經濟成長、消費者信心與銀行風險

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林虹妤(Hung-Yu Lin) 查詢紙本館藏

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經濟學系

論文名稱

經濟成長、消費者信心與銀行風險
(Empirical Analysis on Economic Growth, Consumer Confidence, and Bank Risks)

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摘要(中)

「經濟成長」是經濟學範疇中相當受到重視的議題,而外人直接投資一直被視為是影響經濟成長的重要因素, 由實證研究顯示, FDI接受國的 absorptive capacity 在居中扮演著重要角色。再者, 將消費者信心指數的質化特性適當地運用到財務分析上, 近年來已有諸多探
討。然而,有關消費者信心指數在經濟分析上的應用仍相對缺乏。此外,以綜觀整合的角度檢視銀行風險, 探討不同的銀行所有權結構對風險之影響, 亦為相當值得關注。基於此, 本篇論文旨在探討三個議題: 外人直接投資對經濟成長的影響、消費者信心指數與股價指數
的相互關係與解釋能力、銀行所有權結構與不同風險之相關分析。
文中第二章嘗試考慮利用分量迴歸捕捉經濟成長的條件分配中不同分量的行為, 主要探討 absorptive capacity 在 FDI 對經濟成長的效果中所扮演的角色。本章收集 1975−1995 年間 72 個國家橫斷面資料並在有效控制解釋變數的內生性問題之下, 由實證結果發現, 高所得且具有 absorptive capacity 的高度經濟發展國家其 FDI 的外溢效果會愈加顯著。此外,高所得國家會比低所得國家更加具有 convergence club 效果。消費者信心指數主要是根據消費者對國家未來經濟狀況的認知與滿意程度進行調查,並編制綜合性指標以反映消費者心理意向之消長趨勢, 供政府施政決策與經濟預測參考。
本文第三章企圖探討21國消費者信心指數與股價之關連性與其解釋能力。由 panel Granger-causality test 實證結果發現, 股價會對消費者信心指數有一定程度的顯著影響,主要原因是消費者將股價視為領先指標。另一方面,除了以上傳統實證結果成立外,過去文獻上忽略
了消費者的信心傾向也會從“動物性本能”的主觀角度來影響股價等投資行為。這隱含在全球化且各國資訊互通有無的趨勢下, 具有預測景氣的各主要指標之間的關係更為緊密, 需要進一步進行探討與分析。
在第四章, 文中嘗試探討不同的銀行所有權結構對信用風險和流動性風險之影響。本章利用 1999−2008 年的 OECD 國家年資料,主要結果發現,由於非商業銀行的組成銀行大多具有地緣關係, 非商業銀行會因在地人情壓力而有過多不正當的放款行為, 進而使潛在的流動性風險與信用風險增加。對於非商業銀行的非合理放貸行為, 文中考慮增加外資投資比重參與銀行經營權,藉以改善銀行經營效率的情況下,由 panel data 的實證結果發現,此一強化經營所有權的行為可以有效顯著降低流動性風險和信用風險。最後, 有鑑於銀行風險跟總體環境密不可分, 故在面臨總體環境衝擊之下, 外資所有權仍會對銀行風險有其影響力。當景氣不佳時, 增加外資比重對具有高股東權益的非商業銀行可以顯著降低流動性風險; 當銀行面臨貨幣緊縮時, 增加外資比重對具有高存款的非商業銀行仍亦有效地降低流動性風險。最後一章,是本論文的總結。

摘要(英)

This dissertation mainly discuss three important issues, the growth effects of absorptive capacity and FDI, the problem caused by cross-sectional dependence of the consumer
confidence index (CCI) and stock market index (SMI), and the integration of liquidity and credit risks with the ownership structure of banks.
In Chapter 2, we examine the role of absorptive capacity in contributing to the growth effects of FDI. We allow for different growth effects of FDI at different quantiles
of the income distribution by using the conditional quantile regression (QR). And, given the potential endogeneity of FDI, we apply the IVQR method to control for endogeneity of all the explanatory variables. Our empirical analysis yields the following main conclusions. First, the IVQR estimates suggest positive growth effects of FDI in
higher quantiles of the distribution,while the estimates of FDI for QR are insignificant and small in magnitude across different quantiles. It implies that high-income countries
with well-developed absorptive capacities seem to gain significantly more from FDI. Besides, our QR (IVQR) analysis can provide the empirical evidence of convergence
clubs. It means that high-income countries have the phenomenon of convergence, but low-income countries do not.
Chapter 3 uses a panel of country-level data to investigate the causal relationship between the CCI and SMI.We apply the CCEMG estimationto capture the cross-sectional
dependence of our variables before examining this causal relationship. We discover the two-way causality between the CCI and SMI. One of the ways is where stock returns Granger-cause the changes in the CCI. According to the information view of the CCI, this result is due to consumers regarding the stock returns as being the leading
indicators of the future situation, regardless of whether they own the stocks or not. On the other hand, the changes in the CCI alsoGranger-cause the stock returns, the reason
for this being attributable to the animal spirits view of consumers. When consumers believe in their own opinions, they will at the same time have strong confidence in and
an optimistic attitude toward the future economic situation.
In Chapter 4, we investigate the relationship between liquidity and credit risks by taking the ownership structure of banks into consideration, and further attempt to analyze the effects of macroeconomic shocks (business cycle andmonetary policy shocks) on bank risks. We apply a dynamic two-step system GMM panel estimation method to
estimate the credit risk model and use the Fixed-Effects method to capture the relationship between loan growth and liquidity risk. Our empirical findings indicate that
non-commercial banks have higher liquidity and credit risks than commercial banks. One of the explanations is that non-commercial banks tend to extend non-rational loans to troubled firms. To improve the efficiency of non-commercial banks, we try to incorporate the percentage of foreign shareholders in non-commercial banks and then find evidence of non-commercial banks having lower liquidity and credit risks. Besides, even with the macroeconomic shocks, incorporating the percentage of foreign shareholders in non-commercial banks with high equity or customer deposits can still lower liquidity risk significantly. Lastly, our conclusions are discussed in Chapter 5.

關鍵字(中)

★ 外人直接投資
★ 經濟成長
★ 消費者信心指數
★ 銀行風險

關鍵字(英)

★ bank risk
★ consumer confidence index
★ FDI
★ economic growth

論文目次

1 Introduction 1
2 Absorptive Capacity and the Effects of FDI 5
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 Econometric Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.3 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.3.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.3.2 Quantile Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.3.3 Instrumental Variable Quantile Regression . . . . . . . . . . . . . . . . . 17
2.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
3 Consumer Confidence and StockMarkets 23
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
3.2 Econometric Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.2.1 Panel Unit Root and Cointegration Tests . . . . . . . . . . . . . . . . . . . 28
3.2.2 Panel Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
3.2.3 Panel Granger Causality Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
3.3 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
3.3.1 Data and Diagnostic Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
3.3.2 Panel Granger Causality Results . . . . . . . . . . . . . . . . . . . . . . . . . 35
3.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
4 Loan Growth and Ownership Structure for Bank Risks 44
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
4.2 Literature . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
4.3 Econometric Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
4.4 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
4.4.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
4.4.2 Estimation Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
4.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
5 Conclusions 65
References 68

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指導教授

徐之強、邱俊榮
(Chih-Chiang Hsu、Jiunn-Rong Chiou)

審核日期

2011-12-19

推文