本文使用台灣個別銀行的放款資料，主旨在探討台灣在面臨緊縮性貨幣政策公股與民營銀行在分類放款上會有什麼反應上的差異，而我們主要以個別銀行的衝擊反應進行此部分的探討。藉由在向量自我迴歸模型 (vector autoregressions model, VAR model) 中結合貨幣緊縮和個體銀行各類放款的變數，因此我們得以分析個別銀行的放款反應行為。本研究的主要發現如下：第一，總放款方面公股銀行比起民營銀行並無明顯的下降趨勢，甚至呈現微幅上升的現象。第二，在住宅型放款，我們發現公股銀行有上升的趨勢，反觀民營銀行卻呈現下降的反應。第三，公股與民營銀行在無擔保品的非住宅型放款皆呈下降反應，消費性放款在公股銀行未有明顯的波動，民營銀行則有下降的現象。第四，我們發現中小企業放款在公股銀行有微幅上升的情況，民營銀行在後期呈現微幅下降。最後，此結果也證實了當面臨貨幣緊縮時，整體來說民營銀行的放款行為確實比公股銀行來得保守。

This study uses the loan information of individual banks in Taiwan to study the difference between state-owned and privately-owned banks’ loan responses to a tightening of monetary policy. By combining macro and monetary policy variables and various bank loan variables in the vector autoregressions model (VAR model), we analyze the lending responses of individual banks to a contractionary monetary shock. The main findings of this study are as follows. First, the total loan in state-owned banks shows a slight increase after a monetary tightening while the total loan in privately-owned banks declines after the tightening. Second, residential loans in state-owned banks increase while those in privately-owned banks decrease after a monetary tightening. Third, both state-owned banks and private banks’ non-residential loans decline after a monetary tightening. Moreover, consumer loans decline in privately-owned banks while exhibit no significant change in state-owned banks after a monetary tightening. Fourth, we find that SME loans increase in state-owned banks while increase slightly and then decline around 15 months after a monetary tightening. The overall results of the current study indicate that when facing a monetary tightening, privately-owned banks generally exhibit more conservative responses in lending than state-owned banks do.

第一章、緒論 1
第二章、背景與文獻回顧 5
第三章、資料概述與處理 9
第四章、研究方法 14
第一節 研究方法和實證模型的設定 14
第五章、實證結果 18
第一節、公股與民營銀行在貨幣緊縮下的衝擊反應：總合資料 18
第二節、公股與民營銀行在貨幣緊縮下的衝擊反應：個別資料 21
第三節、公股與民營銀行在貨幣緊縮下的衝擊反應：迴歸分析 27
第四節、民營銀行在貨幣緊縮下的衝擊反應：以資產大小分析 34
第六章、總結 36
參考文獻 38
附錄 41

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