| 摘要: | 本論文包含四篇關於商業銀行面對不同的經營環境下，可能受到的影響並分析其可能的對策。第一篇文章為「商業銀行在金融變革中其授信績效與銀行規模關係」，第二篇文章為「消費金融債務的協商機制」對金融機構股價表現之衝擊，第三篇文章為「利率水準對商業銀行風險承受之研究以中國為實證對象」，第四篇文章為「利率水準對商業銀行風險承受之研究以海峽兩岸實證為例」，最後，我們在最後一章說明論文的結論。一、商業銀行在金融變革中其授信績效與銀行規模關係為瞭解本國銀行的小型企業放款有否較佳之經營績效，本研究擬以Carter-McNulty（2005）、Berger et al.(2005)提出的迴歸模型，檢測銀行規模、對企業的小型放款、法規和技術衍生的金融環境改變，如何影響本國銀行「企業放款」的淨利率，並以時間（變數符號TIME）作為金融環境改變之代理變數。在企業放款淨利率的影響因素方面，本文除了採用Carter-McNulty(2005)所建立的模型外，亦配合台灣特殊的銀行環境，將某些「特質」因素(俗稱控制變數) 加入，以建立符合理論與實務的數學模型。結論如下:第一,當銀行放款規模越大時，企業放款淨利率即越低，不論大、小銀行皆然。當樣本銀行排除公營銀行時，結果也是大同小異，表示公營銀行與民營銀行對放款業務的經營頗為相似，受政府政策的影響不大。第二，新設銀行虛擬變數的結果顯示長期看來，1991年新設立的民營銀行放款績效平均而言已有改善。第三，小型企業放款擁有較高的放款淨利率，不管是大、小銀行都是這樣，但隨著時間演進而改變，相較於早期的企業放款市場，現在的銀行若增加小型企業放款比例，其企業放款淨利率的增幅並不會比以前多，意謂著早期的企業放款淨利率比現在高。最後，與之前文獻不一樣的是，本研究並未發現國內銀行業有「小銀行優勢」的現象，規模與企業放款淨利率存在顯著的正向關係；國內銀行的規模越大，則企業放款淨利率反而越高，表示over-banking的現象仍然存在，金融機構規模太小的問題還沒有完全解決；大銀行隨著時間演進已慢慢改善其放款績效，企業放款淨利率有慢慢增加的趨勢。二、「消費金融債務的協商機制」對金融機構股價表現之衝擊旨在探討94年10月台灣爆發卡債問題後，政府推動的「消費金融案件債務協商機制」是否對金融機構的股價表現效產生衝擊。根據實證結果得知，金融控股公司和銀行受到的衝擊遠大於證券和保險公司；信用卡發卡量最高的金融機構受到的衝擊，則顯著高於發卡量中等和最低者；現金卡放款餘額高的金融機構承受的衝擊，也高於此類業務授信量中等和最低者；當配對比較不同類別的金融機構，發現此協商機制的推動，導致彼此的競爭態勢迥異，「債務協商機制」明顯造成金融機構不同程度的衝擊。至於衝擊程度不一的原因，則與債務協商發生時，金融機構是否出現下列情況有關：信用卡餘額之市占率很高，最近三個月打消許多呆帳，卻又提存很少損失準備，分行家數不多，以及持卡人的額度動用率呈現頗高成長的銀行。這些類型的銀行在協商時期的累積異常報酬均為負值，顯示其對協商事件的暴險程度較高。政府機關宜從這次的債務協商機制學得政策監理的經驗，寧可預先制定防範於未然的警示指標提醒業者遵循，而非等到危機事件發生，才想透過銀行公會溝通和制訂相關的配套措施；因為此不僅無法協助金融機構規避經營危機，還連帶影響整個經濟體系的衰退。三、利率水準對商業銀行風險承受之研究--以海峽兩岸實證為例本篇文章主要研究兩岸，中國大陸與台灣，不論在地理上、歷史上及未來展望中都有密不可分關係，海峽兩岸的銀行業面對如此嚴峻的利率水準變化是否也存在著風險承擔增加的現象。除此之外，銀行規模在銀行經營策略占有舉足輕重的地位，特別是兩岸的銀行規模迥異，對台灣西進的銀行而言，可能無法完全移植台灣經驗前往中國，而需參酌當地各項環境因地制宜，而對於中國的銀行而言，面臨利率市場化等市場環境改變，不同規模的銀行，經營模式是否也在逐步調整因應，也是值得探討的議題。實證結果發現： 1.大陸的銀行其風險性資產的持有規模變化對於利率水準改變並不顯著。台灣的銀行在利率愈低的環境下，會傾向增加持有風險性資產。2.兩岸的銀行利率水準改變下，大小型銀行對於是否增持風險性資產的策略是相反的，大銀行傾向在低利率水準下增加持有風險性資產，小型銀行則反之。3.不論在大陸或台灣，利率水準對於銀行的不良債權比率呈正向關係。兩岸由於監理制度及金融自由化的程度不同，其經營策略的確實會有所差異。整體而言，在愈自由愈競爭的金融環境下，低利率水準確實會造成銀行業的經營壓力，而促使銀行採取更積極的涉險操作，但另一方面也有效改善企業或被貸放者的短期現金流量，進而降低銀行不良債權的產生。隨利率走升，不良債權比率升高，銀行業未能及時收縮資產負債表，則可能要面臨的是更巨大的挑戰及風險。 AbstractThis dissertation consists of three essays on the study of commercial banks and its business environment. The first essay is “Influence of Financial Reform on Business-Lending Performance of Large and Small Commercial Banks.” The second essay is “The examination of the impact of Consumer Debt Negotiation Mechanism on the Financial Institutions in Taiwan.” The third essay is “Interest Rates and Bank Risk-Taking – The case in China.” ”The fourth essay is “Interest Rates and Bank Risk-Taking –an Empirical Research across the Straits.” Last, we present the conclusion in the following sections.Essay 1:Influence of Financial Reform on Business-Lending Performance of Large and Small Commercial Banks To analyze the performance of small business lending, this study uses the regression model of Carter and McNulty (2005) to test the relationships among loan spread, bank size, and financial reform. This article establishes a theoretical and practical mathematical model for unique banking environment in Taiwan. The conclusion and policy implications are as follows. First, bank spread reduces with increasing loan scale. Excluding government-owned banks gets similar results, and indicates similar behavior in government-owned and privatized banks. Second, the loan performance of new privatized banks improved in the long term. Third, if current banks increase their proportion of small business lending, the increase in loan spread remains unchanged, meaning the loan spread is previously higher than it currently is. Additionally, different from the literature of Carter and McNulty (2005), this study fails to find any small bank advantage, but did identify a significant positive relationship between size and loan spread; moreover, the loan spread increased with bank size, indicating that over-banking still exists and the problem of excessively small size of financial institutions remains incompletely resolved, with large banks having gradually improves their business-lending performance over time, slowly increasing the spread of business lending.Essay 2:The examination of the impact of Consumer Debt Negotiation Mechanism on the Financial Institutions in TaiwanThe purpose of this research is to discuss whether or not the government promotion of the “Consumer Debt Negotiation Mechanism” would impact financial institutions’ stock price after the explosion of the Taiwan card-debt problems on October of 2005. According to empirical results, financial holding companies and banks were impacted far more than securities and insurance companies. Financial institutions that issued the highest volume of credit cards were impacted significantly more than those that issued moderate and the lowest volume of credit cards. Financial institutions that gave more cash card loans were impacted more than those that gave moderate and the least cash card loans. When compared to different kinds of financial institutions, the promotion of this negotiation mechanism was discovered to cause vastly different mutual competition attitudes. Obviously, the Debt Negotiation Mechanism caused different degrees of impact on financial institutions.The different degrees of impact were due to whether or not the following situations would occur to the financial institution when debt negotiation happened: 1. The market share percentage of the credit card balance was very high. 2. In the past three months, many bad debts were written off, but very little loss preparation was deposited. 3. Not enough number of branches. 4. Banks with overly high growth of the amount draw-down rate of the cardholders. As for these kinds of banks, their cumulative abnormal returns showed negative values during the negotiation period. This revealed that they had a higher degree of risks in negotiation events. Government institutions should learn a policy surveillance experience from this debt negotiation mechanism. They would rather have preventive measures against the unforeseen and establish warning signs to remind the financial institutions to follow. This would be better than formulating a relevant and complete set of measures through the banking union after the crisis happened. Because this set of measures would not assist the financial institution in avoiding management risks, and it would negatively contribute to the whole economy’s depression. Essay 3:Interest Rates and Bank Risk-Taking—The Case in ChinaA recent line of research views the low interest-rate environment as an element that triggered increased risk-taking appetite of banks in search for yield. However, they are difficult to apply to countries with monetary systems that differ significantly from those of the US and Europe, like China. Therefore, these papers use annual observations on China banks over the period 1996-2010 and presents strong empirical evidence that China is an important counterexample to the findings in the interest rate and bank-risk taking literature. Besides, publicly held banks are inclined to increase the risk assets giving a lower interest rate, and private owned banks will take the opposite action. Finally, changes in the ownership of Chinese banks have little or no effect on the bank’s risk choices when interest rate difference.Essay 4:Interest Rates and Bank Risk-Taking—an Empirical Research across the StraitsThe differences in supervision systems and the varying degrees of financial liberalization between China and Taiwan, their operational strategies may indeed differ somehow. In a financial environment where larger freedom means more intense competition, a low interest rate will pose a big operation pressure on banking, and accordingly banks are forced to take risky operations more positively, yet on the other hand, if the commercial banks have guarantee of interest margin profit between lending and deposit, like 3% in China, the interest rate risk issue would be minor relative to other risk. This paper taking the commercial banks in China and Taiwan, and aims at discussing if a lower interest rate results in banks’ involvement in higher risky activities for profit pursuit. We found that, the risky asset held by banks in China do not take any significant influence on the level of interest rate. Banks in Taiwan are more inclined to have higher risk assets in a lower interest environment. Under the difference level in interest rate, large and small banks across the strait will adopt opposite strategies in risky assets, that is large banks have a higher risk-taking in a lower interest rate, while small banks take the opposite actions. Finally, regardless of China or Taiwan, the interest rate is positively correlated to the banks’ non-performing loan ratio. |
