商業銀行淨拆款部位對經營風險的影響

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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)

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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

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指導教授

張傳章、陳錦村

審核日期

2012-7-18

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