銀行發展、股市發展與經濟成長－－臺灣的實證研究

BANKING DEVELOPMENT, STOCKMARKET DEVELOPMENT, AND ECONOMIC GROWTH: THE CASE OF TAIWAN

以往探討我國金融發展與經濟成長的文獻，大多僅著重銀行的個別功能，而忽略銀行與股市的互動關係，此外也遺漏金融變數可能存有內生性的問題。本文針對上述兩項特點， 以共積模型探討我國銀行發展、股市發展與經濟成長的長期關係及因果關係，並檢測銀行及股市之間究竟為替代抑或互補關係？實證結果顯示銀行發展變數具有弱外生的特性； 銀行發展單向降低股市發展，顯示兩者為替代關係。此外， 由長期因果關係檢定可知， 我國同時存在供給領導（supply-leading）及需求追隨（demand-following）的股市發展型態，而銀行則為供給領導的發展型態。我們將上述實證結果與現有文獻做一比較。

The paper investigates the long-run relationship between banking development, stock market development, and economic growth using Taiwan’s data. A multivariate time-series model is employed to test for cointegration and causal relationship between variables that proxy for above. Cointegration and weak exogeneity tests show the following results: (1) banking development and stock market development significantly promote economic growth; (2) proxy for banking development is weakly exogenous for both stock market development and growth; (3) banking development and stockmarket development are substitute sources for capital borrowing and lending; (4) banking development causes growth which validates supply-leading hypothesis; and (5) the bidirectional causal relationship between stock market development and economic growth supports both supply-leading and demand-following hypothesis. We also compare the empirical resultswith related literature.