本文利用台灣的商銀放款細項資料研究銀行放款在貨幣傳遞機制中所扮演的角色與重要性。我們採用Blanchard and Quah (1989)的結構性衝擊認定方式，利用經濟理論對VAR模型移動平均表示(moving average representation)係數所賦予的長期限制，認定貨幣政策衝擊以及各項實質面衝擊。根據衝擊反應函數分析，我們發現實施緊縮貨幣政策後，商銀對個人與企業的放款在短期內皆呈現顯著之下滑，但商銀放款組合中有增加擔保相對較完備的企業投資放款及消費者房屋相關貸款比例的現象。此一放款組合的變化，反映了在資金借貸市場訊息不對稱下，銀行經理基於緊縮貨幣政策造成金融中介成本的提高，將資金導向安全性較高資產的現象。

This article empirically examines the impact of monetary policy on bank loan portfolios using Taiwan macro and bank loans data for the period of January 1997 to June 2017. We estimate a vector autoregressive model (VAR Model), which includes four VAR iables, i.e., industrial production index, real exchange rate, the real loan component of commercial banks, and M2. We employ a Blanchard and Quah (1989) structural VAR approach by imposing long-run restrictions on the coefficients of the moving average representation of the VAR to identify monetary policy shocks, money (asset) demand shocks, real aggregate demand shocks, and aggregate supply shocks. We find that in the short run both business and personal loans decline significantly in response to a monetary tightening. However, we also find bank loan portfolios tend to adjust after a monetary tightening, with a decrease in the proportion of less secured loans such as consumer loans and business loans for current operations while there is an increase in the proportion of more secured loans such as personal housing loans and business investment loans. The above response pattern of bank loan portfolios show that bank managers, when facing rising costs of intermediation after a monetary tightening, reallocate bank asset portfolios toward safer loans.