信用分配理論說明在信用條件緊縮下貨幣政策的產出效果大於信用條件擴張下，換言之，貨幣供給與產出之間可能存在門檻效果或是非線性關係。過去的實證研究，為了強調貨幣政策與產出的關係，而忽略了制定貨幣政策與信用緊縮程度指標的最適法則，使其信用分配模型產生內生性問題，實證結果說明存在內生性貨幣變數時，信用分配理論不成立。本研究為探討同時具有內生性貨幣政策與信用指標時，貨幣政策與產出之間是否仍存在門檻效果，採用能夠同時解決解釋變數與門檻變數內生性問題的門檻迴歸模型檢定，且利用美國資料進行實證分析。實證結果發現，當內生性的貨幣變數與信用指標同時存在時，信用分配理論仍成立，即表示貨幣與產出之間仍存在門檻效果，且於緊縮的信用條件下，政府的貨幣政策效果大。

The implication of credit rationing models states that the effect of monetary policy on output may be stronger when credit conditions are tight than when they are loose. Therefore, there may be a thresholde effect on the relation between real money supply and output. Existing empirical studies on testing threshold effects ignore the fact that the monetary policy and the credit conditions are endogenous, which are follow some optimal rules. Seeing that the past studies considering the endogenous monetary policy only cannot provide substantial evidence of the credit rationing theory, this article provides an extending test of threshold effects when monetary policy and the indicator of credit conditions are endogenous. Moreover, this study finds that the US aggregate data can still provide significant evidence of a threshold effect on the relation between money and output, comparing to the endogenous monetary policy partially considered.

1. 緒論...1
1.1 研究動機...1
1.2 研究內容與架構...2

2. 理論模型與文獻回顧...3
2.1 理論模型...3
2.2 文獻回顧...7

3. 研究方法...9
3.1 單根檢定...9
3.2 門檻模型...18

4. 實證結果分析...27
4.1 資料來源與處理...27
4.2 門檻模型落後期數的選定...29
4.3 單根檢定結果...31
4.4 門檻檢定結果...33

5. 結論與建議...36

附錄...37
參考文獻...40
表(一) 資料處理與變數轉換... 28

表(二) 沒有門檻的模型估計結果...29

表(三) 單根檢定結果...32

表(四) 門檻檢定結果...35

附圖(一) 實質 GDP...37

附圖(二) 政府支出...37

附圖(三) 實質貨幣供給...38

附圖(四) 通貨膨脹率...38

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