融資流動性風險與銀行風險承擔及經營績效

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姓名

王品涵(Pin-Han Wang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

融資流動性風險與銀行風險承擔及經營績效
(Funding liquidity risk, bank risk taking and performance)

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摘要(中)

2007-2008年全球金融危機，反映銀行過度仰賴短期批發性資金以擴大資產規模，而陷入財務危機，彰顯銀行未能審慎管理融資流動性風險。2010年巴賽爾銀行監理委員會(BCBS)訂定兩個流動性風險管理指標—流動性覆蓋比率(LCR)以及淨穩定資金比率(NSFR)，以強化銀行因應流動性風險的能力。本研究主要利用Basel III架構下的NSFR，作為融資流動性風險的代理變數，探討中國商業銀行在2007年第一季至2015年第四季間，融資流動性風險對於銀行風險承擔、以及經營績效的影響。此外，進一步探討融資流動性風險與銀行風險以及績效之關係，是否因中國銀行體系分類，或是金融危機期間而有差異。本研究實證結果發現，NSFR與銀行的風險承擔沒有顯著關係，而NSFR愈高，風險調整後績效表現愈好，亦即銀行資金來源穩定性愈高，融資流動性風險愈低，有利於提升銀行的經營績效，且不會因不同銀行組織，以及不論是否處於金融危機期間而有差異。此外，本研究發現Schnytzer and Westreich (2013) 提出的Q風險指標，相較於股價報酬標準差，更能捕捉銀行整體經營風險。

摘要(英)

The 2007-2008 global financial crisis revealed weakness in the funding liquidity management in financial institutions. In 2010, the Basel Committee on Banking Supervision (BCBS) introduced the net stable funding ratio (NSFR) to promote sustainable funding structures in the new Basel III. This study consider NSFR as the proxy for funding liquidity risk, and the objective of this study is to investigate the impact of funding liquidity risk on bank risk taking and performance. Furthermore, we analyze the interaction effect of NSFR with China’s banking organizations and NSFR with the crisis period on banks’ risk and performance. Using quarterly data for China’s commercial banks from 2007 to 2015, our results show that NSFR is not significantly related to risk measures. However, banks having lower funding liquidity risk as proxied by higher NSFR, exhibit higher risk-adjusted performance. And the relationship between NSFR and performance does not vary with different china’s banking organizations and during the financial crisis period. Moreover, we find that Q index introduced by Schnytzer and Westreich (2013), compared to the standard deviation of bank stock returns, better captures banks’ overall risk.

關鍵字(中)

★ 融資流動性風險
★ 新巴賽爾資本協定
★ 淨穩定資金比率

關鍵字(英)

論文目次

中文摘要 I
英文摘要 II
目錄 III
圖表目錄 IV
一、緒論 1
二、文獻回顧 4
三、研究方法 6
3.1 資料來源 6
3.2 融資流動性風險變數 6
3.3 銀行風險承擔變數 7
3.4 銀行績效表現變數 8
3.5 控制變數 8
3.6 實證模型 9
四、實證結果 10
4.1 敘述統計量與相關係數 10
4.2 融資流動性風險與銀行風險承擔 10
4.3 融資流動性風險與銀行績效表現 13
五、結論 15
參考文獻 29
附錄 31

參考文獻

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Acharya, V., Thakor, A. V., “The dark side of liquidity creation: Leverage and systemic risk”, Journal of Financial Intermediation, Vol 28, pp. 4-21, 2016.
Ashraf, D., Rizwan, M.S., L’Huillier, B., “A net stable funding ratio for Islamic banks and its impact on financial stability: an international investigation”, Journal of Financial Stability, Vol 25, pp. 47-57, August 2016.
Aumann, R.J., Serrano, R., “An economic index of riskiness”, Journal of Political Economy, Vol 116, pp. 810-836, October 2008.
Basel Committee on Banking Supervision (BCBS), “Principles for sound liquidity risk management and supervision”, Bank for International Settlements, Basel, 2008.
Chalermchatvichien, P., Jumreornvong, S., Jiraporn, P., “Basel III, capital stability, risk-taking, ownership: evidence from Asia”, Journal of Multinational Financial Management, Vol 28, pp. 28-46, December 2014.
Cornett, M.M., McNutt, J.J., Strahan, P.E., Tehranian, H., “Liquidity risk management and credit supply in the financial crisis”, Journal of Financial Economics, Vol 101, pp. 297-312, August 2011.
Demirgüç-Kunt, A., Huizinga, H., “Bank activity and funding strategies: the impact on risk and returns”, Journal of Financial Economics, Vol 98, pp. 626-650, December 2010.
Dietrich, A., Hess, K., Wanzenried, G., “The good and bad news about the new liquidity rules of Basel III in Western European countries”, Journal of Banking and Finance, Vol 44, pp. 13-25, July 2014.
Drehmann, M., Nikolaou, K., “Funding liquidity risk: definition and measurement”, Journal of Banking and Finance, Vol 37, pp. 2173-2182, July 2013.
Hong, H., Huang, J.Z., Wu, D., “The information content of Basel III liquidity risk measures”, Journal of Financial Stability, Vol 15, pp. 91-111, December 2014.
Ivashina, V., Scharfstein, D., “Bank lending during the financial crisis of 2008”, Journal of Financial Economics, Vol 97, pp. 319-338, September 2010.
Khan, M.S., Scheule, H., Wu, E., “Funding liquidity and bank risk taking”, Journal of Banking and Finance, forthcoming.
King, M.R., “The Basel III net stable funding ratio and bank net interest margins”, Journal of Banking and Finance, Vol 37, pp. 4144-4156, November 2013.
Raddatz, C.E., “When the rivers run dry: liquidity and the use of wholesale funds in the transmission of the U.S. subprime crisis”, World Bank Policy Research Working Paper, No 5203, February 2010.
Schnytzer, A., Westreich, S., “A global index of riskiness”, Economics Letters, Vol 118, pp. 493-496, March 2013.
Vazquez, F., Federico, P., “Bank funding structures and risk: evidence from the global financial crisis”, Journal of Banking and Finance, Vol 61, pp. 1-14, December 2015.

指導教授

黃瑞卿(Jui-Ching Huang)

審核日期

2017-6-28

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