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題名 流動性風險監管政策對臺灣銀行業經營績效之影響
Effects of Liquidity Regulations on Profitability of Banks in Taiwan作者 柯舜寶
Ko, Shun-Pao貢獻者 王信實
Wang, Shinn-Shyr
柯舜寶
Ko, Shun-Pao關鍵詞 巴塞爾資本協定三
金融監管
流動性覆蓋比率
追蹤資料
內生性
Basel Ⅲ
Financial regulations
Liquidity coverage ratio
Panel data
Endogeneity日期 2020 上傳時間 2-Sep-2020 12:53:05 (UTC+8) 摘要 巴塞爾資本協定三除規範銀行資本適足之要求，也對流動性風險管理提出量化指標，本研究旨在探討流動性風險監管政策對銀行經營績效之影響，以臺灣35家銀行為研究對象，研究期間為2015年第1季至2019年第4季，同時納入有關影響銀行經營績效之變數，如資本適足、資產品質及營業特性，構成追蹤資料進行分析。考慮實證模型存在內生性問題，挑選具攸關性與外生性之工具變數，以兩階段最小平方法進行迴歸分析，研究結果發現，提高流動性覆蓋比率將對銀行之經營績效產生顯著的負向影響，資本適足率與逾期放款率的增加亦將產生反向效果，而隨著銀行經營模式的轉變，如以非利息收入業務為主的多角化經營，則顯示對績效有顯著正相關。銀行在遵循流動性風險監管政策的同時，除了須注意其對流動性風險之管理，也須權衡提高流動性覆蓋比率對經營績效的侵蝕，不致保留過多的流動性資產而影響業務推展。
In addition to the requirements of the capital adequacy of banks, Basel Ⅲ emphasizes liquidity regulations and sets up quantitative indicators for liquidity risk. This study aims to explore the effect of liquidity regulations on profitability of banks, using 35 banks in Taiwan as samples. It takes variables that affect the bank`s performance, such as capital adequacy, asset quality and bank characteristics, collecting quarterly data from 2015 to 2019 for the panel data analysis. Considering that the empirical model has endogenous problems, this study selects instrumental variables, and perform regression analysis using the two-stage least squares method. The empirical results show that increasing the liquidity coverage ratio will have a significantly negative impact on the bank`s performance. Moreover, the increase in the capital adequacy ratio and the non-performing loan ratio will induce a reverse effect. With banks changing its profitability orientation, focusing on non-interest income, this study also finds that diversification has a significant positive correlation with banks performance. While complying with liquidity regulations, banks should not only pay attention to their supervision of liquidity risk, but also weigh on the erosion of profitability by increasing the liquidity coverage ratio to prevent the retention of excessive liquidity assets suppressing financial development.參考文獻 中文部分1.吳佳霖（2016）。流動性覆蓋及淨穩定資金創新指標對銀行CAMEL指標影響之研究。國立臺北大學企業管理研究所，未出版碩士論文。2.呂青樺、沈中華（2006）。影響大陸地區銀行獲利能力與風險的因素。中國大陸研究，49卷3期，119-142。3.李惠妍、許永明、王綺楓（2019）。資本對銀行績效的影響。經濟論文，47卷1 期，1-30。4.馬泰成（2005）。產業結構與利潤：臺灣銀行市場的實證研究。公平交易季刊，13卷3期，61-92。5.曾昭玲、陳世能、林俊宏（2005）。逾放比對銀行經營績效影響之多期性研究。臺灣金融財務季刊，6卷4期，41-68。6.楊馥如、顧廣平、姚鍾文（2005）。公營事業民營化後之長期績效評估。會計與公司治理，2卷2期，47-78。7.劉秀玲、鄭鴻章（2010）。金控公司架構與非利息收入業務對台灣銀行業經營效益與風險之影響。臺灣金融財務季刊，11卷3期，1-31。8.鄭政秉、梁連文、陳仁屏（2015）。模擬Basel Ⅲ新資本監管對台灣銀行業成本效率之影響。管理與系統，22卷2期，175-203。英文部分1.Agusman, A., Monroe, G.S., Gasbarro, D. and Zumwalt, J.K. (2008) Accounting and capital market measures of risk: evidence from Asian banks during 1998–2003. Journal of Banking and Finance, 32(4), 480–488.2.Apergis, N. (2014). The Long-Term Role of Non-Traditional Banking in Profitability and Risk Profiles: Evidence from a Panel of US Banking Institutions. Journal of International Money and Finance, 45, 61–73.3.Athanasoglou, P.P., S. N. Brissimis and M.D. Delis (2008). Bank-specific, industry-specificand macroeconomic determinants of bank profitability. Journal of International Financial Markets, Institutions and Money, 18, 121–136.4.Baltagi, B. (1995). Econometric Analysis of Panel Data, New York: Wiley.5.Banerjee, R.N. and H. Mio (2018). The impact of liquidity regulation on banks. Journal of Financial intermediation, 35, 30-44.6.Basel Committee on Banking Supervision (2010). BASEL III: International framework for liquidity risk measurement, standards and monitoring.7.Basel Committee on Banking Supervision (2013). BASEL III: The Liquidity Coverage Ratio and liquidity risk monitoring tools. Switzerland, Bank for International Settlements Communications.8.Basel Committee on Banking Supervision (2014). BASEL III: the net stable funding ratio. Switzerland, Bank for International Settlements Communications.9.Berger (1995). The profit–structure relationship in banking: tests of market-power and efficient-structure hypotheses. Journal of Money, Credit, and Banking, 27, 404–431.10.Bitar M., K. Pukthuanthong and T. Walker (2018). The effect of capital ratios on the risk, efficiency and profitability of banks: evidence from OECD countries. Journal of International Financial Markets, Institutions and Money, 53, 227-262.11.Bruno, B., E. Onali and K. Schaeck (2018). Market reaction to bank liquidity regulation. Journal of Financial and Quantitative Analysis, 53 (2), 899-935.12.Chen Y. K., F. S. Chien and Y. Li (2016). The Impact of Capital Requirement on Bank Operating Efficiency: An Application of the Bootstrapped Truncated Regression Model. Journal of Financial Studies, 24(4), 19-46.13.Davidson, R. and J. G. MacKinnon. (1993). Estimation and Inference in Econometrics, Cambridge: Oxford University Press.14.Demirgüç-Kunt A., E. Detragiache and O. Merrouche (2013). Bank capital: lessons from the financial crisis. Journal of Money, Credit and Banking, 45 (6), 1147-1164.15.Dietrich, A., K. Hess and G. Wanzenried (2014). The good and bad news about the new liquidity rules of Basel Ⅲ in Western European countries. Journal of Banking & Finance, 44, 13-25.16.Goddard, J., H. Liu, P. Molyneux and J. Wilson (2013). Do Bank Profits Converge? European Financial Management, 19(2), 345–365.17.Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, Journal of the Econometric Society, 46, 1251-1271.18.Iannotta, G., G. Nocera, and A. Sironi (2007). Ownership Structure, Risk and Performance in the European Banking Industry. Journal of Banking & Finance, 31(7), 2127–2149.19.Khan, M. A., H. Scheule and E. Wu (2015). Will Basel Ⅲ Liquidity Measures Affect Banks` Funding Costs and Financial Performance? : Evidence from U.S. Commercial Banks. University of Technology Sydney.20.Lee, C. and M. Hsieh (2013). The Impact of Bank Capital on Profitability and Risk in Asian Banking, Journal of International Money and Finance, 32(1), 251–281.21.Lepetit, L., E. Nys, P. Rous and A. Tarazi (2008), Bank Income Structure and Risk: AnEmpirical Analysis of European Banks. Journal of Banking & Finance, 32(8), 1452–1467.22.Meslier, C., R. Tacneng and A. Tarazi (2014). Is bank income diversification beneficial? Evidence from an emerging economy. Journal of International Financial Markets, Institutions and Money, 31, 97-126.23.Micco, A., U. Panizza, M. Yanez (2007). Bank ownership and performance. Does politics matter? Journal of Banking and Finance, 31(1), 219-241.24.Nadia Saghi-Zedek (2016). Product diversification and bank performance: does ownership structure matter? Journal of Banking & Finance, 71, 154-167.25.Shim, J. (2010). Capital-Based Regulation, Portfolio Risk and Capital Determination: Empirical Evidence from the US Property-Liability Insurers,” Journal of Banking & Finance, 34(10), 2450–2461.26.Stock, J. H. and M. Yogo (2005). Testing for Weak Instruments in Linear IV Regression. In: Andrews DWK Identification and Inference for Econometric Models. New York: Cambridge University Press, 80-108. 描述 碩士
國立政治大學
行政管理碩士學程
107921080資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107921080 資料類型 thesis dc.contributor.advisor 王信實 zh_TW dc.contributor.advisor Wang, Shinn-Shyr en_US dc.contributor.author (Authors) 柯舜寶 zh_TW dc.contributor.author (Authors) Ko, Shun-Pao en_US dc.creator (作者) 柯舜寶 zh_TW dc.creator (作者) Ko, Shun-Pao en_US dc.date (日期) 2020 en_US dc.date.accessioned 2-Sep-2020 12:53:05 (UTC+8) - dc.date.available 2-Sep-2020 12:53:05 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2020 12:53:05 (UTC+8) - dc.identifier (Other Identifiers) G0107921080 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131822 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 行政管理碩士學程 zh_TW dc.description (描述) 107921080 zh_TW dc.description.abstract (摘要) 巴塞爾資本協定三除規範銀行資本適足之要求，也對流動性風險管理提出量化指標，本研究旨在探討流動性風險監管政策對銀行經營績效之影響，以臺灣35家銀行為研究對象，研究期間為2015年第1季至2019年第4季，同時納入有關影響銀行經營績效之變數，如資本適足、資產品質及營業特性，構成追蹤資料進行分析。考慮實證模型存在內生性問題，挑選具攸關性與外生性之工具變數，以兩階段最小平方法進行迴歸分析，研究結果發現，提高流動性覆蓋比率將對銀行之經營績效產生顯著的負向影響，資本適足率與逾期放款率的增加亦將產生反向效果，而隨著銀行經營模式的轉變，如以非利息收入業務為主的多角化經營，則顯示對績效有顯著正相關。銀行在遵循流動性風險監管政策的同時，除了須注意其對流動性風險之管理，也須權衡提高流動性覆蓋比率對經營績效的侵蝕，不致保留過多的流動性資產而影響業務推展。 zh_TW dc.description.abstract (摘要) In addition to the requirements of the capital adequacy of banks, Basel Ⅲ emphasizes liquidity regulations and sets up quantitative indicators for liquidity risk. This study aims to explore the effect of liquidity regulations on profitability of banks, using 35 banks in Taiwan as samples. It takes variables that affect the bank`s performance, such as capital adequacy, asset quality and bank characteristics, collecting quarterly data from 2015 to 2019 for the panel data analysis. Considering that the empirical model has endogenous problems, this study selects instrumental variables, and perform regression analysis using the two-stage least squares method. The empirical results show that increasing the liquidity coverage ratio will have a significantly negative impact on the bank`s performance. Moreover, the increase in the capital adequacy ratio and the non-performing loan ratio will induce a reverse effect. With banks changing its profitability orientation, focusing on non-interest income, this study also finds that diversification has a significant positive correlation with banks performance. While complying with liquidity regulations, banks should not only pay attention to their supervision of liquidity risk, but also weigh on the erosion of profitability by increasing the liquidity coverage ratio to prevent the retention of excessive liquidity assets suppressing financial development. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的與問題 2第三節 研究流程 3第二章 文獻回顧 4第一節 巴塞爾資本協定之簡介 4第二節 流動性風險監管政策與銀行經營績效之關聯 6第三節 其他影響銀行經營績效之因素探討 8第三章 資料分析與現況統計 12第一節 銀行業資料分析 12第二節 流動性風險管理規範現況 18第四章 研究方法 23第一節 研究架構 23第二節 變數定義 25第三節 計量分析方法 29第五章 實證結果分析 31第一節 敘述統計分析 31第二節 模型變數選擇 35第三節 兩階段最小平方法迴歸分析 39第六章 結論與建議 42第一節 研究結論 42第二節 研究限制與建議 43參考文獻 45附錄 49 zh_TW dc.format.extent 3092782 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107921080 en_US dc.subject (關鍵詞) 巴塞爾資本協定三 zh_TW dc.subject (關鍵詞) 金融監管 zh_TW dc.subject (關鍵詞) 流動性覆蓋比率 zh_TW dc.subject (關鍵詞) 追蹤資料 zh_TW dc.subject (關鍵詞) 內生性 zh_TW dc.subject (關鍵詞) Basel Ⅲ en_US dc.subject (關鍵詞) Financial regulations en_US dc.subject (關鍵詞) Liquidity coverage ratio en_US dc.subject (關鍵詞) Panel data en_US dc.subject (關鍵詞) Endogeneity en_US dc.title (題名) 流動性風險監管政策對臺灣銀行業經營績效之影響 zh_TW dc.title (題名) Effects of Liquidity Regulations on Profitability of Banks in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分1.吳佳霖（2016）。流動性覆蓋及淨穩定資金創新指標對銀行CAMEL指標影響之研究。國立臺北大學企業管理研究所，未出版碩士論文。2.呂青樺、沈中華（2006）。影響大陸地區銀行獲利能力與風險的因素。中國大陸研究，49卷3期，119-142。3.李惠妍、許永明、王綺楓（2019）。資本對銀行績效的影響。經濟論文，47卷1 期，1-30。4.馬泰成（2005）。產業結構與利潤：臺灣銀行市場的實證研究。公平交易季刊，13卷3期，61-92。5.曾昭玲、陳世能、林俊宏（2005）。逾放比對銀行經營績效影響之多期性研究。臺灣金融財務季刊，6卷4期，41-68。6.楊馥如、顧廣平、姚鍾文（2005）。公營事業民營化後之長期績效評估。會計與公司治理，2卷2期，47-78。7.劉秀玲、鄭鴻章（2010）。金控公司架構與非利息收入業務對台灣銀行業經營效益與風險之影響。臺灣金融財務季刊，11卷3期，1-31。8.鄭政秉、梁連文、陳仁屏（2015）。模擬Basel Ⅲ新資本監管對台灣銀行業成本效率之影響。管理與系統，22卷2期，175-203。英文部分1.Agusman, A., Monroe, G.S., Gasbarro, D. and Zumwalt, J.K. (2008) Accounting and capital market measures of risk: evidence from Asian banks during 1998–2003. Journal of Banking and Finance, 32(4), 480–488.2.Apergis, N. (2014). The Long-Term Role of Non-Traditional Banking in Profitability and Risk Profiles: Evidence from a Panel of US Banking Institutions. Journal of International Money and Finance, 45, 61–73.3.Athanasoglou, P.P., S. N. Brissimis and M.D. Delis (2008). Bank-specific, industry-specificand macroeconomic determinants of bank profitability. Journal of International Financial Markets, Institutions and Money, 18, 121–136.4.Baltagi, B. (1995). Econometric Analysis of Panel Data, New York: Wiley.5.Banerjee, R.N. and H. Mio (2018). The impact of liquidity regulation on banks. Journal of Financial intermediation, 35, 30-44.6.Basel Committee on Banking Supervision (2010). BASEL III: International framework for liquidity risk measurement, standards and monitoring.7.Basel Committee on Banking Supervision (2013). BASEL III: The Liquidity Coverage Ratio and liquidity risk monitoring tools. Switzerland, Bank for International Settlements Communications.8.Basel Committee on Banking Supervision (2014). BASEL III: the net stable funding ratio. Switzerland, Bank for International Settlements Communications.9.Berger (1995). The profit–structure relationship in banking: tests of market-power and efficient-structure hypotheses. Journal of Money, Credit, and Banking, 27, 404–431.10.Bitar M., K. Pukthuanthong and T. Walker (2018). The effect of capital ratios on the risk, efficiency and profitability of banks: evidence from OECD countries. Journal of International Financial Markets, Institutions and Money, 53, 227-262.11.Bruno, B., E. Onali and K. Schaeck (2018). Market reaction to bank liquidity regulation. Journal of Financial and Quantitative Analysis, 53 (2), 899-935.12.Chen Y. K., F. S. Chien and Y. Li (2016). The Impact of Capital Requirement on Bank Operating Efficiency: An Application of the Bootstrapped Truncated Regression Model. Journal of Financial Studies, 24(4), 19-46.13.Davidson, R. and J. G. MacKinnon. (1993). Estimation and Inference in Econometrics, Cambridge: Oxford University Press.14.Demirgüç-Kunt A., E. Detragiache and O. Merrouche (2013). Bank capital: lessons from the financial crisis. Journal of Money, Credit and Banking, 45 (6), 1147-1164.15.Dietrich, A., K. Hess and G. Wanzenried (2014). The good and bad news about the new liquidity rules of Basel Ⅲ in Western European countries. Journal of Banking & Finance, 44, 13-25.16.Goddard, J., H. Liu, P. Molyneux and J. Wilson (2013). Do Bank Profits Converge? European Financial Management, 19(2), 345–365.17.Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, Journal of the Econometric Society, 46, 1251-1271.18.Iannotta, G., G. Nocera, and A. Sironi (2007). Ownership Structure, Risk and Performance in the European Banking Industry. Journal of Banking & Finance, 31(7), 2127–2149.19.Khan, M. A., H. Scheule and E. Wu (2015). Will Basel Ⅲ Liquidity Measures Affect Banks` Funding Costs and Financial Performance? : Evidence from U.S. Commercial Banks. University of Technology Sydney.20.Lee, C. and M. Hsieh (2013). The Impact of Bank Capital on Profitability and Risk in Asian Banking, Journal of International Money and Finance, 32(1), 251–281.21.Lepetit, L., E. Nys, P. Rous and A. Tarazi (2008), Bank Income Structure and Risk: AnEmpirical Analysis of European Banks. Journal of Banking & Finance, 32(8), 1452–1467.22.Meslier, C., R. Tacneng and A. Tarazi (2014). Is bank income diversification beneficial? Evidence from an emerging economy. Journal of International Financial Markets, Institutions and Money, 31, 97-126.23.Micco, A., U. Panizza, M. Yanez (2007). Bank ownership and performance. Does politics matter? Journal of Banking and Finance, 31(1), 219-241.24.Nadia Saghi-Zedek (2016). Product diversification and bank performance: does ownership structure matter? Journal of Banking & Finance, 71, 154-167.25.Shim, J. (2010). Capital-Based Regulation, Portfolio Risk and Capital Determination: Empirical Evidence from the US Property-Liability Insurers,” Journal of Banking & Finance, 34(10), 2450–2461.26.Stock, J. H. and M. Yogo (2005). Testing for Weak Instruments in Linear IV Regression. In: Andrews DWK Identification and Inference for Econometric Models. New York: Cambridge University Press, 80-108. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202001578 en_US
