BANK CAPITAL AND LENDING BEHAVOIR:EMPIRICAL EVIDENCE FOR TAIWAN
| Autor: | Chia-Wei Wu, 吳家惠 |
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| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 This paper investigates the existence of bank lending channel of monetary transmission mechanism in Taiwan, taking into account the interaction effects of bank capitalization with monetary and GDP shocks. For the purpose of examining the broadly discussed bank lending channel (BLC), this paper tries to disentangle the effects of bank capital channel (BCC), which is discussed as an afterthought, from those of BLC. Incorporating the capital adequacy requirements implicitly in the empirical model, the bank's risk-taking incentive, in respect to its relation with excess capital level which is defined under the capital adequacy requirements, is consequently identified by means of detecting the possible interaction effect between excess capital and output level.Our empirical results support the existence of "bank lending channel" of monetary transmission in Taiwan and show that the asymmetry in the response of bank lending to monetary policy, with regard to the degree of bank capitalization,is not quite considerable. The negative relationship between bank excess capital level and its risk aversion is confirmed, accounting for the instability in Taiwan's banking system that went through hardships during the Asian financial turmoil. The comparison between two different estimations, one using a full data set, through 1993Q4 to 2006Q1, and the other using a nested set starting at 2000Q1, suggests that carefully selecting the sample period, and a good indicator of the stance of monetary policy, can improve the test reliability. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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