The relationship between bank loans and macroeconomic variables: A case of first commercial bank

[[abstract]]本文以第一銀行為例，觀察放款與變數間的變化情形。研究發現各變數透過單根檢定，皆為恆定之時間數列。逾期放款比率、貨幣供給額成長率具有單向領先第一銀行放款餘額成長率之關係，而放款餘額成長率具有單向領先消費者物價指數成長率之關係。由預測誤差變異數分解結果得知以消費者物價指數成長率解釋當期放款餘額變動效果較佳。[[abstract]]This paper presents a case study of First Commercial Bank in which observations are made on the changes in relevance between loans and variables The unit root test found that the variables all have constant time sequences The NPL ratio and money supply growth rate leads the loan balance growth rate of First Commercial Bank in a one-way direction The loan balance growth rate has a one-way leading relationship with the consumer price index growth rate The forecast error variance decomposition results suggest that it is better to use the consumer price index growth rate to explain the current loan balance changing effect