台灣信用與金融情勢對經濟成長風險之影響評估

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Title:	台灣信用與金融情勢對經濟成長風險之影響評估
Authors:	許妘甄;Hsu, Yun-Chen
Contributors:	經濟學系
Keywords:	工業生產成長率;金融情勢;分量迴歸;偏斜t 分布;下行風險;Industrial Production Growth;Financial Conditions;Quantile Regression;Skewed-t Distribution;Downside Risk
Date:	2026-01-29
Issue Date:	2026-03-06 18:48:22 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究旨在透過分量迴歸模型探討台灣金融變數對實質經濟之不對稱影響，並且證實金融面影響的雙面性，即短期下金融寬鬆能正向影響工業生產成長率，但長期下則加劇實質經濟的下行風險。本文進一步將分量迴歸結合偏斜t 分布以評估下行風險，實證發現疫情前的下行風險（Growth-at-Risk, GaR）波動較不劇烈，然而疫情後所呈現的GaR 顯著增大，顯示金融市場對極端負向風險的敏感度上升。再者，本文將偏斜t 分布納入熵模型架構，建構更具前瞻性的風險評估工具，結果顯示，當經濟處於景氣低迷階段，下行熵值顯著上升。透過Granger 因果關係檢定，實證亦支持下行熵值可領先預測工業生產成長率之變動，展現其作為預警指標之潛力。最後，為檢驗實證結果之穩健性，本文採用分量向量自我迴歸（Quantile Vector Autoregression, QVAR）模型，以探討主要變數間在不同分位數下的動態關係。結果顯示，QVAR 與分量迴歸結果一致，金融變數皆是正向影響實質面經濟，且工業生產成長率對金融情勢指數與民間信用占比GDP 成長率不具內生性。衝擊反應分析進一步指出，金融情勢指數在較低分位時對工業生產成長率具更大的顯著影響。;This study examines the asymmetric effects of financial variables on Taiwan’s economy using a quantile regression framework. The results show that short-term financial easing supports industrial production growth but heightens long-term downside risks. To capture tail risk more precisely, the analysis incorporates a skewedt distribution into the model. The results show that Growth-at-Risk (GaR) remained stable before COVID-19 but increased significantly after, indicating greater sensitivity to adverse shocks. The analysis further integrates the skewed-t distribution into an entropy model to strengthen forward-looking risk assessment. Results show that downside entropy peaks in advance of economic recessions. Granger causality tests suggest it precedes and predicts future industrial production growth. To ensure robustness, a Quantile Vector Autoregression (QVAR) model analyzes the dynamic relationships across quantiles. The QVAR findings confirm those of the quantile regression, showing that financial variables positively affect the economy. Additionally, no evidence of endogeneity is found from industrial production growth to the Financial Conditions Index or credit-to-GDP. Impulse response analysis shows stronger effects of financial conditions at lower quantiles.
Appears in Collections:	[Graduate Institute of Economics] Electronic Thesis & Dissertation

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