請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/89620
標題: 退票率與經濟景氣指標之分析
An Analysis on the Relation between the Dishonored Ratio and the Economic Business Cycle Indicators.
作者: Lin-Hsin Chang
張齡心
關鍵字: 退票率
向量自我迴歸
景氣循環
Dishonored rate
Vector Autoregressions (VAR)
Business cycle
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摘要: 經濟景氣之好壞與交易行為的頻繁有密集相關性,票據的使用率可以反映整體經濟或個別產銷售及獲利情況之好壞,以及資金狀況是否緊俏,而支票的使用率即為交易行為頻繁與否的表徵。所謂退票比率是指因為存款餘額不足以支付票據金額,在銀行營業時間後遭受退票佔票據交換的比率,由此可見退票率與不同經濟景氣的呈現,應具有相當程度的相關性。因此本研究擬就瞭解退票率在何種經濟景氣中容易發生信用違約(退票)並分析退票率在經濟景氣指標中的先行與同時之關聯性,同時檢視退票金額比率或退票張數比率在經濟景氣指標中的領先與同時之衡量。 本研究利用單根檢定解決殘差自我相關和異質變異的問題,利用ARMA模型推估變數時間序列上的資料產生過程,再依SBC法則選取並以SBC最小值為最適遞延階數,後以最大概似法進行共整合檢定,採Granger(1969)與Sims(1972)所提出的檢定方法來判別變數間的因果關係,再利用向量自我迴歸(Vector Autoregressions,簡稱 VAR)模型找出衝擊反應函數和預測誤差變異數分解來實證得出結果。 經由實證顯示,退票張數及金額比率在景氣領先指標中的貨幣總計數明顯呈現負向循環,與景氣同時指標中的商業營業額亦呈現負向循環但較不明顯,退票率在經濟重要性上已呈現薄弱的解釋力,在總體經濟中的循環對應性仍舊明顯,但充其量只能當成參考指標。
There's intensive correlation between good or bad economic boom and frequent transaction behavior. Usage rate of bill can reflect both the good and the bad in overall economy or individual production and marketing as well as profit, and whether the fund is tight, so that cheque in usage rate symbolizes if it's frequent transaction behavior. The so-called dishonored rate means dishonored bill accounts for the percentage of the clearing after bank's business hours as deposit balance is not enough to pay the sum of bill. It can be seen dishonored rate should have correlation to some extent with the presentation of different economic booms. Therefore, this study would plan to understand dishonored rate in which kind of economic booms may easy to cause credit default (dishonored bill) and analyze dishonored rate in the relationship between leading and coincident business indicator. Meanwhile, the study examines the measurement for the rate of dishonored amount or number in leading and coincident business indicator. This study adopted unit root test to solve the problems of residual autocorrelation and heteroscedasticity by using ARMA model to estimate data creation process in variable time series and select based on SBC rule to obtain SBC minimum value as the optimal deferred order; method of maximum likelihood for cointegration test based on the test method proposed by Granger (1969) and Sims (1972) was taken to determine causal relationship between the variables, and then Vector Autoregressions (VAR) was used to find out impulse response function and forecast error variance decomposition for empirical results. According to empirical findings, the rate of dishonored amount or number in leading business indicator showed negative cycle, and business turnover in coincident business indicator also showed negative but unobvious cycle; dishonored rate has displayed weak interpretation of economic importance, remaining the same obvious correspondence to cycle in overall economy, but it's just a reference indicator at most.
URI: http://hdl.handle.net/11455/89620
其他識別: U0005-2308201521074000
文章公開時間: 2015-08-27
顯示於類別:應用經濟學系

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