A Study on the Relationship of General Non-Performing Loan Ratios of Local Banks and Macro Economic Indexes
碩士 === 國立屏東科技大學 === 財務金融研究所 === 96 === This paper employed Johansen cointegration test, Granger causality test and impulse responses functions, using monthly observations from June 2003 to July 2007, to analyze the relationship between non-performing ratios of local banks and macro economic indexes....
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ndltd-TW-096NPUS53040182016-12-22T04:12:08Z http://ndltd.ncl.edu.tw/handle/74919906718873958592 A Study on the Relationship of General Non-Performing Loan Ratios of Local Banks and Macro Economic Indexes 本國銀行廣義逾放比與總體經濟指標之關聯性研究 Mei-Hua Lin 林美花 碩士 國立屏東科技大學 財務金融研究所 96 This paper employed Johansen cointegration test, Granger causality test and impulse responses functions, using monthly observations from June 2003 to July 2007, to analyze the relationship between non-performing ratios of local banks and macro economic indexes. The empirical results show that there exist long-term cointergration relationships between variables. The unemployment rate and the non-performing loan ratios have a feedback relationship. Consumer price index, interest rates for new loans by five leading banks have Granger caused the non-performing loan ratios. The non-performing loan ratios have Granger caused the industrial production index and the average earnings of employees in industry and service sectors; However, causality test show non significant relationship between Taiwan stock index, leading indicator and non-performing ratios. As to the impulse response, the unemployment rate, consumer price index and the interest rates for new loans by five leading banks have a positive effect on the non-performing loan ratios. This study shows that non-performing loan ratios have a long-term relationship with macro economic indexes. We also recommend that the government should strengthen the financial monitor mechanism and should promote the upgrade of the economy. Financial institutions should strengthen the risk control and meanwhile should watch the changes of macro economic indexes for the reference of making loans and other investments. Rern-Jay Hung 洪仁杰 2008 學位論文 ; thesis 55 zh-TW |
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碩士 === 國立屏東科技大學 === 財務金融研究所 === 96 === This paper employed Johansen cointegration test, Granger causality test and impulse responses functions, using monthly observations from June 2003 to July 2007, to analyze the relationship between non-performing ratios of local banks and macro economic indexes.
The empirical results show that there exist long-term cointergration relationships between variables. The unemployment rate and the non-performing loan ratios have a feedback relationship. Consumer price index, interest rates for new loans by five leading banks have Granger caused the non-performing loan ratios. The non-performing loan ratios have Granger caused the industrial production index and the average earnings of employees in industry and service sectors; However, causality test show non significant relationship between Taiwan stock index, leading indicator and non-performing ratios. As to the impulse response, the unemployment rate, consumer price index and the interest rates for new loans by five leading banks have a positive effect on the non-performing loan ratios.
This study shows that non-performing loan ratios have a long-term relationship with macro economic indexes. We also recommend that the government should strengthen the financial monitor mechanism and should promote the upgrade of the economy. Financial institutions should strengthen the risk control and meanwhile should watch the changes of macro economic indexes for the reference of making loans and other investments.
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Rern-Jay Hung |
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Rern-Jay Hung Mei-Hua Lin 林美花 |
author |
Mei-Hua Lin 林美花 |
spellingShingle |
Mei-Hua Lin 林美花 A Study on the Relationship of General Non-Performing Loan Ratios of Local Banks and Macro Economic Indexes |
author_sort |
Mei-Hua Lin |
title |
A Study on the Relationship of General Non-Performing Loan Ratios of Local Banks and Macro Economic Indexes |
title_short |
A Study on the Relationship of General Non-Performing Loan Ratios of Local Banks and Macro Economic Indexes |
title_full |
A Study on the Relationship of General Non-Performing Loan Ratios of Local Banks and Macro Economic Indexes |
title_fullStr |
A Study on the Relationship of General Non-Performing Loan Ratios of Local Banks and Macro Economic Indexes |
title_full_unstemmed |
A Study on the Relationship of General Non-Performing Loan Ratios of Local Banks and Macro Economic Indexes |
title_sort |
study on the relationship of general non-performing loan ratios of local banks and macro economic indexes |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/74919906718873958592 |
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