基於銀行實施新巴塞爾資本協定，新增作業風險、針對信用風險新增基礎及進階內部評等法，及允許採用信用風險減輕技術等，增加銀行對信用風險需計提的資本，而提高對授信企業融資之困難及定價，本研究主要目的為探討新巴塞爾資本協定的實施對於銀行授信行為及定價之影響。 本研究選取銀行企業授信戶的資料來探討影響授信核准及因素，檢定是否因新巴塞爾資本協定的實施而造成授信企業融資困難的假說，且針對授信核准之企業戶，探討授信銀行是否因新巴塞爾資本協定的實施，提高計提的資本並使授信定價提高，轉嫁至授信企業。 實證結果指出授信企業與銀行為關係型之借款時，銀行基於往來關係良好，於授信核准時，會提高授信核准機率及降低授信定價。另外，企業財務或資訊透明度越高、與多家銀行往來能降低銀行的監督成本，使中小企業能獲得較高的授信核准機率及較低的授信定價。最後，當銀行實施新巴塞爾資本協定後，增加中小企業融資之困難及提高授信定價。 本研究之實證結果可作為銀行自實施新巴塞爾資本協定後評估授信之依據，並適時地控管資本適足率，以期符合監理機關之規範及穩健經營之原則，企業與銀行維持良好關係型放款，對於融資不易及授信成本較高的中小企業，可作為尋求優惠授信條件之評估依據。This study aims to investigate the impact of New Basel II Capital Accord on the bank decision of corporate loans and its loan pricing. The New Basel II Accord enacted in 2006 has set up a new and revised capital requirements for banks. Under the New Basel II Accord, banks have to adjust their capital requirements again credit risk, and this consequently change their lending policies and behaviors. By employing 2004 and 2007 lending data of corporate customers extracted from lending database of some banks located at Taoyuan County, we use ordered probit model to empirically estimate the impact of New Basel II Capital Accord on the determination of corporate lending. Moreover, the sample selection model is employed to estimate the effect of New Basel II Capital Accord on the loan pricing if the corporate loans have been approved. With the financial attributes of enterprises have been taken into consideration, our empirical results from the ordered probit model estimation show that enactment of New Basel II Capital Accord decreases the probability of full approval and increase the probability of denying loans. Given the corporate loans have been approved, the estimation results of sample selection model indicates that the loan rates rise after the enactment of New Basel II Capital Accord.
