流通科学大学論集 - 経済 情報 政策編 - 第 22 巻第 2 号,19-32(2014) Lending Behavior for Small-Medium Business by Shinkin Bank and Other Domestic Bank in Japan: Evidences from Time Series Data Masafumi Kozuka I. 2006 99.7 2008 5 1 5 2000 3 * 流通科学大学総合政策学部 651-2188 神戸市西区学園西町 3-1 神戸大学大学院経済学研究科研究員 657-8501 神戸市灘区六甲台町 2-1 (2013 年 8 月 30 日受理 ) C 2014 UMDS Research Association
20 小塚匡文 1: ( ) 10 1 10 1 2009 66 19 9 300 (QEMP) 2000 2 2001 2001 2002
わが国の信用金庫と国内銀行の中小企業向け貸出行動 21 2: IIP 1 2005 2006 2005 2007 Choleski II III
22 小塚匡文 IV II. 4 VAR(Vector Auto Regression) (Y t) (MB t) 4 (BANK t) (SHINKIN t) rt b rt s 4 x t =(rt b,mb t, BANK t,y t) x t =(rt s,mb t,shinkin t,y t) x t VAR Choleski 2 VAR p x t = A 0 + A ix t i + u t (1) i=1 u t VAR p x t = B 0 + B ix t i + t (2) i=0 t 0 0 u t t u t =(u rb,t,u MB,t,u BANK,t,u Y,t) u t =(u rs,t,u MB,t,u SHINKIN,t,u Y,t) t =( rb,t, MB,t, BANK,t, Y,t) t =( rs,t, MB,t, SHINKIN,t, Y,t) (2) p x t =(I B 0) 1 [B 0 + B ix t i + t] (3) i=1
わが国の信用金庫と国内銀行の中小企業向け貸出行動 23 (1) (3) (I B 0)u t = t (4) Choleski I B 0 (4) u t = B 0u t + t (5) B 0 4 VAR 6 (5) u rb,t = a 1u MB,t + rb,t (6) u rs,t = a 1u MB,t + rs,t (7) u MB,t = MB,t (8) u BANK,t = a 2u rb,t + a 3u Y,t + BANK,t (9) u SHINKIN,t = a 2u rs,t + a 3u Y,t + SHINKIN,t (10) u Y,t = a 4u rb,t + a 5u MB,t + a 6u BANK,t + Y,t (11) u Y,t = a 4u rs,t + a 5u MB,t + a 6u SHINKIN,t + Y,t (12) 6 (6)(7) (8) (9)(10) (11)(12)
24 小塚匡文 3: IIP VAR SBIC(Schwarz Bayesian information criterion) 1 2001 3 2010 8 2006 3 2001 3 2006 2 ( Sample1 2006 3 2010 8 ( sample2 ( QEMP) 2006 3 3 3 4 Sample1 4-1 Sample2
わが国の信用金庫と国内銀行の中小企業向け貸出行動 25 4-1 2001 3 2006 2 ( ) 95 5-1 Sample1 4-2 Sample2 5-2 4-1 4-2 Sample1 Sample1 5-1 5-2 Sample2 Sample1 5
26 小塚匡文 4-2 2001 3 2006 2 ( 95 III. QEMP 6 QEMP Honda et al.(2007)
わが国の信用金庫と国内銀行の中小企業向け貸出行動 27 QEMP Sample2 7 Sample1 Sample2 QEMP 8 2000 Sample1 QEMP Sample2 QEMP Sample2 (2013) 2008 Sample2
28 小塚匡文 5-1 2006 3 2010 8 ( ) 95 Sample1,2001 2003 Sample2 2008 2009
わが国の信用金庫と国内銀行の中小企業向け貸出行動 29 5-2 2006 3 2010 8 ( ) 95 QEMP QEMP QEMP 2008 QEMP 9 IV. 4 VAR
30 小塚匡文 Sample1 QEMP Sample1 Sample2 Sample2 Sample2 QEMP Sample1 Sample2 Sample1 Sample2 QEMP QEMP JSPS (C) 25380417
わが国の信用金庫と国内銀行の中小企業向け貸出行動 31 1 2002 2 Bernanke(1986) 3 1 4 VAR 20 5 31.41 98.67 134.45 4 VAR VAR 1 VAR Honda et al.(2007) Hamilton(1994) Chapter 20 5 Sample1 5-6 Sample2 15-16 ( ) Honda et al.(2007) Honda et al.(2007) QEMP QEMP 6 Brunner and Meltzer(1963) Tobin(1963) 7 Honda et al.(2007) 8 Honda et al.(2007) 9 (2013) 2005
32 小塚匡文 (2013) 21 2,135-150, 2013 1. (2005) October, 2005. Bernanke, B. S.(1986) Alternative Explanations of the Money-Income Correlation, Carnegie- Rochester Conference Series on Public Policy 25,issue 1, pp.49-99, Autumn 1986. Brunner, Karl and Allan H. Meltzer(1963) The Place of Financial Intermediaries in the Transmission of Monetary Policy, America Economic Review 53, pp.372-382. Hamilton. J. D.(1994) Time Series Analysis, Princeton University Press Honda, Yuzo, Yoshihiro Kuroki and Minoru Tachibana (2007), An Injection of Base Money at Zero Interest Rates: Empirical Evidence from the Japanese Experience 2001-2006, Graduate School of Osaka University Discussion Paper 07-08. Tobin, James(1963) A General Equilibrium Approach to Monetary Theory, Jornal of money, M Credit and Banking 1, pp.15-29.