世界不確定性指數對台灣銀行績效的影響

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：11

、訪客IP：3.145.84.47

姓名

蔡欣穎(CHUA SIN YIN) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

世界不確定性指數對台灣銀行績效的影響
(The impact of World Uncertainty Index on performance of banks in Taiwan.)

相關論文

★ 越南台商融資模式之研究	★ 官股企業的ESG績效
★ 新冠肺炎對財富管理資產配置之影響	★ 勞工失業保險與公司創新
★ 台灣加權指數與證券商市占率關聯性之研究	★ 瓶裝飲料對食品業經營績效之探討
★ 房貸逾放風險的影響因子探討-以F銀行為例	★ 參與都市更新對建設業績效之探討
★ ETF運用於存股策略之探討	★ 波羅的海綜合指數對台灣房價之影響
★ 傳統銀行面對純網銀之競爭策略分析- 以第一商業銀行為例	★ 情緒指標與費城半導體指數之研究
★ 銀行併購案-以C銀行及D銀行為例	★ 恐怖活動對避稅行為的影響
★ 台股動能投資策略：以 0050成分股為例	★ ESG對現金持有及現金價值的影響 —以台灣上市上櫃公司為例

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本研究使用普通最小平方檢查台灣的世界不確定性指數（WUI）是否會影響銀行績效，如：資本適足、資產品質、管理績效、獲利能力、流動性以及市場風險敏感性。本研究使用的樣本是2008年至2022年的台灣的銀行資料，資料來源為中華民國央行網站和金管會網站。本研究的實證結果表明，台灣的世界不確定性指數確實會不同程度上影響銀行的各項績效。台灣的WUI對銀行的獲利績效有正向的影響。其次，世界不確定性指數也會正向影響銀行的資本適足率。資產品質方面，世界不確定性指數對銀行的不良貸款率產生了負面的影響。流動性方面，只有銀行的定期貸款率會受到世界不確定性指數的正向影響。衡量銀行的市場風險敏感度的指標中只有利率敏感度缺口率會受世界不確定性指數的正向影響。最後，世界不確定性指數對銀行的管理績效沒有任何影響。本研究的貢獻是幫助台灣分析不確定性對銀行帶來的影響以及幫助完善銀行績效方面的研究。

摘要(英)

This study uses the ordinary least squares to examines whether Taiwan′s World Uncertainty Index (WUI) affects bank performance, such as: capital adequacy, asset quality, management, earnings, liquidity, and market risk sensitivity. This study uses Taiwan′s bank data from 2008 to 2022 as a sample, The data comes from the website of the Central Bank of the Republic of China (Taiwan) and the website of the Financial Supervisory Commission. The empirical results show that Taiwan′s WUI does affect the performance of banks to varying degrees. Taiwan′s WUI has a positive impact on banks′ capital adequacy ratio and earnings. In terms of asset quality, WUI has a negative impact on the non-performing loan ratio of banks. In terms of liquidity, only the bank′s time-deposit interest rate will be affected by WUI′s positive bank. Among the indicators measuring the bank′s market risk sensitivity, only the interest rate sensitivity gap rate will be positively affected by WUI. Finally, WUI does not have any effect on the bank′s management performance. The contribution of this study is help to analyze the impact of uncertainty on banks of Taiwan and help improve the research on bank performance.

關鍵字(中)

★ 世界不確定性指數
★ 銀行績效
★ 資本適足
★ 獲利能力

關鍵字(英)

論文目次

Contents
摘要 i
ABSTRACT ii
Contents iii
List of Figure iv
List of Tables v
1. Introduction 1
2. Literature review 6
2.1 World uncertainty index (WUI) 6
2.2 The determinants of bank performance 7
2.3 Hypothesis development 10
3. Data and regression models 14
3.1. Data 14
3.2 Variable measurement 14
3.2.1 Main explanatory variable 14
3.2.2 Dependent variables 15
3.2.3 Control variables 20
3.3 Regression model 22
4. Empirical results 27
4.1 Summary statistics 27
4.2 Regression analyses 27
4.3 Robustness checks 32
5. Conclusion 35
Appendix 1 Variable definitions 37
References 38

參考文獻

References
References in English
Ab-Rahim, R., Kadri, N., Ee-Ling, A.-C., and Dee, A. A. (2018). CAMEL analysis on performance of ASEAN public listed banks. International Business Research 11, 96–105.
Acharya, V. V., Shin, H. S., and Yorulmazer, T. (2011). Crisis resolution and bank liquidity. Review of Financial Studies 24, 2166–2205.
Ahir, H., Bloom, N., and Furceri, D. (2022). The world uncertainty index. National Bureau of Economic Research, w29763.
Albertazzi, U., and Gambacorta, L. (2009). Bank profitability and the business cycle. Journal of Financial Stability 5, 393–409.
Baker, S. R., Bloom, N., and Davis, S. J. (2016). Measuring economic policy uncertainty. Quarterly Journal of Economics 131, 1593–1636.
Berger, A. N., and Bouwman, C. H. (2009). Bank liquidity creation. Review of Financial Studies 22, 3779–3837.
Berger, A. N., Guedhami, O., Kim, H. H., and Li, X. (2022). Economic policy uncertainty and bank liquidity hoarding. Journal of Financial Intermediation 49, 100893.
Blum, J. (1999). Do capital adequacy requirements reduce risks in banking? Journal of Banking and Finance 23, 755–771.
Blum, J., and Hellwig, M. (1995). The macroeconomic implications of capital adequacy requirements for banks. European Economic Review 39, 739–749.
Borio, C., Gambacorta, L., and Hofmann, B. (2017). The influence of monetary policy on bank profitability. International Finance 1, 48–63.
Chen, Y.-K., Shen, C.-H., Kao, L., and Yeh, C.-Y. (2018). Bank liquidity risk and performance. Review of Pacific Basin Financial Markets and Policies 21, 1850007.
Dang, V. D., and Nguyen, H. C. (2022). Bank profitability under uncertainty. Quarterly Review of Economics and Finance 83, 119–134.
Danisman, G. O., Demir, E., and Ozili, P. (2021). Loan loss provisioning of US banks: Economic policy uncertainty and discretionary behavior. International Review of Economics and Finance 71, 923–935.
Demir, E., and Danisman, G. O. (2021). The impact of economic uncertainty and geopolitical risks on bank credit. North American Journal of Economics and Finance 57, 101444.
Demirgüç-Kunt, A., and Huizinga, H. (2000). Financial structure and bank profitability. SSRN 632501.
Duan, J.-C., Moreau, A. F., and Sealey, C. (1995). Deposit insurance and bank interest rate risk: Pricing and regulatory implications. Journal of Banking and Finance 19, 1091–1108.
Duong, H. N., Nguyen, J. H., Nguyen, M., and Rhee, S. G. (2020). Navigating through economic policy uncertainty: The role of corporate cash holdings. Journal of Corporate Finance 62, 101607.
Entrop, O., Wilkens, M., and Zeisler, A. (2009). Quantifying the interest rate risk of banks: assumptions do matter. European Financial Management 15, 1001–1018.
Furlong, F. T., and Keeley, M. C. (1989). Capital regulation and bank risk-taking: A note. Journal of Banking and Finance 13, 883–891.
Gozgor, G., Demir, E., Belas, J., and Yesilyurt, S. (2019). Does economic uncertainty affect domestic credits? An empirical investigation. Journal of International Financial Markets, Institutions and Money 63, 101147.
Ho, P.-H., Huang, C.-W., Lin, C.-Y., & Yen, J.-F. (2016). CEO overconfidence and financial crisis: Evidence from bank lending and leverage. Journal of Financial Economics 120, 194-209.
Hu, S., and Gong, D. (2019). Economic policy uncertainty, prudential regulation and bank lending. Finance Research Letters 29, 373–378.
Huang, Y.-T., and Yu, J. (2012). Financial determinants of bank performance in Taiwan. Journal of Economics and Behavioral Studies 4, 691–702.
Karadima, M., and Louri, H. (2021). Economic policy uncertainty and non-performing loans: The moderating role of bank concentration. Finance Research Letters 38, 101458.
Lang, E., Mager, F., and Hennig, K. (2022). Uncertainty and commercial real estate excess returns in European markets. Journal of Property Research 39, 321–337.
Meeker, L. G., and Gray, L. (1987). A note on non-performing loans as an indicator of asset quality. Journal of Banking and Finance 11, 161–168.
Moyer, S. E. (1990). Capital adequacy ratio regulations and accounting choices in commercial banks. Journal of Accounting and Economics 13, 123–154.
Ozili, P. K., and Arun, T. G. (2022). Does economic policy uncertainty affect bank profitability? International Journal of Managerial Finance, ahead-of-print.
Paolicelli, P., Tregub, I., and Byvshev, V. (2021). Analysis of the impact of CAMELS framework and macroeconomic indicators on the Italian cooperative bank′s financial performance. 4th International Conference Management of large-scale system development (MLSD), 1–5.
Shabir, M., Jiang, P., Hashmi, S. H., and Bakhsh, S. (2022). Non-linear nexus between economic policy uncertainty and bank lending. International Review of Economics and Finance 79, 657–679.
Staikouras, C. K., and Wood, G. E. (2004). The determinants of European bank profitability. International Business and Economics Research Journal (IBER) 13.
Tao, S., and Xu, M. (2019). The Impact of Economic Policy Uncertainty on Bank Credit Scale—An Empirical Study Based on Dynamic Panel System GMM Model. Open Journal of Business and Management 7, 616–632.
Wetmore, J. L., and Brick, J. R. (1994). Commercial bank risk: Market, interest rate, and foreign exchange. Journal of Financial Research 17, 585–596.
Yuksel, S., Dincer, H., and Hacioglu, U. (2015). CAMELS-based determinants for the credit rating of Turkish deposit banks. International Journal of Finance and Banking 4, 1–17.

References in Chinese
彭美玲(2005)本國銀行經營績效實證之研究。商管科技季刊 6, 137–163.
沈中華(2009)全球100大銀行與100小銀行之績效-台灣的銀行與它們的相同相異。第14屆競爭政策與公平交易法學術研討會論文集, 123–192.
沈中華(2002)金控公司的銀行與獨立銀行CAMEL比較: 1997~1998. 台灣金融財務季刊 3, 73–94.
沈中華與林智勇(2009)銀行民營化的績效表現-配對理論的應用。經濟論文 37, 369–405.
李惠妍, 許永明與王綺楓 (2019)資本對銀行績效的影響。經濟論文 47, 1–3

指導教授

何柏欣

審核日期

2023-7-4

推文