台灣地區銀行整體放款結構之趨勢分析

Abstract

本文的主要目的在於探討台灣地區銀行放款結構的變化是否與景氣的波動有所關聯，採用時間序列方法，包括：單根檢定、Granger因果關係檢定、衝擊反應來進行分析，資料選取期間為1997年第一季至2013年第四季之季資料。主要實證結果歸納如下：當景氣上升時，民營企業的放款比重會增加，而個人等及政府機關放款比重會減少；當消費者物價指數上升時，公營事業的放款比重會增加；當失業率上升時，民營企業的放款比重會減少，而個人等及政府機關放款比重會增加；當存放款利差增加時，政府機關的放款比重會減少；當股價指數上升時，民營企業的放款比重會增加，而政府機關的放款比重會減少；當房價指數上升時，政府機關的放款比重會減少。當銀行對民營企業的放款比重增加的時候，消費者物價指數會上升，而逾放比會下降；當銀行對政府機關的放款比重增加的時候，消費者物價指數及房價指數會下降，逾放比會上升。綜合以上，我們發現放款結構受景氣波動影響很大，尤其是民營企業，當銀行遇景氣波動時，大多先調整對民間部門的放款，而其餘部門的放款比重會隨著銀行對民間部門放款比重的變動作反向增減。

The main purpose of this thesis is to investigate whether the changes in loan structure of banks are associated with fluctuations in the economy in Taiwan. The time series method is adopted, including the unit root test, Granger causality test, and impulse response analysis. The dataset is from the first quarter of 1997 to the fourth quarter of 2013. Our major empirical findings are summarized as follows: When GDP rises, the proportion of loans to private enterprises will increase, while those for individuals and government agencies decrease. When the consumer price index rises, the proportion of loans to government enterprises will increase. When unemployment rate rises, the proportion of loans to private enterprises will decrease, whereas it will increase for individuals and government agencies. When the interest rate spread rises, the proportion of loans to government enterprises will decrease. When the stock price rises, the proportion of loans to private enterprises will increase, while that for government agencies will decrease. When the house price rises, the proportion of loans to government enterprises will decrease. When the proportion of loans to private enterprises increases, the consumer price index will rise and NPL ratio will fall. When the proportion of loans to government agencies increases, consumer price index, and house price will fall while NPL ratio will rise. Based on the above findings, we conclude that loan structure of banks is impacted by fluctuations in the economy significantly, especially for private enterprises. In view of foreseeable fluctuations in the economy, banks tend to adjust lending to private sectors first.