銀行利率敏感性分析－GARCH-M模型之應用; Interest Rate Sensitivity Analysis On Bank-A GARCH-M Model

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Title:	銀行利率敏感性分析－GARCH-M模型之應用;Interest Rate Sensitivity Analysis On Bank-A GARCH-M Model
Authors:	林笨守;Ben-Shou Lin
Contributors:	產業經濟研究所
Keywords:	銀行;利率敏感性;GARCH-M;GARCH-M model;Bank;Interest Rate Sensitivity
Date:	2008-06-20
Issue Date:	2009-09-22 15:13:15 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究將探討長短期利率對銀行獲利的影響，在長期利率（台灣十年期公債利率與美國十年期公債利率）與短期利率（商業本票30、90、180天利率）影響下，上市金控與商業銀行利率敏感性，樣本研究期間開始自2002年8月21日到2008年3月31日止，共計日資料1389筆，資料來源主要為台灣經濟新報(TEJ)。　　考慮規模大小因素，將金融體系分成全體銀行、金控、商業銀行三個投資組合，採市值加權平均。銀行報酬率資料存在異質變異，採用GARCH-M模型描述條件變異數，以Stone(1974)二因子模型進行實證研究。　　初步研究發現，長期利率對金融機構為負相關，短期利率為正相關，加入政策效果後，發現不同投資組合下，考慮外在環境後，銀行有採取相關措施避險，使其利率風險下降。 This study will explore the impact that the short and long-term interest rates risk changes on bank earnings. Under the influences of long-term interest rates (the 10-year bond interest rates in Taiwan and the U.S. 10-year bond interest rates) and short-term interest rates (30,90,180-day commercial paper interest rate),exploring SKFH listed commercial bank interest rates sensitivity. The sample period spans from August 21, 2002 to March 31, 2008. We use 1389 daily datas from Taiwan Economy Journal (TEJ) database. Consider the size of factors、the financial system will be divided into the Bank、Taishin、the three commercial banks investment portfolio、the weighted average market value of mining. Bank of return on existing heterogeneous information variation、using GARCH-M model described conditions variance、Stone (1974) two-factor model of empirical research. Preliminary study found that long-term interest rates on financial institutions to negative correlation is related to short-term interest rates. Adding the policy effect and found that under different investment portfolio, banks will consider the external environment and have taken measures related to hedge their interest rate risk decreased.
Appears in Collections:	[Graduate Institute of Industrial Economics] Electronic Thesis & Dissertation

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