台灣貨幣政策傳遞管道與銀行放款探討－符號限制下結構式向量自我迴歸模型之應用

Abstract

本文旨在分析不同衝擊對銀行放款組合影響，並驗證台灣貨幣傳遞的信用管道是否存在。我們以符號限制法 (Sign Restrictions) 認定緊縮性貨幣衝擊、總合供給衝擊與總合需求衝擊，研究不同衝擊下各類銀行放款的動態反應。結果發現消費性放款與房屋類放款會在緊縮性貨幣政策衝擊發生後下降而企業放款增加。相反地，負向總合供給衝擊將使消費性放款與房屋類放款呈現上升的現象而企業放款則減少。與前述兩種衝擊不同，負向總合需求衝擊將導致所有放款細項皆一致性地降低。透過不同衝擊的相互比較分析，我們觀察到利率與物價的高低可能導致銀行放款組合的改變，另外也發現放款供給對緊縮性後的放款變化仍有較佳的解釋力。

This article aims to empirically study the impact of different shocks on the loan portfolio and tests the existence of credit channel in the Taiwan.We use sign restrictions to identify the three standard macroeconomic shocks that are typically analysed in this framework – contractionary monetary policy, aggregate demand and aggregate supply. The key results show that consumer loans and real estate loans sharply decrease, while commercial loans increase after a contractionary monetary policy shock. On the contrary, during a negative aggregate supply shock, consumer loans and real estate loans increase but commercial loans decrease. Somewhat differently, all banks’ loan portfolios decrease during a negative aggregate demand shock. Comparative analysis of different shock, we observe interest rates and prices may affect bank loan portfolios. We also find that loan supply factors have better explanatory power for the changes in the bank loans during contractionary monetary policy.