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DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 謝德宗 | |
dc.contributor.author | Szu-Yin Liu | en |
dc.contributor.author | 劉思吟 | zh_TW |
dc.date.accessioned | 2021-06-07T17:51:25Z | - |
dc.date.copyright | 2012-09-28 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-09-20 | |
dc.identifier.citation | 一、中文文獻:
1.李奕肇(1995),《臺灣一般銀行借入準備需求函數之估計,兼述央行融通借入準備現況》,國立中央大學產業經濟研究所碩士論文。 2.李瑋琪(1998),《存款準備金制度與拆款市場價量關係之研究》,國立中央大學財務管理學系碩士論文。 3.李榮謙(2012),《貨幣銀行學》,台北:智勝文化。 4.徐桂華(1995),《金融業拆款利率波動原因之探討與實證:結構化向量自我迴歸之實證研究》,國立臺灣大學財務金融學研究所碩士論文。 5.張瑞欒(2007),《貨幣政策利率傳遞管道之最適選擇-台灣實證研究》,國立台灣大學經濟學系研究所碩士論文。 6.張嘉珍(2002),《銀行最適準備金管理之實證研究》,銘傳大學金研究所碩士論文。 7.莊有德(1981),《存款準備金與貨幣供給的關係-台灣地區的實證研究》,國立政治大學財政研究所碩士論文。 8.陳旭昇(2007),《時間序列分析:總體經濟與財務金融之應用》,台北:東華書局。 9.陳明棽(1992),《商業銀行準備金管理行為之研究》,中原大學企業管理研究所碩士論文。 10.劉永欽(1992),《商業銀行流動性管理之理論與實證》,國立中央大學務管理研究所碩士論文。 11.鄭又慈(1998),《我國最適存款準備問題之研究》,國立中山大學財務管理研究所碩士論文。 12.鄭達文(2005),《臺灣地區銀行存放款利率差的研究》,淡江大學國際貿易學系國際企業學研究所碩士論文。 13.霍德明、莊希豐(2010),《貨幣銀行與金融市場 : 理論與實務》,台北:滄海書局。 14.謝德宗、俞海琴(2007),《金融機構管理》,台北滄海書局。 15.蘇詠智(1997),《臺灣隔夜拆款利率之變異性與指標性研究》,國立台灣大學財務金融學系研究所碩士論文。 16.鐘惠民、周賓凰、孫而音(2011),《財務計量:Eviews的運用》,台北:新陸書局。 二、英文文獻: 1.Agenor Pierre-Richard, Joshua Aizenman and Alexander W. Hoffmaister, 2004 , “The credit crunch in East Asia:what can bank excess liquid assets tell us? ” Journal of International Money and Finance, 23:27-49. 2.Baumol Willian J., 1952 , “The transactions demand for cahs:An inventory theoretical approach.” Quarterly Journal of Economics, 66:545-556. 3.Chick Victoria and Sheila Dow, 2002 , “Monetary Policy with Endogenous Money and Liquidity Preference:a Nondualistic Treatment.” Journal of Post Keynesian Economics, 24(4):587-607. 4.Clouse James and James P. Dow, 2002 , “A Computational Model of Bank’s OPtimal Reserve Management Policy.” Journal of Economic Dynamics & Control, 26:1787-1814. 5.Dow James P., 2001 , “The Demand for Excess Reserves.” Southern Economic Journal, 67:685-700. 6.Forst Peter A., 1971 , “Bank’s Demand for Excess Reserves.” The Journal of Finance, 23(3):538-539. 7.Fraser Donald R. and Peter Rose, 1973 , “Short-run Bank Portfolio Behavior:An Examination of Selected Liquid Assets.” The Journal of Finance,:531-537. 8.Frenkel Jacob A. and Boyan Jovanovic, 1980 , “On Transactions and Precautionary Demand for Money.” The Quarterly Journal of Economics, 95(1):25-43. 9.Kaldor Nicholas, 1982 , “The Scourge of Monetarism.” Oxford University Press,:26-27. 10.Lavoie Marc, 1984 , “The Endogenous Flow of Credit and the Post Keynesian Theory of Money.“ Journal of Economic Issues, 18:771-797. 11.Miller Merton H. and Daniel Orr, 1966 , “A Model of teh Demand for Money by Firms.“ The Quarterly Journal of Economics, 80(3):413-435. 12.Moore Basil J., 1989 , “The Endogeneity of Credit Money.” Review of Political Economy, 1(1):64-93. 13.Poole William, 1968 , “Commercial Bank Reserve Management in a Stochasic Model:Implications for Monetary Policy.” The Journal of Finace, 23(5):769-791. 14.Rousseas Stephen, 1989 , “On the Endogeneity of Money Once More.' Journal of Post Keynesian economics, Spring, 6(3). 15.Tobin James, 1956 , “The Interest-Elasticity of Transactions Demand for Cash.” The Review of Economics and Statistics, 38(3):241-247. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15754 | - |
dc.description.abstract | 存款是銀行營運槓桿的重要基石,而大部份國家皆要求銀行必須提撥法定準備以確保存戶權益。除法定準備外,為免於突發事件釀成擠兌,通常會額外保有資金因應提領需求,即超額準備。因超額準備不受法令限制,由銀行視營運需求自行提存;實務上,銀行難以精確計算營業所需的現金流量,是以超額準備之提存、時點、資產負債缺口分析等因素就考驗著銀行選擇配置資金達到最大效率的判斷力。如何控制適當之準備使銀行獲利極大化,不僅是銀行營運第一要務,也
是一項值得探討的議題。 本文首先針對各項解釋變數依資金來源、持有成本、資產型態、總體景氣及總體事件衝擊五大分類精簡實證模型。後續利用單根檢定、共整合檢定、誤差修正模型、Granger 因果關係檢定及迴歸分析等計量方法針對各項總體經濟變數與全體金融機構超額準備進行實證分析,可歸納出下以結論: 在共整合檢定,全體金融機構超額準備變動與活期性存款、定期性存款、放款總額、同業拆款餘額、央行定期存單沖銷餘額、票券投資餘額及台灣加權股價指數可形成一個長期均衝共整合關係,而各變數間在誤差修正模型及Granger 因果關係也互有領先及因果關係。最後在迴歸分析中,除活期性存款落後一期不顯著外,定期性存款、同業拆款餘額與台灣加權股價指數落後三期、放款總額落後二期、當期央行定期存單沖銷餘額、票券投資餘額與衝擊事件均對超額準備有顯著影響,其中只有票券投資餘額與預期方向不符,主要可能因市場上資金過度寛鬆,導致銀行將閒置資金投資各項票券時,仍無法完全抵消超額準備增加幅度,使二者呈同向變動。 | zh_TW |
dc.description.abstract | Deposits are the foundation stone in bank operation, and most countries require the banks to reserve a certain ratio of money to ensure the benefits of depositors. In addition to required reserve, for fear of a run on a bank in case of emergency, banks usually set aside extra funds for money withdrawal, which is excess reserve. However, for there is no regulations regarding excess reserve, it is banks that decide the ratio according to its operational needs. In practice, banks have difficulty calculating the amount of required cash flow. Thus, factors regarding the deposits, withdrawal and timing of excess reserve as well as asset-liability gap analysis will be important determinants of the banks’ efficiency. How to determine the reserve ratio in order to maximize profits is the first priority in bank management as well as an issue worth discussing.
In this paper, the researcher first simplifies the empirical models of some explanatory factors based on five categories: sources of funds, costs, forms of assets, economic changes and event impacts. Later certain quantitative methods such as Unit Root Test, Co-integration Test, Error Correction Model, Granger Causality Test and Regression analysis are implemented to empirically analyze different macroeconomic variables as well as the excess reserves of financial institutions. The conclusions are as follows: In Co-integration test, the fluctuation of excess reserves of financial institutions forms long-term co-integration relationships with demand deposits, time deposits, total loans, interbank offered balance, overall balance of certificates of deposits issued by the Central Bank, balance of bill investment and Taiwan Weighted Index. Besides, variables have causal relationships among themselves in Error-correction Model and Granger Causality Test. In regression analysis, except for one-period-lag demand deposits which are insignificant, time deposits, interbank offered balance, three-period-lag Taiwan Weighted Index, two-period-lag total loans, overall balance of certificates of deposits issued by the Central Bank, balance of bill investment and event impacts all have significant influences on excess reserves. Among these factors, only the balance of bill investment has an unexpected result. This is probably because when there is too much money in the market, even though the banks have spent idle funds on different bills, it still cannot offset the increase of excess reserve. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T17:51:25Z (GMT). No. of bitstreams: 1 ntu-101-P99323001-1.pdf: 667081 bytes, checksum: 4e7ade9fb4ae1ea2bcfd41bd26339ffe (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 口試委員會審書………………………………………………………i
誌謝……………………………………………………………………ii 中文摘要………………………………………………………………iii 英文摘要………………………………………………………………iv 目錄……………………………………………………………………vi 圖目錄…………………………………………………………………viii 表目錄…………………………………………………………………ix 第一章緒論………………………………………………………………1 1.1 研究背景與動機……………………………………………………1 1.2 研究目的……………………………………………………………3 1.3 研究架構……………………………………………………………4 第二章文獻探討…………………………………………………………6 2.1 存款準備制度的內容………………………………………………6 2.1.1存款準備制度的起源與內涵……………………………………6 2.1.2各國存款準備制度的運用比較…………………………………8 2.2 內生性貨幣供給理論………………………………………………13 2.2.1適應性內生貨幣供給理論………………………………………13 2.2.2結構性內生貨幣供給理論………………………………………14 2.3 銀行準備金需求模型………………………………………………16 2.3.1存貨理論模型……………………………………………………16 2.3.2Poole 的準備金需求模型………………………………………17 2.3.3Agénor、Aizenman和Hoffmaister 超額準備需求模型………18 2.4 其他相關文獻回顧…………………………………………………20 第三章實證模型與資料說明……………………………………………23 3.1 實證模型的建立……………………………………………………23 3.2 實證研究方法………………………………………………………25 3.2.1單根檢定…………………………………………………………25 3.2.2共整合檢定與誤差修正模型……………………………………26 3.2.3Granger 因果關係檢定…………………………………………28 3.2.4衝擊反應分析……………………………………………………29 3.3 資料來源與變數處理………………………………………………30 3.4 相關性分析…………………………………………………………37 第四章實證結果分析……………………………………………………39 4.1 單根檢定……………………………………………………………39 4.2 共整合檢定…………………………………………………………41 4.2.1共整合向量個數檢定……………………………………………41 4.2.2共整合關係………………………………………………………41 4.3 誤差修正模型………………………………………………………44 4.4 Granger 因果關係檢定……………………………………………46 4.5 衝擊反應函數分析…………………………………………………48 4.6 迴歸分析結果………………………………………………………50 第五章結論與建議………………………………………………………53 5.1 結論…………………………………………………………………53 5.2 後續研究建議………………………………………………………54 參考文獻…………………………………………………………………55 | |
dc.language.iso | zh-TW | |
dc.title | 影響台灣金融機構超額準備因素之實證研究 | zh_TW |
dc.title | Determinant Factors of Excess Reserve in Taiwan's Financial Institutations | en |
dc.type | Thesis | |
dc.date.schoolyear | 101-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 李顯峰,黃淑惠 | |
dc.subject.keyword | 超額準備,存款準備制度,內生性貨幣供給理論,銀行準備金需求模型, | zh_TW |
dc.subject.keyword | excess reserve,deposit reserve system,endogenous money supply theory,the demand model for bank reserves, | en |
dc.relation.page | 57 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2012-09-21 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
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