陳南光Chen, Nan-Kuang臺灣大學:經濟學研究所黃揚峻Huang, Yang-JunYang-JunHuang2010-05-052018-06-282010-05-052018-06-282009U0001-1708200910230900http://ntur.lib.ntu.edu.tw//handle/246246/179515In general, economists agree that money is neutral in the short run, but there is no consensus between them as to how monetary transmission mechanism works. Keynesians and Monetarists tend to emphasize on liquidity, they categorize assets into money and other nonmoney financial assets called bond. Under the assumption of perfect market, only goods market and money market need to be settled, bond market will automatically clear according to walras’ law. This simplified assumption leads to two major conclusions: money affects economy via interest, that is, financial system is a veil; and any massive financial disorder won’t cause any real effects. During 1930s Great Depression, 1990-1992 recession, and 2007 subprime crisis, evidence were found that financial systems have real effects. Lately many economists devote themselves to relaxing perfect capital market assumption by considering imperfect information theory, resulting in the so called “credit view”. In this thesis, I utilize a unique survey data that measures banks’ lending standard as a proxy for availability of bank credit. Data for both commercial loan and residential mortgage were considered individually. As to model specification, threshold autoregressive and vector autoregressive were used to review various hypotheses predicted by the credit view. As a result, there exists a threshold effect in commercial loan market when variable for monetary policy substance were used as threshold variable. In contraction regime, lending standard affects loan significantly; and when in monetary expansion regime, it affects loan insignificantly. As for mortgage market, there is no threshold effect. Commercial loan market is supportive of credit view, while mortgage market is supportive of liquidity view. In vector autoregressive, a phenomenon called “flight to quality” shared by credit view was presented, but there is no evidence suggesting financial variable as accelerator, which contradicted the credit view.目錄錄………………………………………………………………………i文摘要………………………………………………………………iii文摘要……………………………………………………………… iv.前言……………………………………………………………………1.文獻回顧 2.1 貨幣中立性………………………………………………………4 2.2 信用市場摩擦……………………………………………………5.資料，模型設定和估計方法…………………………………………7 3.1 資料…………………………………………………………… 7 3.2 模型設定 3.2.1 門檻自我迴歸模型………………………………………10 3.2.2 向量自我迴歸模型………………………………………12 3.2.3 Counterfactualsimulation……………………………15.實證結果 4.1 門檻自我迴歸模型…………………………………………… 17 4.2 向量自我迴歸模型 4.2.1 商業製造部門……………………………………………22 4.2.2 抵押貸款部門……………………………………………24.結論………………………………………………………………… 27次 表(一) 門檻效果檢定(商業製造C&I loan)……………………… 17 表(二) 線性模型和門檻模型估計結果(商業製造C&I loan)…… 18 表(三) 門檻效果檢定(抵押貸款mortgage)……………………… 19 表(四) 線性模型和門檻模型估計結果(抵押貸款mortgage)…… 20次 圖(一) 抵押貸款需求增加淨比例和放款標準緊縮淨比例走勢圖……8 圖(二) 商業製造貸款需求增加淨比例和放款標準緊縮淨比例走勢圖……9 圖(三) 貨幣政策衝擊反應函數(商業製造部門)……………………………22 圖(四) 貸放標準衝擊反應函數(商業製造部門)……………………………23 圖(五) Counterfactual simulation(商業製造部門)……………………………23 圖(六) 貨幣政策衝擊反應函數(抵押貸款部門)……………………………24 圖(七) 貸放標準衝擊反應函數(抵押貸款部門)……………………………25 圖(八) Counterfactual simulation(抵押貸款部門)……………………………26考文獻……………………………………………………………… 28application/pdf335084 bytesapplication/pdfen-US貨幣傳遞機能信用管道貸放標準門檻自我迴歸模型向量自我迴歸模型montary transmission mechanismcredit channellending standardthreshold autoregressivevector autoregressivethesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/179515/1/ntu-98-R96323046-1.pdf