宏觀審慎政策，戰爭與衝突以及銀行表現：  來自全球銀行的證據

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姓名

劉瑤(LIU YAO) 查詢紙本館藏

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財務金融學系

論文名稱

宏觀審慎政策，戰爭與衝突以及銀行表現：來自全球銀行的證據
(Macroprudential Policy, War and Conflict, and Bank Performance: Evidence from Global Banks)

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至系統瀏覽論文 (2029-8-1以後開放)

摘要(中)

本文主要關注全球銀行的宏觀審慎政策、戰爭和衝突、NPL（不良貸款）比率和NIM（淨息差）比率之間的關係。我們使用 2000-2015 年 20 個國家的銀行數據。通過實證實驗，我們發現整個樣本，亞洲國家，AE（發達經濟體）和 EMDE（新興市場和發展中經濟體）的 LTV（貸款價值比）和 NPL 之間存在負相關關係。接下來，我們考察九種宏觀審慎政策工具對銀行業績的影響，結果表明，許多政策工具以緊縮或寬鬆的方式影響NPL 和 NIM。同時，AE 和 EMDE 組之間的實證結果有所不同。最後，激烈的內部衝突和宗教緊張導致高 NIM。

摘要(英)

This paper primarily focuses on the relationship between macroprudential policy, war and conflict, the NPL (non-performing loan) ratio, and the NIM (net interest margin) ratio of global banks. We use bank data from 20 countries from 2000-2015. Via empirical experiments, we find a negative relationship between LTV (loan to values) ratio and NPL in global and Asian countries, AE (advanced economy) and EMDE (emerging market and developing economy). Next, we
examine the impact of nine macroprudential policy tools on bank performance; the result shows that many policy tools affect NPL and NIM in tightening or loosening manners. Simultaneously, the effects are different between AE and EMDE groups. Finally, intense internal conflict and
religious tension result in high NIM.

關鍵字(中)

★ 宏觀審慎政策
★ 銀行表現
★ 不良貸款率
★ 淨息差率
★ 戰爭與衝突
★ 發達經濟體
★ 新興市場和發展中經濟體

關鍵字(英)

★ Macroprudential policy
★ Bank performance
★ Non-performing loan ratio
★ Net interest margin ratio
★ War and conflict
★ Advanced economy
★ Emerging market and developing economy

論文目次

摘要 i
Abstract ii
Table of Contents iii
1. Introduction 1
2. Literature Review and Hypotheses 3
2.1. Macroprudential policy and non-performing loan 3
2.2. Macroprudential policy and net interest margin 5
2.3. War and conflict 6
3. Data and variable construction 7
3.1. The measure of bank performance 7
3.2. Macroprudential policy 7
3.3. War and conflict scores 8
3.4. Control Variables 8
4. Empirical Methodology 8
4.1. Baseline model 8
4.2. Elimination of endogeneity: two stages least square 10
5. Empirical results 11
5.1. Summary statistics 11
5.2. The LTV effect on bank performance 11
5.3. The LTV effect on bank performance in different market development 12
5.4. Other macroprudential policy actions on bank performance 13
5.5. War and conflict effect 15
5.6. GDP level effect 15
5.7. Endogeneity concern 16
6. Conclusion 16
Reference 17
Appendix 21
Table 25
Table 1: Summary statistics 25
Table 2: The effect of loan to value limits ratio on bank performance 27
Table 3: The effect of loan to value limits ratio on bank performance 28
Table 4: The result of macroprudential policy actions on bank performance 29
Table 5: The result of macroprudential policy actions on bank performance in emerging market and developing economy 30
Table 6: The result of macroprudential policy actions on bank performance in advanced economy 31
Table 7: The effect of war and conflict on bank performance 32
Table 8: The effect of loan to value limits on bank performance between GDP growth 34
Table 9: The results of 2SLS 35

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指導教授

王志瑋(Chih-Wei Wang)

審核日期

2023-7-27

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