台灣存款貨幣機構流動準備因素之探討

Abstract

流動性(liquidity)為資產能以合理價格變現之能力，而存款貨幣機構（以下稱為銀行）資產流動性較低，銀行為應付存戶提領需求，避免流動性風險，並能適時進行投資，增加獲益，會保有適當流動準備。本文主要針對本國銀行流動準備變動趨勢，探討其變動因素，並考慮金融海嘯對流動準備的影響。首先參考各國流動準備制度演變、銀行流動性管理與以往國內外相關文獻，使用2002~2012年本國銀行之流動準備月資料進行研究，解釋變數分為存放款變數、同業拆款餘額、利率相關變數與總體經濟變數，並建立模型，使用單根檢定、Granger 因果關係檢定、共整合檢定、誤差修正模型、衝擊反應分析、迴歸分析等計量方法，探討各變數之影響程度與互動關係。根據實證結果，歸納主要結論如下：共整合檢定顯示各變數存在一組長期共整合關係，在誤差修正模型與最後迴歸分析中，落後一期之活期性存款、定期性存款、短期放款、中長期放款對於流動準備有顯著影響，同期同業拆款拆出餘額影響不顯著，顯示銀行流動準備充足，而在總體因素方面，落後兩期加權股價指數和金融海嘯對流動準備均有顯著影響。

Liquidity is the ability of a bank to fund increases in assets and meet obligations as they come due, without incurring unacceptable losses. The assets of deposit money institutions are less liquid, in order to avoid liquidity risk, liquidity reserves for banks operating is important, not only to cope depositors withdraw demand, but also timely investment and increase benefits. This paper mainly research into domestic bank liquidity reserve to explore the changes in factors, and consider the financial impact of the financial crisis on liquidity reserves. The paper consults liquidity reserve system, the management of bank liquidity and references of empirical researches, conducting empirical model by using the monthly data for the period 2002-2012.The explanatory variables are sources of deposits, loans, balance of interbank offered credit, interest rates, macroeconomic changes and event impacts. The quantitative methods are used to empirically analyze different variables, such as Unit Root Test, Co-integration Test, Error Correction Model, Granger Causality Test, Impose Response analysis and regression analysis. Empirical results of this study indicate that there exists a long-term co-integration relationship with explanatory variables. In Error-correction Model and regression analysis, one-period-lag deposits and loans have significant influences on liquidity reserve. However, balance of interbank offered credit is insignificant, which indicates that the liquidity reserves of bank are sufficient. In addition, two-periods-lag Taiwan weighting stock price index and the dummy variables of financial crisis also have significant influences.