Empirical Analysis on Economic Growth, Consumer Confidence, and Bank Risks

• Main Authors: Hung-Yu Lin, 林虹妤
• Other Authors: Chih-Chiang Hsu
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/34277279355331494377

博士 === 國立中央大學 === 經濟學研究所 === 100 === 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.