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題名 全球銀行破產風險之研究
A study of the global bank insolvency risk作者 王莉婷 貢獻者 江彌修
王莉婷關鍵詞 Z score
破產風險
銀行穩定度
資本結構
債權比例日期 2015 上傳時間 13-Jul-2015 11:07:58 (UTC+8) 摘要 本文使用Z-score作為銀行破產風險之衡量指標，檢視銀行的資本結構和資本獲利對銀行破產風險之影響，以及各區域在觀測期間銀行穩定度的變化。本文將全球分為北美洲、歐盟、中國、東南亞及東北亞共五個區域，並選取各區域資本額前十大的銀行做為研究對象。資料來源為Bankscope、Bloomberg以及Datastream資料庫之2007年至2014年銀行季資料。本文研究主要有三個結果：第一，資本報酬率為影響破產風險之顯著因子。但是資本報酬率的影響具有區域別差異，在歐盟、中國與東南亞的風險資本比例較高，較高的報酬也相對提高銀行的破產風險。第二，本文考慮自變數間的交互作用效果，發現在北美洲與歐盟的自變數間的交互作用較亞洲強烈。最後，在觀測期間，北美洲與歐盟之銀行穩定度會顯著的受到總體經濟環境影響，亞洲則是影響較不顯著。 參考文獻 [1] Ahmad, Zuraidah, Norhasniza Mohd Hasan Abdullah, and Shashazrina Roslan, (2012). “Capital Structure Effect on Firms Performance: Focusing on Consumers and Industrials Sectors on Malaysian Firms”. International Review of Business Research Papers. 8(5), 137-155.[2] Alexiou, Constantinos, and Voyazas Sofoklis. (2009). “Determinants of Bank Profitability: Evidence from the Greek Banking Sector”. Economic Annals. (183), 93-118. [3] Alves, Pereira., Ferreira, Miguel A. (2011). “Capital Structure and Law around the World”. Journal of Multinational Financial Management. 21, 119-150.[4] Amidu, Mohammed. (2007). “Determinants of Capital Structure of banks in Ghana: An Empirical Approach”. Baltic Journal of Management, 2(1), 67-79.[5] Amiyatosh Purnanandam. (2009). “Originate-to-Distribute Model and the Subprime Mortgage Crisis”. Journal of Economic Literature, September 14, 1-48.[6] Beck Thorsten, Hesse Heiko, Kick Thomas and Westernhagen Natalja von. (2009)."Bank Ownership and Stability: Evidence from Germany". June.[7] Black, Lamont, Ricardo Correa, Xin Huang, and Hao Zhou. (2013). “The Systemic Risk of European Banks during the Financial and Sovereign Debt Crises”. Board of Governors of the Federal Reserve System International Finance Discussion Paper, 1083.[8] Boyd, John H., and Stanley L. Graham. (1986). “Risk, Regulation, and Bank Holding Company Expansion into Nonbanking”. Quarterly Review - Federal Reserve Bank of Minneapolis, 10, 2-17.[9] Boyd, John H., Stanley L. Graham, and R. Shawn Hewitt. (1993). “Bank Holding Company Mergers with Nonbank Önancial Örms: Effects on the Risk of Failure”. Journal of Banking and Finance, 17, 43-63.[10] Čihák, Martin, and Heiko Hesse. (2008). “Islamic Banks and Financial Stability: An Empirical Analysis”. IMF Working Paper , 8(16).[11] Cubeddu, Luis, Alex Culiuc, Ghada Fayad, Yuan Gao, Kalpana Kochhar, Annette Kyobe, Ceyda Oner, Roberto Perrelli, Sarah Sanya, Evridiki Tsounta, and Zhongxia Zhang. (2014). “Emerging Markets in Transition: Growth Prospects and Challenges”. IMF Staff Discussion Notes, 14(6).[12] de Jong, Abe, Rezaul Kabir, and Thuy Thu Nguyen. (2008). “Capital Structure around the World: The Roles of Firm and Country-Specific Determinants”. Journal of Banking and Finance. 32(9), 1954-1969. [13] De Nicolò, Gianni, Phillip Bartholomew, Jhanara Zaman and Mary Zephirin. (2004). “ Bank Consolidation, Internationalization and Conglomeration: Trends and Implications for Financial Risk”. Financial Markets, Institutions & Instruments, 13(4), 173-217.[14] Ebaid, El-Sayed Ibrahim. (2009). “The Impact of Capital Structure Choice on firm Performance: Empirical Evidence from Egypt”. The Journal of Risk Finance, 10(5), 477-487.[15] Hair, J. F. Jr., Anderson, R. E., Tatham, R. L. and Black, W. C. (1995). Multivariate Data Analysis (3rd ed). New York: Macmillan.[16] Hannan, Timothy H., and Gerald A. Hanweck. (1988). “Bank Insolvency Risk and the Market for Large Certificates of Deposit”. Journal of Money, Credit and Banking, 20, 203-211.[17] Houston, Joel F., Chen Lin, Ping Lin, and Yue Ma. (2010). “Creditor Rights, Information Sharing, and Bank Risk-Taking”. Journal of Financial Economics, 96(3), 485-512.[18] Hugonnier, Julien, and Erwan Morellec. (2015). “ Bank Capital, Liquid Reserves, and Insolvency Risk”. Swiss Finance Institute Research Paper, No. 14-70.[19] Hutchison, David E. and Raymond A. K. Cox. (2007). "The Causal Relationship Between Bank Capital and Profitability". Annals of Financial Economics, 3(1), 0750002-1-0.[20] Iannotta, Giuliano, Giacomo Nocera and Andrea Sironi. (2007). “Ownership Structure, Risk and Performance in the European Banking Industry”. Journal of Banking and Finance, 31, 2127-2149.[21] Ivičić, Lana, Davor Kunovac and Igor Ljubaj. (2008). “Measuring Bank Insolvency Risk in CEE Countries," The Fourteenth Dubrovnik Economic Conference, June 25-28.[22] Laeven, Luc and Ross Levine. (2009). "Bank Governance, Regulation and Risk Taking". Journal of Financial Economics, 93(2), 259-275.[23] Lane, Philip R. (2012). "The European Sovereign Debt Crisis." Journal of Economic Perspectives, 26(3): 49-68.[24] Lee, Minsoo, Donghyun Park, Arnelyn Abdon, and Gemma Estrada. (2013). “Economic Impact of Eurozone Sovereign Debt Crisis on Developing Asia”. ADB Economics Working Paper Series, 336.[25] Modigliani, Franco, and Merton H. Miller. (1963). “Corporate Income Taxes and the Cost of Capital: A Correction”. American Economic Review, 53, 443-53.[26] Ramlall, Indranarain. (2009). “Bank-Specific, Industry-Specific and Macroeconomic Determinants of Profitability in Taiwanese Banking System: Under Panel Data Estimation”. International Research Journal of Finance and Economics, (34), 160-167.[27] Saad, Noriza Mohd. (2010). “ Corporate Governance Compliance and the Effects to Capital Structure”. International Journal of Economics and Financial, 2(1), 105-114.[28] Saeed, Muhammad Muzaffar, Ammar Ali Gull, and Muhammad Yasran Rasheed (2013). “Impact of Capital Structure on Banking Performance (A Case Study of Pakistan)”. Journal of Contemporary Research in Business, 4(10), 393-403.[29] Saeedi, Ali, and Iman Mahmoodi. (2011). “Capital Structure and Firm Performance: Evidence from Iranian Companies”. International Research Journal of Finance and Economics, 70.[30] San, Ong Tze, and Heng, Teh Boon. (2011). “Capital Structure and Corporate Performance of Malaysian Construction Sector”. International Journal of Humanities and Social Science, 1(2), 28-36.[31] Sato, Takafumi. (2009). “Current Situation of Japan’s Financial System and FSA’s Policy Response”. Financial Services Agency Speeches, 17, 2.[32] Schildbach, Jan. (2013). “ Bank performance in the US and Europe ”. Deutsche Bank Research.[33] Sharma, Eliza, and Mukta Mani. (2012). “ Impact of Macroeconomic and Financial Market Indicators on The Banking Sector: Some Evidence From India”. International Journal of Research in Finance and Marketing, 2(2), 171-185.[34] Sufian, Fadzlan. (2011). “ Profitability of the Korean Banking Sector: Panel Evidence on Bank-Specific And Macroeconomic Determinants”. Journal of Economics and Management, 7(1), 43-72.[35] Takagi, Shinji and Masahiro Kawai. (2009). “Why was Japan Hit So Hard by the Global Financial Crisis?”. ADBI Working Paper Series,153.[36] Venanzi, Daniela, Alessia Naccarato, Giorgio Abate. (2014). “ Does the Country Effect Matter in the Capital Structure Decisions of European Firms”. Paper prepared for the European Financial Management Association Annual Meetings, June .[37] Wahyoe, Soedarmono, Fouad Machrouh, and Amine Tarazi. (2012). “Bank Competition, Risk and Capital Ratio: Evidence from Asia”. Journal of International Financial Markets Institutions and Money, 23, 196-221. 描述 碩士
國立政治大學
金融研究所
102352011
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102352011 資料類型 thesis dc.contributor.advisor 江彌修 zh_TW dc.contributor.author (Authors) 王莉婷 zh_TW dc.creator (作者) 王莉婷 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 13-Jul-2015 11:07:58 (UTC+8) - dc.date.available 13-Jul-2015 11:07:58 (UTC+8) - dc.date.issued (上傳時間) 13-Jul-2015 11:07:58 (UTC+8) - dc.identifier (Other Identifiers) G0102352011 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76426 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 102352011 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 本文使用Z-score作為銀行破產風險之衡量指標，檢視銀行的資本結構和資本獲利對銀行破產風險之影響，以及各區域在觀測期間銀行穩定度的變化。本文將全球分為北美洲、歐盟、中國、東南亞及東北亞共五個區域，並選取各區域資本額前十大的銀行做為研究對象。資料來源為Bankscope、Bloomberg以及Datastream資料庫之2007年至2014年銀行季資料。本文研究主要有三個結果：第一，資本報酬率為影響破產風險之顯著因子。但是資本報酬率的影響具有區域別差異，在歐盟、中國與東南亞的風險資本比例較高，較高的報酬也相對提高銀行的破產風險。第二，本文考慮自變數間的交互作用效果，發現在北美洲與歐盟的自變數間的交互作用較亞洲強烈。最後，在觀測期間，北美洲與歐盟之銀行穩定度會顯著的受到總體經濟環境影響，亞洲則是影響較不顯著。 zh_TW dc.description.tableofcontents 中文摘要 VIIAbstract VIII第一章 緒論 1第二章 文獻回顧 3第三章 研究方法 6第一節 變數定義 6一、 Z-score 6二、 Return 7三、 Profitability 7四、 Credit 7五、 Macroeconomics 8第二節 變數篩選過程 10一、 逐步迴歸法 10二、 共線性 11三、 皮爾森相關係數檢定 12四、 參數估計 19第四章 實證結果 22第一節 敘述統計 24第二節 迴歸結果 27第五章 結論 34參考文獻 36附錄 40 zh_TW dc.format.extent 695713 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352011 en_US dc.subject (關鍵詞) Z score zh_TW dc.subject (關鍵詞) 破產風險 zh_TW dc.subject (關鍵詞) 銀行穩定度 zh_TW dc.subject (關鍵詞) 資本結構 zh_TW dc.subject (關鍵詞) 債權比例 zh_TW dc.title (題名) 全球銀行破產風險之研究 zh_TW dc.title (題名) A study of the global bank insolvency risk en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) [1] Ahmad, Zuraidah, Norhasniza Mohd Hasan Abdullah, and Shashazrina Roslan, (2012). “Capital Structure Effect on Firms Performance: Focusing on Consumers and Industrials Sectors on Malaysian Firms”. International Review of Business Research Papers. 8(5), 137-155.[2] Alexiou, Constantinos, and Voyazas Sofoklis. (2009). “Determinants of Bank Profitability: Evidence from the Greek Banking Sector”. Economic Annals. (183), 93-118. [3] Alves, Pereira., Ferreira, Miguel A. (2011). “Capital Structure and Law around the World”. Journal of Multinational Financial Management. 21, 119-150.[4] Amidu, Mohammed. (2007). “Determinants of Capital Structure of banks in Ghana: An Empirical Approach”. Baltic Journal of Management, 2(1), 67-79.[5] Amiyatosh Purnanandam. (2009). “Originate-to-Distribute Model and the Subprime Mortgage Crisis”. Journal of Economic Literature, September 14, 1-48.[6] Beck Thorsten, Hesse Heiko, Kick Thomas and Westernhagen Natalja von. (2009)."Bank Ownership and Stability: Evidence from Germany". June.[7] Black, Lamont, Ricardo Correa, Xin Huang, and Hao Zhou. (2013). “The Systemic Risk of European Banks during the Financial and Sovereign Debt Crises”. Board of Governors of the Federal Reserve System International Finance Discussion Paper, 1083.[8] Boyd, John H., and Stanley L. Graham. (1986). “Risk, Regulation, and Bank Holding Company Expansion into Nonbanking”. Quarterly Review - Federal Reserve Bank of Minneapolis, 10, 2-17.[9] Boyd, John H., Stanley L. Graham, and R. Shawn Hewitt. (1993). “Bank Holding Company Mergers with Nonbank Önancial Örms: Effects on the Risk of Failure”. Journal of Banking and Finance, 17, 43-63.[10] Čihák, Martin, and Heiko Hesse. (2008). “Islamic Banks and Financial Stability: An Empirical Analysis”. IMF Working Paper , 8(16).[11] Cubeddu, Luis, Alex Culiuc, Ghada Fayad, Yuan Gao, Kalpana Kochhar, Annette Kyobe, Ceyda Oner, Roberto Perrelli, Sarah Sanya, Evridiki Tsounta, and Zhongxia Zhang. (2014). “Emerging Markets in Transition: Growth Prospects and Challenges”. IMF Staff Discussion Notes, 14(6).[12] de Jong, Abe, Rezaul Kabir, and Thuy Thu Nguyen. (2008). “Capital Structure around the World: The Roles of Firm and Country-Specific Determinants”. Journal of Banking and Finance. 32(9), 1954-1969. [13] De Nicolò, Gianni, Phillip Bartholomew, Jhanara Zaman and Mary Zephirin. (2004). “ Bank Consolidation, Internationalization and Conglomeration: Trends and Implications for Financial Risk”. Financial Markets, Institutions & Instruments, 13(4), 173-217.[14] Ebaid, El-Sayed Ibrahim. (2009). “The Impact of Capital Structure Choice on firm Performance: Empirical Evidence from Egypt”. The Journal of Risk Finance, 10(5), 477-487.[15] Hair, J. F. Jr., Anderson, R. E., Tatham, R. L. and Black, W. C. (1995). Multivariate Data Analysis (3rd ed). New York: Macmillan.[16] Hannan, Timothy H., and Gerald A. Hanweck. (1988). “Bank Insolvency Risk and the Market for Large Certificates of Deposit”. Journal of Money, Credit and Banking, 20, 203-211.[17] Houston, Joel F., Chen Lin, Ping Lin, and Yue Ma. (2010). “Creditor Rights, Information Sharing, and Bank Risk-Taking”. Journal of Financial Economics, 96(3), 485-512.[18] Hugonnier, Julien, and Erwan Morellec. (2015). “ Bank Capital, Liquid Reserves, and Insolvency Risk”. Swiss Finance Institute Research Paper, No. 14-70.[19] Hutchison, David E. and Raymond A. K. Cox. (2007). "The Causal Relationship Between Bank Capital and Profitability". Annals of Financial Economics, 3(1), 0750002-1-0.[20] Iannotta, Giuliano, Giacomo Nocera and Andrea Sironi. (2007). “Ownership Structure, Risk and Performance in the European Banking Industry”. Journal of Banking and Finance, 31, 2127-2149.[21] Ivičić, Lana, Davor Kunovac and Igor Ljubaj. (2008). “Measuring Bank Insolvency Risk in CEE Countries," The Fourteenth Dubrovnik Economic Conference, June 25-28.[22] Laeven, Luc and Ross Levine. (2009). "Bank Governance, Regulation and Risk Taking". Journal of Financial Economics, 93(2), 259-275.[23] Lane, Philip R. (2012). "The European Sovereign Debt Crisis." Journal of Economic Perspectives, 26(3): 49-68.[24] Lee, Minsoo, Donghyun Park, Arnelyn Abdon, and Gemma Estrada. (2013). “Economic Impact of Eurozone Sovereign Debt Crisis on Developing Asia”. ADB Economics Working Paper Series, 336.[25] Modigliani, Franco, and Merton H. Miller. (1963). “Corporate Income Taxes and the Cost of Capital: A Correction”. American Economic Review, 53, 443-53.[26] Ramlall, Indranarain. (2009). “Bank-Specific, Industry-Specific and Macroeconomic Determinants of Profitability in Taiwanese Banking System: Under Panel Data Estimation”. International Research Journal of Finance and Economics, (34), 160-167.[27] Saad, Noriza Mohd. (2010). “ Corporate Governance Compliance and the Effects to Capital Structure”. International Journal of Economics and Financial, 2(1), 105-114.[28] Saeed, Muhammad Muzaffar, Ammar Ali Gull, and Muhammad Yasran Rasheed (2013). “Impact of Capital Structure on Banking Performance (A Case Study of Pakistan)”. Journal of Contemporary Research in Business, 4(10), 393-403.[29] Saeedi, Ali, and Iman Mahmoodi. (2011). “Capital Structure and Firm Performance: Evidence from Iranian Companies”. International Research Journal of Finance and Economics, 70.[30] San, Ong Tze, and Heng, Teh Boon. (2011). “Capital Structure and Corporate Performance of Malaysian Construction Sector”. International Journal of Humanities and Social Science, 1(2), 28-36.[31] Sato, Takafumi. (2009). “Current Situation of Japan’s Financial System and FSA’s Policy Response”. Financial Services Agency Speeches, 17, 2.[32] Schildbach, Jan. (2013). “ Bank performance in the US and Europe ”. Deutsche Bank Research.[33] Sharma, Eliza, and Mukta Mani. (2012). “ Impact of Macroeconomic and Financial Market Indicators on The Banking Sector: Some Evidence From India”. International Journal of Research in Finance and Marketing, 2(2), 171-185.[34] Sufian, Fadzlan. (2011). “ Profitability of the Korean Banking Sector: Panel Evidence on Bank-Specific And Macroeconomic Determinants”. Journal of Economics and Management, 7(1), 43-72.[35] Takagi, Shinji and Masahiro Kawai. (2009). “Why was Japan Hit So Hard by the Global Financial Crisis?”. ADBI Working Paper Series,153.[36] Venanzi, Daniela, Alessia Naccarato, Giorgio Abate. (2014). “ Does the Country Effect Matter in the Capital Structure Decisions of European Firms”. Paper prepared for the European Financial Management Association Annual Meetings, June .[37] Wahyoe, Soedarmono, Fouad Machrouh, and Amine Tarazi. (2012). “Bank Competition, Risk and Capital Ratio: Evidence from Asia”. Journal of International Financial Markets Institutions and Money, 23, 196-221. zh_TW
