商業銀行淨拆款部位對經營風險的影響;The effects of net interbank borrowing on commercial bank risk

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/54832

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/54832

Title:	商業銀行淨拆款部位對經營風險的影響;The effects of net interbank borrowing on commercial bank risk
Authors:	蘇哲毅;Su,Che-yi
Contributors:	財務金融研究所
Keywords:	銀行風險;同業拆款部位;金融風暴;流動性移轉;Liquidity transformation;Financial tsunami;Interbank market;Bank risk
Date:	2012-07-18
Issue Date:	2012-09-11 19:07:53 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文主旨為探討不同風險程度的銀行，其短期同業拆款部位與銀行風險之間的關係。樣本資料為2001年至2010 年美國與歐洲主要18國，共19個國家，1219家商業銀行為研究對象，資料為涵蓋橫斷面與時間序列的panel data，文中以常用之流動性指標衡量銀行風險，另外加入區域、時間等虛擬變數以進行迴歸。結果顯示流動性指標大小對銀行的風險有顯著正向影響，亦即降低「同業淨拆放比率」及「淨拆款部位對總資產比率」將有助於降低銀行風險。不過，高風險的銀行由於預期流動性風險上升，使得「同業淨拆放比率」及「淨拆款部位對總資產比率」下降後，可能使其信用風險增加，銀行風險程度可能因此提高。最後本研究進一步探討在金融風暴前後，同業拆款部位是否在銀行風險上扮演不同的角色，結果發現，在金融海嘯以前，無論是銀行備抵呆帳率或是逾放比率等風險指標，增加淨拆款部位對總資產的比率，顯著降低了銀行風險；但是在金融海嘯以後，無論是銀行備抵呆帳率或是逾放比率等風險指標，增加淨拆款部位對總資產的比率顯著地增加了銀行風險。In this paper we investigate whether banks that borrow from other banks have lower risk levels. We concentrate on the European and U.S banks that allow us to explore the relationship of interbank lending and interbank borrowers. We use comprehensive panel data on international banks including commercial bank over 2001 to 2010. Specifically, we empirically investigate both bank’s financial characteristics, and dummy variable of area and time. The empirical results generally confirm the hypothesis that long-term interbank exposures result in lower risk of the borrowing banks. It means increasing interbank borrowing result in lower bank risk. Banks decrease interbank borrowing result in higher bank risk because of credit risk of bank increase.Furthermore, the paper also examines whether the involvement of financial tsunami has any significant effect on the banks’ risk. The empirical results generally confirm interbank borrowing will reduce bank risk under economic boom, but interbank borrowing will increase bank risk under economic recession.Keywords:, market discipline,transition countries.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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