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題名 探討我國銀行業淨利差、生產效率與獲利穩定性之關係 作者 黃台心 貢獻者 金融系 關鍵詞 聯立迴歸模型；淨利差；非利息收入；獲利穩定性；Lerner指數
net interest margin; non-interest income; income stability; Lerner index日期 2015 上傳時間 17-May-2017 16:07:01 (UTC+8) 摘要 本研究蒐集2001-2014年間臺灣47家銀行資料，利用聯立迴歸模型探討淨利差(NIM)、非利息收入占比(NII) 與獲利穩定性 (用Z score衡量) 間的關係，並藉此解決三個變數間具有內生性的問題。在計算衡量競爭程度的Lerner指數時，也採用聯立模型估計成本函數與產品價格方程式，可避免計算Lerner指數出現負值。發現聯立迴歸模型相對於單一迴歸模型，更能捕捉獲利穩定性對NIM的影響。此外，發現金控銀行與非金控銀行的經營策略有所差異，導致金控銀行與非金控銀行在NIM、NII以及Z score的關係有所不同。金控銀行較非金控銀行擅長非傳統業務，因此非利息收入的占比有助於其獲利穩定性的提高，然而，非金控銀行則較不擅長於非傳統業務活動，故本研究建議這類銀行應該持續著重在傳統業務活動，以維持獲利穩定。本研究發現銀行經營效率除了與NIM呈現負相關外，也與獲利穩定性呈現負相關，支持「效率-風險假說」，故銀行在追求成本效率與提高獲益的同時，也應當思考是否會造成銀行經營的不穩定。
To study the relationship between net interest margin(NIM), net interest income (NII), and income stability(evaluated by Z score), we collect the data of 47 banks inTaiwan for the period 2001-2014, and use simultaneous equations regression model to take account of the endogeneity problem of the three variables. The resulting parameter estimates are consistent and efficient. Moreover, we jointly estimate a cost and price frontiers, under the framework of copula methods, to calculate the Lerner index that reflects the degrees of market competition. In this manner, the so-derived measure of Lerner index will not be negative, which lacks of economic implication. The results from the simultaneous equations regression model reveal that income stability has significant effect on NIM, inconsistent with the results from the single equation model. Besides, the managerial strategies of banks under financial holding companies (FHC) are found to be different from banks under non-FHCs, because the relationship among NIM, NII and income stability differs between FHC and non FHC banks. Specifically, FHC banks perform better in non-traditional activities than non-FHC banks, since the former is found to have positive association between NII and income stability, while the reverse is true for the latter. Evidence is found that cost efficiency is negatively correlated with income stabilityas well as NIM, supporting the efficiency-risk hypothesis.關聯 MOST 103-2410-H-004-012 資料類型 report dc.contributor 金融系 dc.creator (作者) 黃台心 zh_TW dc.date (日期) 2015 dc.date.accessioned 17-May-2017 16:07:01 (UTC+8) - dc.date.available 17-May-2017 16:07:01 (UTC+8) - dc.date.issued (上傳時間) 17-May-2017 16:07:01 (UTC+8) - dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/109710 - dc.description.abstract (摘要) 本研究蒐集2001-2014年間臺灣47家銀行資料，利用聯立迴歸模型探討淨利差(NIM)、非利息收入占比(NII) 與獲利穩定性 (用Z score衡量) 間的關係，並藉此解決三個變數間具有內生性的問題。在計算衡量競爭程度的Lerner指數時，也採用聯立模型估計成本函數與產品價格方程式，可避免計算Lerner指數出現負值。發現聯立迴歸模型相對於單一迴歸模型，更能捕捉獲利穩定性對NIM的影響。此外，發現金控銀行與非金控銀行的經營策略有所差異，導致金控銀行與非金控銀行在NIM、NII以及Z score的關係有所不同。金控銀行較非金控銀行擅長非傳統業務，因此非利息收入的占比有助於其獲利穩定性的提高，然而，非金控銀行則較不擅長於非傳統業務活動，故本研究建議這類銀行應該持續著重在傳統業務活動，以維持獲利穩定。本研究發現銀行經營效率除了與NIM呈現負相關外，也與獲利穩定性呈現負相關，支持「效率-風險假說」，故銀行在追求成本效率與提高獲益的同時，也應當思考是否會造成銀行經營的不穩定。 dc.description.abstract (摘要) To study the relationship between net interest margin(NIM), net interest income (NII), and income stability(evaluated by Z score), we collect the data of 47 banks inTaiwan for the period 2001-2014, and use simultaneous equations regression model to take account of the endogeneity problem of the three variables. The resulting parameter estimates are consistent and efficient. Moreover, we jointly estimate a cost and price frontiers, under the framework of copula methods, to calculate the Lerner index that reflects the degrees of market competition. In this manner, the so-derived measure of Lerner index will not be negative, which lacks of economic implication. The results from the simultaneous equations regression model reveal that income stability has significant effect on NIM, inconsistent with the results from the single equation model. Besides, the managerial strategies of banks under financial holding companies (FHC) are found to be different from banks under non-FHCs, because the relationship among NIM, NII and income stability differs between FHC and non FHC banks. Specifically, FHC banks perform better in non-traditional activities than non-FHC banks, since the former is found to have positive association between NII and income stability, while the reverse is true for the latter. Evidence is found that cost efficiency is negatively correlated with income stabilityas well as NIM, supporting the efficiency-risk hypothesis. dc.format.extent 727546 bytes - dc.format.mimetype application/pdf - dc.relation (關聯) MOST 103-2410-H-004-012 dc.subject (關鍵詞) 聯立迴歸模型；淨利差；非利息收入；獲利穩定性；Lerner指數 dc.subject (關鍵詞) net interest margin; non-interest income; income stability; Lerner index dc.title (題名) 探討我國銀行業淨利差、生產效率與獲利穩定性之關係 zh_TW dc.type (資料類型) report
