博碩士論文 994208007 詳細資訊




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:16 、訪客IP:3.236.214.19
姓名 蘇哲毅(Che-yi Su)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 商業銀行淨拆款部位對經營風險的影響
(The effects of net interbank borrowing on commercial bank risk)
相關論文
★ 金融機構不良債權處理機制之研究★ 放款作業流程的滿意度調查研究 —以S銀行為例
★ 最適指數複製法之自動化建置:以ETF50為例★ 台灣公債市場與台幣利率交換交易市場動態關聯性之研究
★ 企業貸款債權證券化--信用增強探討★ 停損點反向操作指標在台灣期貨市場實證
★ 投資型保單評價-富邦金吉利保本投資連結型遞延年金保險乙型(VANB5)★ 工業銀行持股公司多角化策略、董事會特性及經營績效之研究
★ 停損點反向操作指標在台灣債券市場實證★ 匯率風險值衡量之實證研究-以新台幣、日圓、英鎊、歐元匯率為例
★ 探討央行升息國內十年期指標公債未同步上升之原因★ 台灣企業的大陸經營模式、治理機制與盈餘管理之研究
★ 信用風險模型評估—Merton模型之應用★ 資產管理公司購買不動產擔保不良債權評價之研究
★ 外資進入對本國問題銀行之影響★ 銀行如何訂定建築業的授信政策
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]   至系統瀏覽論文 ( 永不開放)
摘要(中) 本文主旨為探討不同風險程度的銀行,其短期同業拆款部位與銀行風險之間的關係。樣本資料為2001年至2010 年美國與歐洲主要18國,共19個國家,1219家商業銀行為研究對象,資料為涵蓋橫斷面與時間序列的panel data,文中以常用之流動性指標衡量銀行風險,另外加入區域、時間等虛擬變數以進行迴歸。
結果顯示流動性指標大小對銀行的風險有顯著正向影響,亦即降低「同業淨拆放比率」及「淨拆款部位對總資產比率」將有助於降低銀行風險。不過,高風險的銀行由於預期流動性風險上升,使得「同業淨拆放比率」及「淨拆款部位對總資產比率」下降後,可能使其信用風險增加,銀行風險程度可能因此提高。
最後本研究進一步探討在金融風暴前後,同業拆款部位是否在銀行風險上扮演不同的角色,結果發現,在金融海嘯以前,無論是銀行備抵呆帳率或是逾放比率等風險指標,增加淨拆款部位對總資產的比率,顯著降低了銀行風險;但是在金融海嘯以後,無論是銀行備抵呆帳率或是逾放比率等風險指標,增加淨拆款部位對總資產的比率顯著地增加了銀行風險。
摘要(英) In this paper we investigate whether banks that borrow from other banks have lower risk levels. We concentrate on the European and U.S banks that allow us to explore the relationship of interbank lending and interbank borrowers. We use comprehensive panel data on international banks including commercial bank over 2001 to 2010. Specifically, we empirically investigate both bank’s financial characteristics, and dummy variable of area and time.
The empirical results generally confirm the hypothesis that long-term interbank exposures result in lower risk of the borrowing banks. It means increasing interbank borrowing result in lower bank risk. Banks decrease interbank borrowing result in higher bank risk because of credit risk of bank increase.
Furthermore, the paper also examines whether the involvement of financial tsunami has any significant effect on the banks’ risk. The empirical results generally confirm interbank borrowing will reduce bank risk under economic boom, but interbank borrowing will increase bank risk under economic recession.
Keywords:, market discipline,
transition countries.
關鍵字(中) ★ 銀行風險
★ 同業拆款部位
★ 金融風暴
★ 流動性移轉
關鍵字(英) ★ Liquidity transformation
★ Financial tsunami
★ Interbank market
★ Bank risk
論文目次 摘要 i
Abstract ii
目錄 iii
表目錄 v
一、緒論 1
1-1 研究動機與目的 1
1-2 研究架構 3
二、文獻回顧 4
2-1 流動性相關文獻回顧 4
2-2 銀行流動性移轉文獻回顧 5
2-3 出事銀行 5
2-4銀行資本結構對於銀行風險的影響 7
三、銀行同業拆放款市場 9
3-1 銀行同業拆放款介紹 9
3-2歐美拆款市場之發展與法規 9
3-3歐洲及美國在金融海嘯以後的因應政策 11
四、研究方法 13
4-1 選樣設計及資料來源 13
4-2模型設計與變數 16
4-3計量分析方法 21
五、實證結果 30
5-1敘述統計結果 30
5-2 迴歸結果與分析 34
5-2-1計量分析結果 34
5-2-2迴歸係數與檢定假說 43
5-2-3金融海嘯前後期銀行財務指標對於銀行風險的影響 46
六、結論與建議 48
參考文獻 50
附錄一:分類銀行共線性檢驗 53
參考文獻 1. Ashcraft, Adam B. (2008) “Does the Market Discipline Banks? New Evidence from the Regulatory Capital Mix.” Journal of Financial Intermediation, 17, 543–61.
2. Ashcraft, Adam B., and Hoyt Bleakley. (2006) “On the Market Discipline of Informationally-Opaque Firms: Evidence from Bank Borrowers in the Federal Funds Market.” Federal Reserve Bank of New York Staff Reports, 257.
3. Bhattacharya, S., and A. V. Thakor. (1993), “Contemporary Banking Theory.”Journal of Financial Intermediation 3:2–50.
4. Berger, Allen N. (1991) “Market Discipline in Banking.” Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago.
5. Berger, Allen N. and Gregory F. Udell, 1994. Did risk-based capital allocate bank credit and cause a ‘credit crunch’ in the United States?, Journal of Money, Credit, and Banking 26, 585-628.
6. Berger, Allen N. and Gregory F. Udell, 2004. The institutional memory hypothesis and the procyclicality of bank lending behavior, Journal of Financial Intermediation 13, 458-495
7. Berger, Allen N., Nathan H. Miller, Mitchell A. Petersen, Raghuran G. Rajan, and Jeremy C. Stein. (2005) “Does Function Follow Organizational Form? Evidence from the Lending Practices of Large and Small Banks.” Journal of Financial Economics, 76, 237–69.
8. Berger, A. N., and C. H. S. Bouwman (2009a), “Bank Liquidity Creation.” Review of Financial Studies, 22 (9), 3779-3837.
9. Bouwman, C. H. S., 2009, “Bank capital, monitoring and bank performance,” Working paper.
10. Coval, J. D., and A. V. Thakor. (2005), “Financial Intermediation as a Beliefs-Bridge between Optimists and Pessimists.” Journal of Financial Economics 75:535–69.
11. Deep, A. and G. Schaefer (2004), “Are Banks Liquidity Transformers? .” Working Paper. , Harvard University.
12. Diamond, D. W., and P. H. Dybvig. 1983. Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy 91:401–19.
13. Diamond, D. W., and R. G. Rajan. 2000. A Theory of Bank Capital. Journal of Finance 55:2431–65.
14. Diamond, D. W., and R. G. Rajan. 2001. Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking. Journal of Political Economy 109:287–327
15. Diamond, D.W. and R. G. Rajan (2001), “Liquidity risk, liquidity creation and financial fragility.”A theory of banking, Journal of Political Economy 109, 287–327.
16. Diamond, D.W. and R. G. Rajan (2005), “Liquidity Shortages and Banking Crises.” The Journal of Finance, 60(2), 615-647.
17. Furfine, Craig H. (2001) “Banks as Monitors of Other Banks: Evidence from the Overnight Federal Funds Market.” Journal of Business, 74, 33–57.
18. Furfine, C., 2002. The interbank market during a crisis. European Economic Review 46, 809–820.
19. Galmes, Sofia, and Maria C. Manzano. (1995) “El Mercado Interbancario de Depositos y las Entidades de Credito.” Bolet´ın Economico del Banco de Espana, Febrero.
20. Gonzales-Hermosillo, Brenda, Ceyla Pasarbasioglu, and Robert Billings. (1996) “Banking System Fragility: Likelihood versus Timing of Failure: An Application to the Mexican Financial Crisis.” IMF Working Paper 96/142.
21. King, Thomas B. (2008) “Discipline and Liquidity in the Market for Federal Funds.” Journal of Money, Credit and Banking, 40, 295–317.
22. Von Thadden, E.L. (2004), “Bank Capital Adequacy Regulation under the New Basel Accord.” Journal of Financial Intermediation 13:90–95.
指導教授 張傳章、陳錦村 審核日期 2012-7-18
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   
網路書籤 Google bookmarks   del.icio.us   hemidemi   myshare   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡  - 隱私權政策聲明