ߞҔᆅၰӸӧ༏ǻɡаҁ୯ሌՉၗ਑௖૸ϐ

Is bank lending channel functional? An analysis of data in Taiwan.

ߋিዝ 1* ғزࣴ !س୯ҥ჏ကεᏢ! ᔈҔ࿶ᔮ 1 *[email protected]

ᄔा ፓ᏾ճ౗ѐ่మޣɡճ౗ᆅၰаϷߞҔᆅၰɡς೏ቶݱ૸ፕǺ߻ڋε໺ሀᐒٿԾவ1980ԃжଆǴ೤ჾࡹ฼ϐ ǶҁЎట٬ҔӛໆԾس᏾ঁߎᑼᡏډёສၗߎॷҗ೤ჾࡹ฼໺ሀޑໆۓ೸ၸࢌ΋ޣສීՉࣁǹࡕکѱ൑٠ቹៜॷී ӵՖڀय़ӛǺ΋ǵύѧሌՉϐ೤ჾࡹ฼πٿ଑ᘜ (Panel VAR) ϩձ௖૸ך଑ᘜኳࠠ (VAR) аϷଓᙫၗ਑ӛໆԾך ଑ךǵӸී฻ᕴᡏϷߎᑼᡂኧǹΒǵаҁ୯ሌՉϐଓᙫၗ਑Ǵ຾ՉӛໆԾීܫሽǵނளǵ܌೸ၸߞҔᆅၰቹៜ୯҇ ǵӸීǵ࡭Ԗၗౢ฻࿶ᔮࢲ୏Ƕჴ᛾่݀ว౜Ǵීܫځ୯ϐঁձሌՉךࢂց೸ၸߞҔᆅၰቹៜڀᘜǴ௖૸೤ჾࡹ฼π ࿶ᔮޑϐǴߞҔᆅၰᆶሌՉقᆅၰ٠ό΋ठǴඤීܫሌՉޑ੟ကکቚуΨᒿϐวғǴԶ೭ීܫᒿ๱೤ჾᆙᕭǴሌՉ ࢲ୏ϐ໔ޑᜢᖄ܄ம১ᗋԖࡑ୘ᄮǶ ଑ᘜךǵߞҔᆅၰǵӛໆԾڋᜢᗖӷǺ೤ჾࡹ฼໺ሀᐒ

ق߻ .1 ฻࿶ᔮᆶۓሽᛙނᆶۓǴаၲԋߎᑼᛙڀ೤ჾࡹ฼ࢂࡰύѧሌՉ࿶җፓ௓೤ჾᕴीኧǵճ౗Нྗ฻೤ჾࡹ฼π ߏᇻว৖ϐനಖ࿶ᔮҞ኱ǶฅԶǴ೤ჾࡹ฼ૈցԖਏԶЪ፾ਔӦౢғѧՉႣ೛ϐਏޑϐਏ݀Ǵ٠ߦ຾࿶ᔮۓߎᑼᛙ ᕴᡏ࿶ᔮ౛ፕΠǴ೭٤ᡂኧޑϐࡕख़ा࿶ᔮᡂኧϐว৖ǴᕕှӧόӕڀॺёаᙖҗᢀჸѧՉ٬Ҕ೤ჾࡹ฼πךǴ݀ ࡹ฼ፂᔐԶϸᔈǶډڙӵՖ ǵഩӢථǵཥђڂݩǴђރࢂᕴᡏ࿶ᔮ౛ፕ዗᝼ϐख़ᗺǶࣁΑᅰёૈ٬౛ፕ಄ӝ౜ჴ࿶ᔮޔ೤ჾࡹ฼᝼ᚒ΋ ᕴᡏᡂز౛ፕ௖૸೤ჾࡹ฼ӵՖቹៜᕴᡏ࿶ᔮǶԶࣴٮਔжङඳΠ઱઱ගޑӧόӕޣǵཥഩӢථǵ೤ჾᏢࢴ฻Ꮲڂ ӧǶ܌ϐख़ᗺڋ೤ჾࡹ฼໺ሀᐒزኧӵՖӢᔈ೤ჾࡹ฼ፂᔐวғᡂ୏Ǵջࣁࣴ ྗޑॺᖼວၗౢਔǴౢғΑεໆךԃΟД྽ਔऍ୯ᖄٖྗഢ౛٣཮ୋЬৢ Donald L. Kohn ම߄ҢǺȨ྽ 2010 Ԗᡉ๱Զᐱҥس࿶ᔮᡏکୋౢࠔǴѬॺόϼёૈӧߎᑼѱ൑ޑεໆሌՉྗഢࣁᖼວၗౢޑബ೷р܌ഢߎਏ݀ǴǾǶ ๏ၰٮ೤ჾډ໺಍ᢀᗺ٠ό΋ठǴȐ໺಍΢ȑமፓྗഢߎޑ೤ჾࡹ฼܈΋ኳࠠൂޑ೚ӭ௲ࣽਜ΢کϐਏ݀ǶԜᢀᗺ ᔠຎ೭చᆅၰǶȩکزॺሡाвಒӦࣴךӢ݀ᜢ߯Ƕ౜ӧޑ೯ᑩ೭చጕډ ࿶ᔮ૰ଏǴࠅΨᏤठऍ୯ሌՉޑు؈کߎᑼӒᐒޑᝄ৚ל٣ჴ΢Ǵ྽ऍ୯ᖄྗ཮ჴࡼߚ໺಍೤ჾࡹ฼Ҕаჹ ᏾ঁ࿶ᔮᡏډவྗഢߎز׫ΕࣴޣӭᏢ׳ᑫ፪Ǵޑཥޑ೤ჾࡹ฼ܭഢߎᎩᚐεᑩ๞ǶΨӢԜǴെᒬΓॺჹྗޑسᡏ Ƕڋ໺ሀᐒޑس ΋ࢂճ౗ᆅၰ(interest rate channel)Ǵᙖҗፓ᏾ճ౗ѐ่మѱځς೏ቶݱ૸ፕǺڋε໺ሀᐒٿԾவ 1980 ԃжǴ ᏾ঁߎᑼᡏډёສၗߎॷҗ೤ჾࡹ฼໺ሀޑໆۓΒࣁߞҔᆅၰ (credit channel)Ǵࢌ΋ځສීՉࣁǹک൑٠ቹៜॷී ޑǴᇡࣁӧϦ໒ѱ൑΢ۺᝩ೤ჾ४ኧཷ܍ᆅၰ(bank lending channel) ᢀᗺීܫሌՉޑǶӧߞҔᆅၰЎ᝘΢Ǵ੟ကس ߎᚐǶޑௗቹៜሌՉёаॷීޔኧໆ཮ޑഢߎྗکᡂ୏ ԋࣁۈBernanke and Blinder (1992) ϐࡕǴ໒ ک (଑ᘜኳࠠ (Auto Regressions, VAR) ӧ Sims (1980ךӛໆԾ Ϧ໒ၗޑஒճҔѠ᡼ޑҞزǴҁЎࣴ܄ӭኬޑǶࣁΑᘉкѠ᡼ჴ᛾Ў᝘΢ڀϩ݋೤ჾࡹ฼ਏ݀ϐ዗ߐᕴᡏीໆπ ᆅၰϐೱීܫ೤ჾࡹ฼ᆶሌՉزՉࣁᆶၗߎᝢ௛೷ԋቹៜǴࣴීܫ೤ჾࡹ฼ǴࢂցჹሌՉޑ௦Չ܌਑Ǵٰ௖૸ѧՉ ᆅၰϐቹៜǴಃΒ࿯ීܫᕴᡏၗ਑аϷҁ୯ሌՉၗ਑௖૸ሌՉޑᆶբҔӧҁ୯ሌՉၗ਑ࢂցᡉ๱ǶҁЎ٬ҔѠ᡼่ Ǵനࡕࢂ่݀زϣ৒ᆶ࣬ᜢЎ᝘ǴಃΟ࿯ᇥܴኳࠠǵᡂኧᒧ᏷ᆶၗ਑ϣ৒ǴಃѤ࿯և౜ჴ᛾ࣴڋஒ௖૸೤ჾ໺ሀᐒ

кйкт Бӛᔠ૸Ƕزᇥ่ܴፕᆶ҂ٰࣴ

ϣ৒ᆶЎ᝘௖૸ڋ೤ჾ໺ሀᐒ .2 ճ౗Нྗǹፓ᏾ख़ຠ౜ک๏Ǵхࡴ೸ၸϦ໒ѱ൑ᏹբǵቹៜ೤ჾᐒኧٮቹៜ೤ჾڀύѧሌՉԖΟε೤ჾࡹ฼π ճ౗НྗǶکഢ౗Ǵቹៜ೤ჾ४ኧǵ೤ჾ୷ኧྗۓ೤ჾ୷ኧǹፓ᏾ݤکኧໆޑීܫ౗Ǵׯᡂຠ౜ ೯೤ᑩ๞౗ǴԜၸำᆀࣁک࿶җόӕ໺ሀᆅၰǴٰቹៜჴ፦ᕴᡏ࿶ᔮࢲ୏ڀMishkin (1995) ߄Ң೤ჾࡹ฼π дၗౢሽ਱Ǵ຾ԶځǴׯᡂճ౗ǵ༊౗ǵሌՉߞҔǵިሽаϷڀϐǴѧՉճҔ೤ჾࡹ฼πقǶඤڋ೤ჾࡹ฼໺ሀᐒ Ǵ٠คֹӄ΋ठϐӅ܄ၮբၸำаϷख़ाޑቹៜ੃຤Ϸ׫ၗ฻ᕴᡏ࿶ᔮࢲ୏Ƕՠ Mishkin ΨࡰрǴ೭٤ᆅၰዴϪ ᛽Ƕ ϐ௖૸Ьाёаϩࣁ೤ჾᢀᗺ (money view) ᆶߞҔᢀᗺ (creditڋ೤ჾࡹ฼໺ሀᐒܭਥᏵ Mishkin (2001)Ǵᜢ ճޑх֖໺಍ڋ׫ၗǴ߄Ң೤ჾࡹ฼໺ሀᐒکᡂ୏཮ቹៜ੃຤ޑ߄ҢǴճ౗ǵ༊౗ǵၗౢሽ਱ޣБय़Ƕ߻ٿ (view ౗ᆅၰǵ༊౗ᆅၰǵၗౢሽ਱ᆅၰ฻ΟᅿǹԶࡕޣ߾ᇡࣁሌՉܫීᆅၰᆶၗౢॄ໸߄ᆅၰΨࢂ೤ჾࡹ฼ቹៜᕴౢр ޑख़ाӢનǶ ϩࣁϖᅿᆅၰǴϩձࣁճ౗ᆅၰǵ༊౗ᆅၰǵ଄൤ᆅၰǵڋஒ೤ჾࡹ฼໺ሀᐒޑKuttner and Mosser (2002) ၁ಒ ߞҔᆅၰаϷၗౢሽ਱ᆅၰǴ૟ᇥܴӵΠǺ ๏ǵٮჴࡼࡕǴ೸ၸׯᡂྗഢߎаϷ೤ჾ୷ኧǴ຾Զቹៜ೤ჾڀճ౗ᆅၰ (interest rate Channel)Ǻ೤ჾࡹ฼π ᆙᕭ೤ჾࡹ฼ޑӵǴύѧሌՉٯ੃຤ཀᜫǶޑޣ੃຤ک׫ၗཀᜫޑቹៜቷ୘؁٠ׯᡂճ౗НྗǶԶճ౗ଆҷ཮຾΋ ೷ԋቷ୘׫ၗϷ੃؁ᐒ཮ԋҁቚуǴ຾΋ޑ੃຤Զόᓯᆽޑޣॷීԋҁගଯǵ੃຤ޑ٬ளჴ፦ճ౗΢ϲǴ೷ԋቷ୘ ຤ޣ੃຤ཀᜫफ़եǶ ׯᡂ༊౗ǴԶቹ؁ሽНྗǴ຾΋ނǵቹៜճ౗аϷڀ༊౗ᆅၰ (exchange rate channel)Ǻ೸ၸჴࡼ೤ჾࡹ฼π д௃ݩόᡂϯǴ཮วғၗߎࢬΕ౜ځᆙᕭ೤ჾࡹ฼Ǵஒ೷ԋҁ୯ճ౗΢ϲǴӧڗӵǴ྽ѧՉ௦ٯ຾рαǶޑៜౢࠔ рαǶޑҁ୯୘ࠔܭ෧ϿǴѦ୯೤ჾຨॶԶҁ୯೤ჾϲॶǴόճ؃ຝǴ೷ԋѦ༊ሡ ቹៜճ౗НྗǴ຾Զ٬ިሽǵό୏ౢሽ਱ǵ༊ሽ฻ၗౢሽ਱ڀ೤ჾࡹ฼πޑ଄൤ᆅၰ (wealth effect)Ǻ྽ѧՉ ੃ܭ׫ၗ฻ЍрǶMishkin (2001) ᇥܴǴҗ܈ݩǴவԶׯᡂ੃຤ރϐ଄൤ޣᆶୖޑቹៜ೭٤ѱ൑؁วғᡂ୏Ǵ຾΋ ೤ჾࡹ฼܄ύε೽ϩࢂϦљި౻ (common stock)Ƕᘉ஭ځߎᑼ଄൤ǴޑᏱԖ܌೽ϩࢂдॺޑၗྍനख़ाޑ΋ғޣ຤ ΋ғёҔၗྍΨගଯǴᏤठ੃຤ቚуǶ຾Զౢғаޑޣ଄൤ሽॶΨӢԜගଯǴ຾Զ٬੃຤ޑ٬ިሽ΢ϲǴৎीൂՏ ϐǴق๏ (M)ʅ ʈި౻ሽ਱ (P_s )ʅ ʈ଄൤ (W) ʅ ʈ੃຤ (C)ʅ ʈᕴౢр (Y)ʅǶඤٮǺ೤ჾڋ໺ሀᐒޑΠ ሽ΢ϲԶިޣள཮ᒿ܌ёЍଛک଄൤ޑ࡭Ԗϐ଄൤ǹӧৎीൂՏ܌཮ε౲ޗ೤ჾࡹ฼ჴࡼЇଆ೤ჾቚ෧ǴΨ཮ቹៜ ቹៜᕴౢрǶ؁ᜫཀቚу੃຤ЍрǴԶ຾΋׳੃຤టఈຫமਗ਼ǵځၗౢຫӭǴޑቚуԜ߻ගΠǴ྽Γॺ ๏ໆǴӕٮሽ਱Ǵՠࢂ೤ჾࡹ฼ቹៜ೤ჾچ໺಍ճ౗ᆅၰѝԵቾ໸ܭၗౢሽ਱ᆅၰ (Asset Price Channel)Ǻҗ ቹៜᕴౢрǶ؁ሽ਱Ǵ຾Զౢғ଄൤ਏ݀ǵ຾΋ޑдऐΦ଄ځሽ฻ߎᑼၗౢᆶި܈Ӧౢ܊ਔΨ཮ቹៜѱ൑΢ፏӵ Ψ཮ቹៜྗഢߎНྗڀ೤ჾࡹ฼πޑѧՉܭ૸ፕǶҗޑሌՉၗౢܭߞҔᆅၰ (Credit Channel)ǺߞҔᢀᗺୃख़ ࿶ᔮࢲ୏ǴӢԜ೤ځҾ཰ቷ୘ሡाӛሌՉॷීаᑼ೯܈ӵঁΓޣȑǴԶ࿶ᔮୖᆶීܫሌՉёສၗߎኧໆȐջሌՉک ϐǴӢࣁѱ൑΢ૻ৲όჹᆀୢᚒ೷ԋѱ൑ق๏ǴஒᏤठ׫ၗᆶ੃຤ЍрΨวғᡂ୏Ƕඤٮၗߎීܫჾࡹ฼ׯᡂሌՉ ૈීܫޑΓීܫکॷສԋҁޑቹៜΑສීΓ܄όֹऍޑ΢ԖҬܰምᛖǴԶύѧሌՉჴࡼ೤ჾࡹ฼ࡕǴ཮Ӣࣁѱ൑΢ ڗৎीൂՏၨόܰکၗߎ෧ϿǴቷ୘ޑрѐܫᆙᕭ೤ჾࡹ฼Ǵ٬ሌՉёສڗӵǴѧՉ௦ٯΚǴ຾Զቹៜჴ፦࿶ᔮǶ Ꮴठ׫ၗЍрϷ੃຤Ѝр෧ϿǶ؁ߞҔສීǴ຾΋ޑளሌՉ ᆅၰᆶၗౢॄ໸߄ᆅၰǶීܫBernanke and Gertler (1995) ฻Ў᝘ஒߞҔᆅၰεౣϩࣁሌՉ ک (Mishkin (1995 ๏ՉࣁǶ೭ᅿ೸ၸሌٮීܫޑӭჲǴ຾ԶቹៜሌՉޑǴӵሌՉྗഢߎᆶӸීໆ܄ࢬ୏ޑس೤ჾ྽ֽᙖҗቹៜሌՉᡏ ೤ჾ܄ӵǴ྽ѧՉჴࡼᆙᕭٯᆅၰ (Bank lending channel)ǶීܫᐒૈǴᆀࣁሌՉޑа໺ሀ೤ჾࡹ฼ቹៜਏ݀ීܫՉ ЍрǴ٠फ़եᕴౢрǶޣ੃຤܈ཀᜫफ़եǴ຾ԶቹៜҾ཰׫ၗࢲ୏ීܫࡹ฼཮٬ሌՉӸීྗഢᆶӸීΠफ़Ǵ೷ԋሌՉ ӵǴ྽ύѧሌՉ௦ٯృॶӭჲǶޑޣ੃຤܈ቷ୘ܭ،ڗၗౢॄ໸߄ᆅၰ (balance-sheet Channel)ǺԜᆅၰЬा

кйлй ృॶǹ୘཰ሌՉࣁΑᗉխ଍ᒧ᏷ᆶځճ౗΢ϲǴ٬ቷ୘౜ߎࢬໆ෧ϿǴफ़ե܈೤ჾࡹ฼Ǵ཮೷ԋިሽΠຳ܄Չᆙᕭ ׫ၗЍр෧ϿϷᕴౢрΠफ़ǶޑǴᏤठቷ୘ීܫၰቺ॥ᓀୢᚒǴ཮ӢԜ෧Ͽ ଑ᘜኳࠠаϷଓᙫၗך٬Ҕᕴᡏ࿶ᔮၗ਑ᆶऍ୯ঁձሌՉၗ਑аӛໆԾ (ԜѦǴCarpenter and Demiralp (2012 ܄ว৖Ϸࢬ୏ޑس೤ჾѱ൑ύǴᒿ๱ሌՉᡏޑว౜Ǵ1990 ԃжزࣴځᆅၰǶීܫሌՉޑ଑ᘜᔠຎ੟ကך਑ӛໆԾ ၗޑ፦ǵόሡᛦҬྗഢߎ܄ளߚӸීڗΚΨᡉ๱ගଯǶฅԶǴ୘཰ሌՉԖૈΚૈޑ໸ॄ܄ගଯǴ୘཰ሌՉวՉᆅ౛ ೤ܭ໸ȑǴࡽόሡᛦયྗഢߎǵΨόᗧឦॄ܄໸Ȑջᆅ౛ॄޑௗᆅ౛٠༅໣ၗߎޔ৒ܰ׳ߎٰྍǴ೭ᅿ٬୘཰ሌՉ ೱ่ߡᘐ຋ΑǶޑ೤ჾϐ໔ޑကΠۓ M2 کၰීීܫሌՉޑჾᕴीኧ M2ǹӢԜǴ੟က ࢂǴCarpenter andޑΨቃਗ਼फ़եǹόӕීܫว౜ᆙᕭ೤ჾࡹ฼ϐࡕǴᕴزࣴޑ (Bernanke and Blinder (1992 у׳ၗߎٰྍޑࠅ࣬ϸǴдॺှញǴᒿ๱೤ჾᆙᕭǴҾ཰གྷाᕇளߚሌՉ่݀ޑDemiralp (2012) ว౜ 1990 ԃаࡕ ӸීΠ܄ёૈ཮ቚуǶдॺᗋว౜Ǵ྽ᖄٖճ౗ԖΑ҅ӛፂᔐǴᔈගྗഢϐ΋૓Ҭܰ؃ሡޑᜤǴӢԜჹሌՉສී֚ ޑሡ܌໸ࣁສීॄ܄ᆅ౛ޑӭ׳ᐒ཮ԋҁቚуǴԶ୘཰ሌՉሡाวՉޑ໸΢ϲǴӢࣁ࡭ԖЍ౻஦Њॄ܄फ़ǴԶᆅ౛ ୘཰ሌՉӧ೭ᅿ௃ޑճዎཱུε؃ЬाᕇճٰྍǴԶଓޑճ৲ࢂ୘཰ሌՉڗ໨ᖺීܫϐǴສقεໆၗߎ຾Չᝢၗǹඤ ӭߎᚐǴᏤठສී΢ϲǶ׳ܫ໸ǵаԜᝢ௛ၗߎǵສॄ܄ݩΠ཮ᙖҗගଯᆅ౛ ӵǴٯ዗ߐ᝼ᚒǶޑᕴᡏჴ᛾Ў᝘ޑୢᚒǴԿϞϝࢂ࣬ᜢޑߞҔᆅၰࢂցӸӧޑύڋ೤ჾࡹ฼໺ሀᐒܭᜢ ๏ਔǴٗ٤ଯࡋٮීܫ೤ჾࡹ฼วғǴԶ٬୘཰ሌՉӢԜ෧ϿߞҔ܄Bernanke and Blinder (1992) ၂კᇥܴ྽ᆙᕭ όჹᆀǴӧᆙޑၗૻܭፂᔐ࣬ჹεǶԜѦ Bernanke and Gertler (1989) ࡰрǴҗޑډڙ܌٩ᒘሌՉສීϐঁձቷ୘ ᕭ೤ჾࡹ฼ਔǴ୘཰ሌՉ཮໼ӛჹၗૻၨϿޑቷ୘෧ϿߞҔܫීǴԶЪᏼߥࠔޑ౜ॶᒿᆙᕭ܄೤ჾࡹ฼ϐճ౗΢ϲ ॺךǴޕϐී໨ǶҗԜёܫளሌՉສڗቷ୘Ψ཮ӢԜᜤаޑၗౢॄ໸߄ൾϯǴԶલЮၗૻޑԶᕭНǴӢԶ೷ԋቷ୘ ቹៜǶځϐߞҔᆅၰࢂցӸӧϷڋΨёаவঁᡏᢀᗺٰ௖૸೤ჾࡹ฼໺ሀᐒ

3. ኳࠠᆶၗ਑ᇥܴ ۓኳࠠ೛ 3.1 БݤǶ੝Յزࣴޑᕴᡏीໆኳࠠޑගр΋ঁཥ܌ (଑ᘜ (Vector Autoregressions, VAR) ࣁ Sims (1980ךӛໆԾ εࠠᕴᡏᏊໆኳࠠύޑᜢ߯ǶSims ᇡࣁၸѐޑᕴᡏ࿶ᔮᡂኧϐ໔ڋԖᡂኧ೿ຎࣁϣғᡂኧǴаᗉխҺཀज़܌ࢂஒ ࣁѦғᡂኧǴԶ VAR ёаࡐӳӦᗉխԜ௃׎Ƕۓӵஒࢌ٤ᡂኧ೛ٯǴڋज़ޑԖϼӭόёߞ ϩЎᕴᡏሌՉቫय़аϷঁձሌՉቫय़Ǵᕴᡏ೽ϩ٬Ҕᕭ෧Ԅ VAR ຾Չ଑ᘜϩ݋Ƕᕭ෧Ԅ VARزჴ᛾ࣴޑҁЎ ୏ᄊՉࣁયΕԵቾǶVA R(p ) ኳࠠаޑϣၠᡂኧسӧ฻ԄѓᜐǴஒᡏܫပࡕ໨ޑдᡂኧځပࡕ໨аϷޑيஒᡂኧҁ ତ׎ԄёаቪԋǺં

(1)

3.2 ၗ਑ᇥܴ ೽ϩᡂኧᒧ᏷ᆶϣ৒Ƕٿϩࣁᕴᡏቫय़ᆶঁᡏቫय़ǴаΠᇥܴزॊǴҁЎϐჴ᛾ࣴ܌ӵ߻ 3.2.1 ᕴᡏቫय़ၗ਑ ሽࡰኧǵ୯ϣғౢЛᚐѳ෧ࡰኧаϷѨނޣǹ୯ϣғౢЛᚐǵ੃຤ڀճ౗ਂਆ೤ჾࡹ฼πීܨڹаߎᑼ཰႖ ၗک࿶ᔮࢲ୏ޑ࡭ԖਂਆሌՉچǵᕴӸීаϷԖሽ᛾ීܫሽǵ൩཰฻ᕴᡏ࿶ᔮࢲ୏ǹሌՉᕴނ཰౗ϩձਂਆౢрǵ ک٬ҔᕴӸීᡂኧǴҁЎ੝ձஒᕴӸීϩှԋᔈගྗഢϐӸී (Bernanke and Bliner (1992 ܭݩǴԖձރౢॄ໸߄ ၗځቹៜǴΨёаև౜౜ж୘཰ሌՉӢᔈޑᆅၰჹሌՉॄ໸य़ීܫ೸ၸڀ೽ϩǴନΑᔠຎ೤ჾࡹ฼πٿ໸ॄ܄ᆅ౛ ཥว৖ǴаΠ૟၁ॊၗ਑ϣ৒ᆶٰྍǶޑ؃ߎሡ ࿶ᔮޑȋۑ΋ޣ܈୯ϣғౢЛᚐ (Gross Domestic Product, GDP)Ǻࢂࡰ΋ঁ୔ୱӧࢌ΋ࢤਔයϣȋ೯தࢂ΋ԃ ٬Ҕϐύ๮҇୯୯҇ғౢЛᚐၗ܌ख़ाࡰ኱ǶҁЎޑ΋Ӧϐ࿶ᔮᆶว৖܈ѱ൑ሽॶǴࣁᑽໆ΋୯ޑԖౢр܌ࢲ୏ϐ ሽࡰኧаϷ୯ϣғౢЛᚐѳ෧ࡰނޣၗ਑࿶᏾౛ࣁДၗ਑Ǵ٠ϩձа੃຤ۈԾЬीೀϐᕴᡏ಍ीၗ਑৤ Ǵচڗ਑ ኧ଺ѳ෧ǴҗԜᙯඤࣁჴ፦୯ϣғౢЛᚐၗ਑Ƕ

кйлк ሽᆶ೯೤ނ࣬ᜢሽ਱Ǵࢂᑽໆޑሽࡰኧ (Consumer Price Index, CPI)Ǻࣁ಍ी΋Ӧۚ҇ϐғࢲᆶമ୍ނޣ੃຤ Ծฅჹኧ٬ҔϐǶڗ࿯ፓ᏾ࡕӆۑԾᕴᡏၗ਑৤ϐДၗ਑Ǵ࿶ڗሽࡰኧၗ਑ࣁނޣख़ाࡰ኱ϐ΋ǶҁЎϐ੃຤ޑᑩ๞ ୯ϣғౢЛᚐѳ෧ࡰኧ (Gross Domestic Product Deflator, GDP Deflator)Ǻࣁ΋ᅿނሽࡰኧǴҔаᑽໆ΋ঁ࿶ᔮ ሽीᆉނࢂаࢌ΋୷යϐޣѳ֡ሽ਱ǶѬஒӜҞ୯ϣғౢЛᚐѳ෧ԋࣁჴॶ୯ϣғౢЛᚐǴԶࡕޑϐനಖౢрسᡏ Ծฅڗ࿯ፓ᏾ࡕӆۑԾᕴᡏၗ਑৤Ǵ࿶ፓ᏾ԋࣁДၗ਑Ǵ٠࿶ڗ୯ϣғౢЛᚐǶҁЎϐ୯ϣғౢЛᚐѳ෧ࡰኧၗ਑ ჹኧ٬ҔϐǶ ௃ݩǴ൩೏ᇡ㵝ࢂޑπբډפൔၿԶπբǴՠۘ҂ڗѨ཰౗ (Unemployment)Ǻཀࡰ΋ঁΓᜫཀ٠ԖૈΚࣁᕇ дᕴᡏ࿶ᔮᡂኧԖஏϪᜢ߯ǶҁЎϐѨ཰ځکǶѨ཰౗ٯКޑ՞܌ޣѨ཰ǶѨ཰౗ࢂമ୏Γα္಄ӝȨѨ཰చҹȩ ԃΜΒД 2014 ډԾᕴᡏၗ਑৤ϐДၗ਑Ǵኬҁය໔ࣁ 1991 ԃ΋Дڗ౗ၗ਑ࣁ ճ౗Ƕߎᑼ཰ӧᔼၮޑճ౗ (Overnight Interbank Call-Loan Rate, OICLR)Ǻࢂࡰߎᑼᐒᄬ໔ॷສၗߎීܨڹ႖ ഢྗۓᙯߎϷᆢ࡭ݤڬၗߎࢬΕᆶࢬрǴࣁӢᔈВதᔼၮڋᆶ׫ၗᒿਔӧᡂ୏Ǵதคݤྗዴ௓ීܫၸำύǴӸීǵ д཮঩ፓҔځਔǴӛ؃Ϧљǵߞૼ׫ၗϦљǵແ༊ֽ฻ԖၗߎሡچύЈ཮঩ȐхࡴሌՉǵ౻ීܨሡाǴߎᑼ཰ޑߎ ීܨӆፓӣϐߎᑼ཰ڹճ౗ࣁ႖ීܨڹϐǴ႖ق۶Ԝၗߎᑼ೯ȑǴඤޣཀջሌՉ཰ීܨፓ࿯ၗߎȐීܨ೯தаӕ཰ ճ౗у៾ීܨڹճ౗ࣁߎᑼ཰႖ීܨڹ႖ޑॷීճ౗Ǵࣁ೤ჾѱ൑อයճ౗ࡰ኱ϐ΋ǶҁЎ٬Ҕڹ႖ޑύЈ཮঩໔ ၗ਑ٰྍٰԾύѧሌՉ಍ीၗ਑ޑу៾ѳ֡ճ౗ǴԜᡂኧීܨڹ႖ޑԋҬߎᚐࣁ៾ኧीᆉීܨڹѳ֡Ǵࢂа྽В႖ ԃΜΒДǶ 2014 ډߎᑼ಍ीДൔǴኬҁය໔ࣁ 1991 ԃ΋Дޑ৤ύ р୧Ԗ܈୘཰ሌՉёаᙖҗวՉϦљ໸ܭሌՉၗౢॄ໸߄Ѱ߄ၗౢ೽ϩǴҗܭ࡭Ԗ (Securities)ǺឦچԖሽ᛾ य़ቹៜǶࣁਂਆሌՉԜ΋ၗౢǴҁЎ᏾౛ॄޑ஥ٰ܌ᝢ௛ၗߎǴӢԜёаԖਏӦӢᔈ೤ჾࡹ฼٠ೕᗉࡹ฼ٰچሽ᛾ ሽࡰኧჴނޣᡂኧǴ၀ၗ਑ճҔ੃຤چ׫ၗ໨Ҟ่ӝԋࣁԖሽ᛾چ᛾ޑҁ୯ሌՉၗౢॄ໸߄ύჹߎᑼᆶߚߎᑼᐒᄬ 2014 ډߎᑼ಍ीДൔǴኬҁය໔ࣁ 1991 ԃ΋ДޑԾύѧሌՉ಍ीၗ਑৤ύڗԾฅჹኧࡕ٬ҔϐǶၗ਑ڗ፦ϯǴ٠ ԃΜΒДǶ Ьाճዎٰྍߡࢂаၨځ཰୍Ǵීܫک཰୍Ьा໣ύӧ࿶ᔼӸීޑ୘཰ሌՉޑtotal loans)Ǻ໺಍) ීܫሌՉᕴ ቹៜሌՉڀ೤ჾࡹ฼πزࢂࣴޑճৡǶҁЎҞޑϐ໔ීܫӸීᆶڗрສීǴᖺܫճ౗ޑճ౗ॷΕӸීǵаၨଯޑե Ծฅჹኧࡕ٬ҔϐǶၗڗሽࡰኧჴ፦ϯǴ٠ނޣՉࣁǴ၀ၗ਑ճҔ੃຤ීܫᡂኧਂਆሌՉීܫՉࣁǴӢԜаᕴීܫ ԃΜΒДǶ 2014 ډߎᑼ಍ीДൔǴኬҁය໔ࣁ 1991 ԃ΋Дޑ਑ԾύѧሌՉ಍ीၗ਑৤ύ ޑК౗ۓ໸ගӸ΋ॄځߎᑼᐒᄬǴჹ؃ࡋࣁύѧሌՉ٩ݤाڋᔈගྗഢϐӸී (reservable deposits)Ǻྗഢߎ ሌՉǶਥᏵύޑԖ֎ԏӸීᆶബ೷೤ჾߞҔфૈڀߎᑼᐒᄬЬाࢂࡰޑࡋǶӧԜࡰᆀڋޑ؃ഢߎǴаӢᔈЍбሡྗ යӸී฻ۓѧሌՉݤǴߎᑼᐒᄬᔈගӸྗഢߎϐӸීጄൎԖЍ౻ӸීǵࢲයӸීǵᓯᆽӸීǵ᏾Ӹ᏾бᓯᆽӸаϷ ໨ҞǶҁЎஒҁ୯ሌՉӸී໨Ҟύޑ೭Ѥ໨уᕴԶளᔈගྗഢϐӸීᡂኧǴаԜਂਆྗഢߎࡹ฼ჹሌՉӸܫීՉࣁ ԃΜΒДǶ 2014 ډߎᑼ಍ीДൔǴኬҁය໔ࣁ 1991 ԃ΋Дޑၗ਑ٰྍٰԾύѧሌՉ಍ीၗ਑৤ύޑቹៜǶԜᡂኧޑ Ծฅჹኧࡕ٬ҔϐǶڗሽࡰኧჴ፦ϯǴ٠ނޣ၀ၗ਑ճҔ੃຤ ܈යӸൂۓӵёᙯᡣٯਔǴЬ୏ᑈཱུӦаวՉॄ໸Ǵ؃໸ (managed liability)Ǻ྽୘཰ሌՉԖၗߎሡॄ܄ᆅ౛ ǴԜՉࣁӧሌՉᆅ౛΢ᆀࣁॄ؃ၗߎሡىளεໆЪեԋҁϐၗߎǴаᅈڗдߎᑼӕ཰ᆶύѧሌՉᑼ೯ॷීǴаځӛ ǴаϷߎᑼӕ཰ϐ໔ᐟڋ୘཰ሌՉࣁӢᔈ೤ჾ྽ֽჹሌՉ֎ԏӸීϐᝄ਱ᆅޑ໸ᆅ౛ (liability management)Ƕऍ୯ යӸൂаϷ֎ۓၗߎٰྍǴЬा଺ݤϩձࣁǴӧ೤ჾѱ൑΢р୧ёᙯᡣޑཥᑉ؃཰୍ᝡݾǴၱᑈཱུӛѦ൨ޑਗ਼О዗ ǵவᖄٖ୷ߎѱ൑ (Federalچ໸ǵவߎᑼѱ൑΢วՉߎᑼ໸ॄ܄дߚ໺಍ӸීځයӸී฻ۓԏճ౗ၨեϐεᚐ ᝼ (Repurchase agreement, Repos)Ǵ฻Ѧ೽ٰڐࢂճҔߕວӣ܈Funds) ǵኻࢪऍϡ (Eurodollar)ǵவ୯ѦϩЍᐒᄬǵ ຾Չॄ໸ᆅ౛Ƕࣁٰچ୘཰ሌՉΨԖԜว৖ᖿ༈ǴӚሌՉ೸ၸวՉёᙯᡣӸൂаϷӚᅿߎᑼ໸ޑྍॷΕၗߎǶѠ᡼ ǵӛߎᑼӕ཰ॷΕǵӛύچයӸൂǵߎᑼ໸ۓΑਂਆॄ໸ᆅ౛Ԝ࿶ᔮࢲ୏ǴҁЎ่ӝ୘཰ሌՉၗౢॄ໸߄΢ёᙯᡣ ہԾߎᑼᆅ౛ڗ໸ᡂኧǶҁ୯ሌՉᕴᡏၗ਑аϷঁձሌՉၗ਑ࣣࣁॄ܄ѧሌՉᑼ೯аϷ୯Ѧॄ໸฻໨ҞǴԋࣁᆅ౛ Ծฅჹኧࡕ٬ڗሽࡰኧჴ፦ϯǴ٠ނޣДၗ਑Ǵኬҁය໔ࣁ 2006 ԃ΋ДԿ 2014 ԃΜΒДǶ၀ၗ਑ճҔ੃຤ޑ঩཮ ҔϐǶ

кйлл 3.2.2 ঁձቫय़ၗ਑ ҁ୯ሌՉӅीԖѤΜৎǺᆵ᡼ሌՉ Bank of Taiwanǵᆵ᡼βܭ঩཮ϐߎᑼᐒᄬӈ߄ǴہҗύѧሌՉᆶߎᑼᆅ౛ ӦሌՉ Land Bank of Taiwanǵӝբߎ৤୘཰ሌՉ Taiwan Cooperative Bankǵಃ΋୘཰ሌՉ First Commercial Bankˣ๮ࠄ ୘཰ሌՉ Hua Nan Commercial Bankǵᄆϯ୘཰ሌՉ Chang Hwa Commercial Bankǵ΢ੇ୘཰ᓯᆽሌՉ The Shanghai Commercial and Savings BankǵѠч൤ٖ୘཰ሌՉ Taipei Fubon Commercial Bank Co., Ltd.ǵ୯ੀШ๮୘཰ሌՉ Cathay United Bankǵύ୯ᒡрΕሌՉ The Export-Import Bank of the Republic of Chinaǵଯ໢ሌՉ Bank of Kaohsiungǵӂᙦ୯ሞ ୘཰ሌՉ Mega International Commercial Bank Co., Ltd.ǵӄ୯ၭ཰ߎ৤ Agricultural Bank of Taiwanǵ޸ᄡ(Ѡ᡼)୘཰ሌ Չ Citibank Taiwan Ltd.ǵᐞ౰(Ѡ᡼)୘཰ሌՉ ANZ (Taiwan) Bank Ltd.ǵύ๮໒วπ཰ሌՉ China Development Industrial Bank Inc.ǵᆵ᡼π཰ሌՉ Industrial Bank of Taiwanǵᆵ᡼ύλҾ཰ሌՉ Taiwan Business Bankǵ෦Ѻ୯ሞ୘཰ሌՉ Standard Chartered Bank (Taiwan) Ltd.ǵѠύ୘཰ሌՉ Taichung Commercial Bankǵ٧ࠤ୘཰ሌՉ King’s Town Bankǵ㺍 ᙦ(Ѡ᡼)୘཰ሌՉ The HSBC Bank (Taiwan) Limitedǵྷᑫ୘཰ሌՉ Bank of Taipeiǵ๮ੀ୘཰ሌՉ Hwatai Bankǵᆵ᡼ ཥӀ୘཰ሌՉ Shin Kong Commercial Bankǵ໚ߞ୘཰ሌՉ Sunny Bankǵ݈ߞ୘཰ሌՉ Bank of Pan ShinǵΟߞ୘཰ሌ Չ Cota Commercial Bankǵᖄٖ୘཰ሌՉ Union Bank of Taiwanǵᇻܿ୯ሞ୘཰ሌՉ Far Eastern International Bankǵϡ ε୘཰ሌՉ Yuanta Commercial Bankǵ҉ᙦ୘཰ሌՉ Bank SinoPac Company Limitedǵҏξ୘཰ሌՉ E. Sun Commercial Bankǵഩ୷୘཰ሌՉ KGI Bankǵࢃ৖(Ѡ᡼)୘཰ሌՉ DBS Bank(Taiwan) Ltd.ǵѠཥ୯ሞ୘཰ሌՉ Taishin International Bankǵε౲୘཰ሌՉ Ta Chong Bank Ltd.ǵВ౰୯ሞ୘཰ሌՉ Jih Sun International BankǵӼੀ୘཰ሌՉ EnTie Commercial Bank Ϸύ୯ߞૼ୘཰ሌՉ Chinatrust Commercial BankǶ ௖૸ϐख़ाᡂኧ΢Ԗ܌ਔ໔ׇӈၗ਑ǴӧҁЎޑӄ୯ၭ཰ߎ৤аϷύ୯ᒡрΕሌՉܭ΢ॊѤΜৎሌՉύǴҗ Ӝࣁഩ୷୘཰ሌՉǴӢԜഩ׳ύǴ2015 ԃ΋ДǴ࿤ੀሌՉ҅ԄځલЮǴӢԜϒаকନǴӅ௦ीΟΜΖৎሌՉǹ܌ όֹ᏾Ǵᐞ౰ǵ༊ᙦǵྷᑫǵࢃ৖฻ѤৎሌՉޑਔ໔ׇӈၗ਑ܭਔ໔ׇӈჴࣁ࿤ੀሌՉϐၗ਑ǶԜѦǴҗޑ୷ሌՉ ϐǴҁЎӅࢂ٬ҔΟΜѤৎҁ୯ሌՉ 2006 ԃ΋ДԿ 2014 ԃΜΒДϐѳᑽଓᙫၗ਑Ǵќقࣁ҂ѳᑽϐଓᙫၗ਑ǹඤ ಍Ƕس಍ीၗ਑৤୏ᄊࢗ၌ޑ঩཮ሌՉֽہԖၗ਑᏾౛Ծߎᑼᅱ࿎ᆅ౛܌ԖѤৎҁ୯ሌՉࣁ҂ѳᑽၗ਑Ƕ ձሌՉঁܭՉࣁǴීܫݩаϷރၗౢॄ໸߄ޑॺ٬ҔΎঁᡂኧǺࣁਂਆঁձሌՉך຾Չଓᙫၗ਑ VA R ਔǴ යӸൂۓӸී (transaction deposits)ǵёᙯᡣ܄࡭Ԗ (Securities)ǵҬܰچloans)ǵԖሽ᛾) ීܫᡂኧᒧ᏷ࣁᕴޑ ளѳ෧ࡰ܌ݩǴᕴᡏᡂኧᒧ᏷ࣁ୯҇ރаϷᕴᡏ࿶ᔮڀNegotiable Certificates of Deposit, NCD)ǹࣁਂਆ೤ჾࡹ฼π) Ծฅჹኧڗளѳ෧ࡰኧჴ፦ϯǴ٠܌ၗౢॄ໸߄ᡂኧ೿а୯҇ޑύǴሌՉځճ౗аϷѨ཰౗Ƕීܨڹኧǵߎᑼ཰႖ ٬ҔϐǶ

4. ჴ᛾่݀ ۓᆶന፾ပৡයᒧۓਥᔠൂ 4.1 ೽ϩ຾ٿॺϩࣁךۓਥᔠൂޑၗ਑ύନΑԖ΋૓ਔ໔ׇӈၗ਑ǴᗋঋԖଓᙫၗ਑ࠠᄊǴӢԜၗ਑ޑزࣴ܌ܭҗ ՉǶ ճ౗ǵӄᡏීܨڹሽࡰኧǵѨ཰౗ǵ႖ނޣளǵ੃຤܌Πϐᡂኧ೿ൂપਔ໔ׇӈၗ਑Ǵх֖୯҇زᕴᡏቫय़ࣴ ໸Ǵ΢ॊᡂኧҁЎ௦Ҕ Augmentedॄ܄ǵӄᡏሌՉᔈගྗഢӸීǵӄᡏሌՉᆅ౛ීܫ࡭ԖǵӄᡏሌՉᕴچሌՉԖሽ᛾ Ǵޕё่݀ۓǶਥᏵᔠۓݤ຾ՉᔠۓDickey-Fuller (ADF) аϷ Kwiatkowski–Phillips–Schmidt–Shin (KPSS) ฻ൂਥᔠ ၀ਔ໔ׇ๊ܔΠ߾ࢂۓӸӧൂਥϐሡคଷ೛Ȑӧ KSPP ᔠ๊ܔપਔ໔ׇӈϐНྗॶǴӧ 5% ᡉ๱НྗΠǴࣣคݤൂ ᄊׇӈǶۓǴ่݀ᡉҢᡂኧ΋໘ৡϩࡕԋࣁۓ΋໘ৡϩǴӆԛ຾Չᔠڗᄊၗ਑ȑǴӢԜஒᡂኧۓӈࣁ යӸൂǶҁۓӸීǵёᙯᡣ܄࡭ԖǵҬܰچǵԖሽ᛾ීܫၗ਑ࣁঁᡏቫय़ᡂኧǴх֖ᕴޑଓᙫၗ਑ࠠᄊܭԶឦ ԛൂٿϩձჹଓᙫၗ਑຾ՉۓIPS ൂਥᔠ کۓගрϐ LLC ൂਥᔠ܌ (Ў௦Ҕ Levin et al. (2002) аϷ Im et al. (2003 БݤǶۓᔠޑ߾ࢂଷ೛ᐉᘐय़ၗ਑ᐱҥۓ՗ीϐБݤǴԶ IPS ᔠٳᐉᘐय़ӝکࢂஒᕵᘐय़ۓύ LLC ᔠځǶۓਥᔠ ࡭ԖǵёچǵԖሽ᛾ීܫӸӧൂਥϐሡคଷ೛Ǵࡺஒᕴ๊ܔӸී܄Ǵӧ 5%ᡉ๱НྗΠǴ໻Ҭܰޕё่݀ۓਥᏵᔠ ᄊׇӈǶۓǶനࡕ่݀ᡉҢǴ೭٤ᡂኧϐ΋໘ৡϩ่݀ࣁۓ΋໘ৡϩǴӆԛ຾ՉᔠڗයӸൂ฻ᡂኧۓᙯᡣ

кйлм ന፾ပޑന፾ပৡයࣁΟයǴԶঁᡏቫय़ᒧрޑᄊаࡕǴਥᏵ AIC ᒧрന፾ပৡයǴᕴᡏቫय़ۓၗ਑ࣁۓዴ I(0) ׇӈǴ࿶ၸӅ ޑа΢ঁٿБय़೿ԖٿǴ่݀ۓਥᔠൂޑᡏቫय़ঁ܈คፕࢂᕴᡏቫय़ډৡයࣁΖයǶќѦԵቾ ,଑ᘜׯаӛໆᇤৡঅ҅ኳࠠ (vector error correction modelךࡕǴว౜ၗ਑ԖӅ᏾ӝᜢ߯ǴӢԜவӛໆԾۓ᏾ӝᔠ ԖӅڀᄊ(non-stationary)ǵՠΞۓϩ݋΋ಔߚܭVA RǴЬाҔ ޑڋVECM) ՗ीϐǶӛໆᇤৡঅ҅ኳࠠࢂ΋ᅿԖज़ ୏ᄊፓ᏾ՉࣁǶޑߏය֡ᑽᜢ߯Ȑջᇤৡঅ҅໨ȑаϷอයޑᡂኧڀਔ໔ׇӈǶӢԜǴVEC ኳࠠύঋޑ᏾ӝᜢ߯ 4.2 ᕴᡏቫय़ჴ᛾่݀ Response to Cholesky One S.D. Innov ations

Response of OICLR to OICLR Response of LOGCPI to OICLR Response of LOGRTLOANS to OICLR

.4 .0005 .0008

.0004 .3 .0004 .0003 .2 .0000 .0002

.1 .0001 -.0004 .0000 .0 -.0008 -.0001

-.1 -.0002 -.0012 2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24

Response of LOGRRESDEP to OICLR Response of LOGRMLIAB to OICLR Response of LOGRSEC to OICLR

.0008 .0005 .004

.0004 .0000 .000

.0000 -.0005 -.004 -.0004

-.0010 -.008 -.0008

-.0012 -.0015 -.012 2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24

Response of UNEMP to OICLR

.06

.05

.04

.03

.02

.01

.00 2 4 6 8 10 12 14 16 18 20 22 24 ճ౗ᡂ୏ϐፂᔐϸᔈϩ݋ීܨڹკ 1 ߎᑼ཰႖ ճ౗ (OICLR) ᡂ୏ϐፂᔐϸᔈϩ݋Ƕკύᡂኧа Choleski ௨ׇීܨڹკ 1 ߄Ңӧᕴᡏቫय़ΠǴჹߎᑼ཰႖ LOGRTLOANS) ӧ߻ϖঁДΠफ़ǹᜪ՟ Bernanke and Blinder) ීܫӛፂᔐǴᕴ҅ޑճ౗ීܨڹև౜Ƕᒿ๱ߎᑼ཰႖ ճ౗΢ܭ౛җࢂǴҗޑቃਗ਼फ़եǶёૈීܫᕴۈǴᒿ๱೤ჾᆙᕭǴ΋໒زኬҁය໔ (1959-1978) Ԑයऍ୯ၗ਑ࣴڗ ှញ࣬಄ǶฅԶ೭೽ϩޑᆅၰීܫሌՉکǴ೭೽ϩ؃ၗߎሡޑճ৲ԋҁቚуǴӢԜफ़եສීޑϲǴቷ୘ӛሌՉສී ό΋ठǶزࣴޑ (Carpenter and Demiralp (2012 کࠅ ߃යϸᔈᆶޑ (໸ (LOGRMLIABॄ܄ᆅ౛ک (ճ౗ፂᔐࡕǴᔈගྗഢӸී (LOGRRESDEPීܨڹߎᑼ཰႖ ճ౗ቚуࡕǴᔈගྗഢӸීᒿϐΠफ़Ǵ೭ёૈࢂӢࣁ࡭ԖЍ౻஦ීܨڹCarpenter and Demiralp (2012) ่݀ᜪ՟Ƕ႖ ӵගрӸීॷ๏ٯॷສՉࣁǴޑдճዎၨεځᐒ཮ԋҁቚуǴӸЊ໼ӛஒӸී׫ΕޑଯϐӸී܄Ҭܰک܄Њ฻ࢬ୏ ճ౗΢ϲЪᔈܭ౛җࢂǴҗޑᖿ༈Ǵёૈޑ໸ԖӃϲࡕफ़ॄ܄ᆅ౛ޑӛፂᔐǴሌՉ҅ޑճ౗ීܨڹቷ୘ǶԶᒿ๱႖ ສځаӢᔈىӸීࠅΠफ़όޑ֎ԏ܌ճ৲ϐճዎҭᒿϐ΢ϲǴฅԶሌՉڗ࣬ԏීܫගྗഢӸීΠफ़Ǵ୘཰ሌՉӧສ ᝺όϼޔ࿶ᔮکၗߎอલǶฅԶ೭՟Яᆶ໺಍౛ፕޑ໸ᔆံ೭೽ϩॄ܄ᆅ౛ޑӭ׳ǴӢԜ୘཰ሌՉ׆ఈวՉ؃ሡܫ ΨؒԖ؃ສීሡޑճ৲ԋҁቚуǴӕਔቷ୘ӛሌՉޑѦ೽ၗߎڗճ౗΢ϲǴ߄ҢሌՉӛӕ཰ݾීܨڹ΋ठǴӢࣁ႖ ၗߎǴ೭؃ӦӛѦ೽൨܄໸ࢂሌՉԾวॄ܄ᆅ౛ܭࢂǴҗޑ౛җǶॶளԵቾޑ໸՟ЯؒԖቚуॄ܄΢ϲǴӢԜᆅ౛ ၮբᆶޑೱ่ั༾ᖓ১ǴߞҔᆅၰޑՉࣁᆶॄ໸ᆅ౛ීܫሌՉک໸όሡाӛύѧሌՉගӈྗഢǴᡉҢྗഢॄޑ೽ϩ ցԖࡑ୘ᄮǶ

кйлн 4.3 ঁᡏቫय़ჴ᛾่݀ Response to Cholesky One S.D. Innov ations

Response of OICLR to OICLR Response of GDPDEF to OICLR Response of LRSEC to OICLR

.12 .10 .004

.05 .002 .08 .00 .000

.04 -.05 -.002

-.10 -.004 .00

-.15 -.006 2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24

Response of LRLOANS to OICLR Response of LRTRADE to OICLR Response of LRNCD to OICLR

.0008 .004 .006

.004 .002 .0004 .002 .000 .0000 .000 -.002 -.002 -.0004 -.004 -.004

-.0008 -.006 -.006 2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24

Response of UNEMP to OICLR

.04

.02

.00

-.02

-.04

-.06 2 4 6 8 10 12 14 16 18 20 22 24 ճ౗ᡂ୏ϐፂᔐϸᔈϩ݋ීܨڹკ 2 ߎᑼ཰႖ ၗ਑ࢂ௦ҔΟޑॊǴ೭೽ϩ܌ճ౗ᡂ୏ϐፂᔐϸᔈϩ݋ǴӵಃΟ࿯ීܨڹკ 2 ߄Ңӧঁᡏቫय़ΠǴߎᑼ཰႖ ᡂϯǶޑଓᙫၗ਑Ǵ׆ఈёаቚуኬҁኧᢀჸ೤ჾࡹ฼ჹሌՉՉࣁޑΜΖৎҁ୯ሌՉ ޑᕴᡏቫय़کǴޑࢂቚуීܫሌՉۈӛፂᔐǴཀջ೤ჾᆙᕭΠǴ΋໒҅ޑճ౗ීܨڹǴ྽႖ډҗკ 2 ёа࣮ εࠠሌՉӧय़ჹޑӧᕴᡏቫय़аϷঁᡏቫय़ύزCarpenter and Demiralp (2012) ࣴ کफ़ե่݀࣬ϸǶฅԶࠅීܫᕴ ၗߎٰޑ౛җࢂǴᒿ๱೤ჾᆙᕭǴҾ཰གྷाᕇளߚሌՉޑLRLOANS) ཮Ӄቚࡕ෧ᜪ՟Ƕёૈ) ීܫᆙᕭ೤ჾਔǴ ёૈ཮ቚуǶ؃ሡޑу֚ᜤǴӢԜჹሌՉສී׳ྍ ᡂ୏ǴӃफ़ࡕϲǵӆϲࡕफ़ǶޑԃϣԖัࣁቃਗ਼ٿӸී (LRTRADE) ӧ܄ճ౗ፂᔐࡕǴҬܰීܨڹԶߎᑼ཰႖ Ҭڗᐒ཮ԋҁΠफ़ǴӸЊ઱઱ගޑճ౗΢ϲǴ࡭ԖҬܰ஦ЊܭΠफ़Ǵёа౛ှԋҗޑۈӸීय़ჹፂᔐࡕ΋໒܄Ҭܰ යӸൂ (LRNCD)Ǵӧ೤ჾᆙᕭࡕቚуǴۓёᙯᡣޑයӸී໨ҞۓॷສՉࣁǹ਒ᜐਂਆ܈дӸී໨ҞځӸීׯ۳ܰ ҬܰӸීǶޑଯ܄යӸීԶόࢂ࡭Ԗࢬ୏ۓ໼ӛஒ೤ჾ׫Ε׳Ψᡉࢂճ౗΢ϲ٬ளӸЊ ౛җࢂǴሌޑLRSEC) ӧ߻ϤঁДϣᡯफ़Ǵёૈ) چߎᑼၗౢǴᒿ๱೤ჾᆙᕭǴԖሽ᛾ޑሌՉډനࡕӆٰ࣮ Ƕ؃යӸීሡۓޑၗߎલαǴ٠၂კय़ჹᒿϐԶٰεໆޑǴѐѳᑽѨѐεໆҬܰӸීچՉӧ೭ࢤਔ໔໼ӛр୧Ԗሽ᛾ ଓᙫၗ਑ჴ᛾่݀Ǵᆶ Carpenterޑӧҁ୯ሌՉޑΟঁᡂኧچයӸൂаϷሌՉԖሽ᛾ۓӸීǵёᙯᡣ܄ӧҬܰ ༈࣬྽ᜪ՟ǶوޑλՉሌՉӧय़ჹᆙᕭ೤ჾਔǴ߃යޑᡏቫय़ύঁزand Demiralp (2012) ࣴ

5. ่ፕ ࿶ჴ᛾ϩ݋Ǵӧᕴᡏቫय़΢Ǵ೤ჾᆙᕭ཮೷ԋอਔ໔ϣሌՉܫීΠफ़ǵӸීΠफ़ᆶᆅ౛܄ॄ໸΢ϲǶ೭ࢂӢ ޑдճዎၨεځǹԶӸЊ໼ӛஒӸී׫Ε؃ၗߎሡޑճ৲ԋҁቚуǴӢԜफ़եສීޑࣁճ౗΢ϲǴቷ୘ӛሌՉສී ໸όሡाӛύѧሌՉගӈॄޑၗߎǴ೭೽ϩ؃ӦӛѦ೽൨܄໸ࢂሌՉԾวॄ܄ᆅ౛ܭॷສՉࣁǴ೷ԋӸීΠफ़Ƕҗ ၮբᆶցԖࡑ୘ᄮǶޑೱ่ั༾ᖓ১ǴߞҔᆅၰޑՉࣁᆶॄ໸ᆅ౛ීܫሌՉکഢǴᡉҢྗഢྗ යӸීۓӸී෧Ͽǵ܄ቚуǵҬܰීܫޑǴᆙᕭࡹ฼ࡕǴอය໔ϣሌՉޕଓᙫၗ਑ჴ᛾่݀ёޑவঁձሌՉ Huang, Zhan (2003) ම߄Ң ک (࡭Ԗ෧ϿǶЎ᝘΢ Altunbas, Y., Fazylov, O., and! Molyneux, P., (2002چቚуǵԖሽ᛾

кйло Ѝޣ੃຤܈ཀᜫफ़եǴ຾ԶቹៜҾ཰׫ၗීܫ೤ჾࡹ฼཮٬ሌՉӸීྗഢᆶӸීΠफ़Ǵ೷ԋሌՉ܄྽ѧՉჴࡼᆙᕭ рǹԜѦǴၗҁೕኳε܈ࢬ୏܄மϐεࠠሌՉӧय़ჹᆙᕭ܄೤ჾࡹ฼ਔǴԖၨӳޑᝢ௛ၗߎૈΚǴдॺёаᙖҗว य़ቹៜǶᗨॄޑ஥ٰ܌೽ϩǴӢԜёаԖਏӦӢᔈ೤ჾࡹ฼٠ೕᗉࡹ฼ޑᔆံӸීࢬѨٰچр୧Ԗሽ᛾܈ՉϦљ໸ ௃ޑǴӢԜӧᝢ௛ၗߎόܰڙௗ܌ӧѱ൑΢ၨᜤ೏΋૓ε౲چᝢ௛ၗߎǴՠ໸چฅλࠠሌՉᗨฅΨёа೸ၸวՉ໸ ֎ԏϐ܌ၗߎٰྍό໻ࢂ၀ሌՉޑීܫሌՉډӢᔈǶฅԶǴԵቾٰීܫ೤ჾࡹ฼཮ॐ٬λࠠሌՉ෧Ͽ܄ݩΠǴᆙᕭ ॺёаϸࡘ೤ჾࡹ฼೸ၸሌךӸීǴᗋԖ΋ε೽ϩٰԾሌՉӛѦ೽ᝢ௛ϐၗߎǴ೭٤ၗߎ٠όሡाගӈྗഢǴӢԜ ᆅၰࢂցԖբҔǶීܫ੟ကሌՉޑдᕴᡏ࿶ᔮࢲ୏ځՉࣁቹៜීܫՉ ੝Յ൩ࢂޑሌՉჹ೤ჾࡹ฼ϐፂᔐϸᔈǶ٬Ҕ VAR നεޑᕭ෧Ԅኳࠠ௖૸Ѡ᡼ޑ ҁЎ٬Ҕ VAR ᙯᡂԋ VECM ೭ܭVAR/VECM ύǴଅ᝘ӧ ډуۺཷޑPanel VECM ߾ࢂஒଓᙫၗ਑ ܈ ᡂኧ೿྽ԋϣғǴԶ Panel VARޑԖ܌ஒ ӵஒҁ୯ٯ೽ϩ຾ՉᘉкǴޑVECM ௖૸Ƕ҂ٰ׆ఈૈஒଓᙫၗ਑ ܈ Ε VA Rܫଓᙫၗ਑ޑஒҁ୯ሌՉـࢂҞ߻Ͽ ೤ჾࡹ฼ӵՖڙሌՉଓᙫၗ਑཮ޑ฻຾ՉϩᜪǴख़ཥ՗ीӧόӕᜪձΠ܄౗ǵ٩ࢬ୏ىሌՉ٩ၗౢελǵ٩ၗҁ፾ ᑪֹ๓Ƕ׳زϐࣴڋቹៜǴ٬ჹ೤ჾࡹ฼໺ሀᐒ

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