| 摘要(英) |
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.
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| 參考文獻 |
參考文獻
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