稱 淡江大學
系所名稱(中) 經濟學系碩士班
系所名稱(英) Department of Economics
學年度 100
學期 2
出版年 101
研究生中文姓名 呂湘惠
研究生英文姓名 Hsiang-Huei Lu
學號 699570205
學位類別 碩士
語文別 中文
口試日期 2012-06-01
論文頁數 59頁
口試委員 指導教授-萬哲鈺
委員-柯大衛
委員-陳思寬
中文關鍵字 利率轉嫁  ARDL共整分析  動態異質追蹤資料模型 
英文關鍵字 Interest rate pass-through  ARDL cointegration  Dynamic heterogeneous panel model 
學科別分類 學科別社會科學經濟學
中文摘要 本文主要在研究台灣零售利率反應政策利率或官方利率變動的轉嫁效果,其中分別以放款利率以及存款利率代表零售利率,以隔夜拆款利率代表政策利率或官方利率。研究過程同時以時間數列之ARDL共整分析以及動態異質追蹤資料模型進行討論,實證結果顯示政策利率變化影響存款利率的效果小於一,具有不完全轉嫁效果。至於放款利率反應政策利率變化的效果則大於一。不論以時間數列或追蹤資料模型進行分析,以上的推論皆可以成立,這顯示本文的實證結果具有穩健性。
英文摘要 This research examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in policy rate or offical rate in Taiwan. By employing both the ARDL Cointegration model and Dynamic Heterogeneous Panel Model, the empirical results show the pass through from policy rate to deposit rate is less than one or incomplete and that for loan rate is greate than one. The above conclusions held under both the time series and panel data analysis indicate the inferences proposed in this research are robust.
論文目次 壹、緒論 1
第一節、 研究動機與目的 1
第二節、 臺灣金融機構之概況 4
貳、文獻回顧 7
第一節、 跨國與單一國家文獻回顧 7
第二節、 不完全轉嫁之原因 9
第三節、 計量模型文獻回顧 11
參、研究方法及模型設定 14
第一節、 ARDL BOUNDS TESTING APPROACH 15
第二節、 MG、PMG、DFE 18
肆、實證分析 21
第一節、 資料來源與描述 21
第二節、 ARDL共整分析 25
第三節、 MG、PMG、DFE結果分析 39
伍、結論 51
REFERENCE 56
中文部分: 56
西文部分: 56
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