自2008年金融海嘯後，為了修補實體經濟與金融體系的重創，各國央行開始實施量化寬鬆，全球進入低利率的時代，透過注入大量資金至金融體系，經過商業銀行進行信用擴張，傳導至實體經濟，而信貸與實體經濟具有緊密的關聯性，具有促進社會大眾消費及投資者投資之效果，能夠刺激實體經濟成長。信貸脈衝 (credit impulse) 是以流量為評估基準的指標，所以在信貸餘額相同下，信貸流量的增加，對於刺激實體經濟仍有顯著效果，故信貸脈衝經常被視為景氣及大類資產價格變化的領先指標。本文主要以臺灣非金融私營部門信貸相關資料，編制不同期間之信貸脈衝，並透過自我迴歸分配遞延模型 (autoregressive distributed lag model,ARDL)的區間測試法和 Toda and Yamamoto因果檢定，分別探討不同期間信貸脈衝與臺灣股價指數、公債殖利率及房價指數之關聯性。實證結果顯示臺灣 6 個月期信貸脈衝及臺灣 12 個月期信貸脈衝，分別對於臺灣長期公債殖利率與股價指數，存在長期顯著正向的關係，臺灣 3 個月期信貸脈衝對於臺灣房價指數具有單向因果關係；臺灣 12 個月期信貸脈衝，對於臺灣股價指數及長短期公債殖利率，均具有單向因果關係。

Since the financial crisis of 2008, to repair the severe damage to the real economy and the financial system, central banks of the countries have begun to implement quantitative easing. The world has entered an era of low-interest rates. By injecting considerable funds into the financial system and commercial banks for credit expansion, credit is closely related to the real economy, promoting public consumption and investment. It can stimulate the growth of the real economy. The credit impulse is an indicator based on the flow of evaluation. Therefore, the increase in credit flow still significantly stimulates the real economy under the same credit stock. Thus, the credit impulse is often regarded as a change in prosperity and significant central class prices leading dictators. The purpose of the study was to use the financial private sector's credit data of the non-financial private sector in Taiwan to compile credit pulses in different periods and adopt the ARDL bound testing method and Toda and Yamamoto causality test to explore the relationship between credit impulse in different periods and Taiwan. Correlations between the stock market index, government bond yields, and real estate price index. The empirical results show that Taiwan’s six-month credit impulse has a significant long-term positive relationship with the long-term bond yield, and Taiwan’s twelve-month credit impulse has a significant long-term positive relationship with the stock market index. The causality analysis reveals a unidirectional causal relationship running from Taiwan’s three-month credit impulse to the real estate price index, twelve-month credit impulse to the stock market index, long -term and short-term bond yields.

1.前言…………………………………………………………………..1
2.文獻回顧……………………………………………………………..5
3.研究方法……………………………………………………………..8
4.實證結果…………………………………………………………….17
5.結論………………………………………………………………….23
附錄……………………………………………………………………..27
參考文獻………………………………………………………………..24

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