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題名 金融裁罰與企業經營對資本適足率之影響—以臺灣銀行業為例
Effects of Financial Penalties and Enterprise Operations on the Capital Adequacy Ratio — A Case of the Banking in Taiwan
作者 楊裕如
Yang, Yu-Ju
貢獻者 王信實
Wang, Shinn-Shyr
楊裕如
Yang, Yu-Ju
關鍵詞 資本適足率
金融監管
競爭
股權結構
追蹤資料內生性分析
異質性
Capital adequacy ratios
Financial supervision
Competition
Ownership structure
Endogenous analysis of panel data
Heterogeneity
日期 2018
上傳時間 3-Sep-2018 15:59:00 (UTC+8)
摘要 本文主要探討除法令規範項目外，不同因素對銀行資本適足率的影響為何？本研究使用台灣27家上市、上櫃以及興櫃的國內銀行為樣本、共619個觀察值，納入關鍵解釋變數：金融監管壓力、競爭與股權結構；同時考慮創新研發及銀行經營業務相關的特定變數，採取二階段最小平方法，進行衡量內生性情況之追蹤資料迴歸分析。經誤差項異質性修正後，結果發現政府不同的監管方式/態度對銀行資本適足率形成兩種顯著的相反效果，銀行本身競爭力的強弱、董監持股比率與創新研發的投入，亦對資本適足率產生不同的顯著作用；而部分銀行的特定變數亦然。金融監管者將資本適足率作為政策工具彈性運用時，可審慎思考這些因素對銀行資本適足率之影響，掌握銀行承擔損失的能力與意願，不致弄巧成拙，損害了金融的審慎監理或抑制了銀行創新等發展。
In addition to the regulatory items, this study mainly investigates the impact of other different factors on banks’ capital adequacy ratios. This study uses 619 observations, and 27 banks from listed, over-the-counter (OTC) or emerging stock companies in Taiwan as samples. The capital adequacy ratios model contains the financial regulatory pressure, competition, and shareholding structure three key explanatory variables; at the same time, it takes the level of the bank’s innovation and the operation-related variables into consideration. Applying the two-stage least squares method in the panel regression analysis to resolve the endogenous situation and the Arellano approach to revise the heterogeneity, this study finds that the different regulatory attitudes/ ways of the government have two opposite effects on the bank`s capital adequacy ratios. Banks’ competitiveness and the percentage of the majority shareholder holdings also have different significant effects on them; so do parts of bank-specific variables. When financial regulators use the capital adequacy ratios as an incentive tool of policies, they should consider the impact of these factors on the capital adequacy ratios. Therefore, regulators can furthermore grasp banks’ ability and willingness to undertake losses, and apply the capital adequacy ratio appropriately to enforce policies without impairing financial prudential supervision.
參考文獻 ● Bain, Joe S. (1933), Handbook on the History of Economic Analysis. III, in Faccarello, G., and H. D. Kurz (ed.) (2016), 297, Edward Elgar Publishing.
● Barry, T. A., L. Lepetit & A. Tarazi (2011). Ownership structure and risk in publicly held and privately owned banks. Journal of Banking & Finance, 35, 1327–1340.
● Basel Committee on Banking Supervision (1988), International Convergence of Capital Measurement and Capital Standards, July.
● Basel Committee on Banking Supervision (2010), Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems, Switzerland, Bank for International Settlements Communications.
● Bebchuk, L. A. & M. J. Roe (1999). Theory of Path Dependence in Corporate Governance and Ownership. Columbia Law School Working Paper Series, retrieve from http://www.law.columbia.edu/lawec/
● Bikker, J.A. & K. Haaf (2000). Competition, Concentration, and Their Relationship: An Empirical Analysis of the Banking Industry. Journal of Banking & Finance, 26, 2191-2214.
● Berger, A. N., L. F. Klapper & R. Turk-Ariss (2009). Bank Competition and Financial Stability. Journal of Financial Services Research, vol. 35, Issue 2, 99-118.
● Blundell-Wignall, A. & P. Atkinson (2010), Thinking Beyond Basel III: Necessary Solutions for Capital and Liquidity. OECD Journal: Financial Market Trends, Vol. 2010, Issue 1, 1-23.
● Boone, J. (2008). A new way to measure competition. The Economic Journal, 118(531), 1245-1261.
● Boyd, J. H. & G. de Nicoló (2005). The Theory of Bank Risk-Taking and Competition Revisited. The Journal of Finance, Vol. 60, Issue 3, 1057-1592, i-iv, 1593-1512.
● Bresnahan, T. F. (1982). The oligopoly solution concept is identified. Economics Letters, 10, 87-92.
● Brewer, E., G. G. Kaufman, & L. D. Wall (2008). Bank capital ratios across countries: Why do they vary? Working Paper, Federal Reserve Bank of Atlanta, No. 2008-27.
● Diamond, D. W., & G. R. Raghuram (2000). A Theory of Bank Capital. The Journal of Finance, Vol. 55, (6), 2431-2465.
● Distinguin, I., C. Roulet & A. Tarazi (2013). Bank regulatory capital and liquidity: Evidence from US and European publicly traded banks, Journal of Banking & Finance (37), 3295–3317.
● Francis, W. B., & M. Osborne (2012). Capital requirements and bank behavior in the UK: Are there lessons for international capital standards? Journal of Banking & Finance (36), 803–816
● Franklin, A. & D. Gale, 2000, Comparing Financial Systems (MIT Press, Cambridge, Massachusetts).
● Gorton, G. & G. Pennacchi (1990). Financial Intermediaries and Liquidity Creation. The Journal of Finance, Vol. 45(1), 49-71.
● Grinblatt, M. S. & S. A. Ross (1985). Market Power in a Securities Market with Endogenous Information. The Quarterly Journal of Economics, Vol. 100 (4), 1143-1167.
● Hellmann, T. F., K. C. Murdock & J. E. Stiglitz (2000). Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements Enough? The American Economic Review, Vol. 90, 147-165.
● Investopedia, https://www.investopedia.com/
● Iwata, G. (1974). Measurement of conjectural variations in oligopoly. Econometrica. Journal of the Econometric Society, 42(5), 947-966.
● Jimenez, G., J.A. Lopez, & J. Saurina (2007). How Does Competition Impact Bank Risk-Taking? Federal Reserve Bank of San Francisco, Working Paper 2007-23.
● Kirilenko, A. A. & A. W. Lo (2013). Moore’s Law versus Murphy’s Law: Algorithmic Trading and Its Discontents. Journal of Economic Perspectives, Vol. 27, (2), 51–72.
● Keeley, M. C. & F. T. Furlong (1990). A Reexamination of Mean-Variance Analysis of Bank Capital Regulation. Journal of Banking and Finance, 14(1990), 69-84.
● Keeley, M. C. (1990). Deposit Insurance, Risk, and Market Power in Banking. The American Economic Review, Vol. 80 (5), 1183-1200.
● Kyle, A. S. (1985). Continuous Auctions and Insider Trading. Econometrica, Vol. 53, (6), 1315-1335.
● Laeven, L. & R. Levine (2008). Bank Governance, Regulation, and Risk Taking. NBER Working Paper, No. 14113.
● Leon, F. (2014). Measuring competition in banking: A critical review of methods. Etudes et Documents, No 12, CERDI, 2014.
● Martinez-Miera, D. & R. Repullo (2010). Does Competition Reduce the Risk of Bank Failure? The Review of Financial Studies, Vol. 23 (10), 3638–3664.
● Miller, M. H. (1986). Financial Innovation: The Last Twenty Years and the Next. Journal of Financial and Quantitative Analysis, 21, 459-471.
● Panzar, J.C., & J.N. Rosse (1987). Testing for monopoly equilibrium. Journal of Industrial Economics, Vol.35, 443–56.
● Pepall, L., D. J. Richards, & G. Norman (2008). Industrial Organization: Contemporary Theory and Empirical Applications, the fourth eds. Blackwell.
● Rime B., (2001). Capital Requirements and Bank Behaviour: Empirical Evidence for Switzerland. Journal of Banking & Finance, Vol. 25, 789-805.
● Schaeck K. & M. Cih´ak (2012). Banking Competition and Capital Ratios. European Financial Management, 18(5), 836-866.
● Shaffer, S. (1982). A Nonstructural Test for Competition in Financial Markets. Proceedings of a Conference on Bank Structure and Competition, 225–243, Federal Reserve Bank of Chicago.
● Shehzad, C. T., J. de Haan, & B. Scholtens (2010), The impact of bank ownership concentration on impaired loans and capital adequacy, Journal of Banking & Finance, 34 (2010), 399–408.
● Turley, R. (2012). Informative Prices and the Cost of Capital Markets. Harvard University working paper.
描述 碩士
國立政治大學
行政管理碩士學程
105921047
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105921047
資料類型 thesis
dc.contributor.advisor 王信實zh_TW
dc.contributor.advisor Wang, Shinn-Shyren_US
dc.contributor.author (Authors) 楊裕如zh_TW
dc.contributor.author (Authors) Yang, Yu-Juen_US
dc.creator (作者) 楊裕如zh_TW
dc.creator (作者) Yang, Yu-Juen_US
dc.date (日期) 2018en_US
dc.date.accessioned 3-Sep-2018 15:59:00 (UTC+8)-
dc.date.available 3-Sep-2018 15:59:00 (UTC+8)-
dc.date.issued (上傳時間) 3-Sep-2018 15:59:00 (UTC+8)-
dc.identifier (Other Identifiers) G0105921047en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/119950-
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) 105921047zh_TW
dc.description.abstract (摘要) 本文主要探討除法令規範項目外，不同因素對銀行資本適足率的影響為何？本研究使用台灣27家上市、上櫃以及興櫃的國內銀行為樣本、共619個觀察值，納入關鍵解釋變數：金融監管壓力、競爭與股權結構；同時考慮創新研發及銀行經營業務相關的特定變數，採取二階段最小平方法，進行衡量內生性情況之追蹤資料迴歸分析。經誤差項異質性修正後，結果發現政府不同的監管方式/態度對銀行資本適足率形成兩種顯著的相反效果，銀行本身競爭力的強弱、董監持股比率與創新研發的投入，亦對資本適足率產生不同的顯著作用；而部分銀行的特定變數亦然。金融監管者將資本適足率作為政策工具彈性運用時，可審慎思考這些因素對銀行資本適足率之影響，掌握銀行承擔損失的能力與意願，不致弄巧成拙，損害了金融的審慎監理或抑制了銀行創新等發展。zh_TW
dc.description.abstract (摘要) In addition to the regulatory items, this study mainly investigates the impact of other different factors on banks’ capital adequacy ratios. This study uses 619 observations, and 27 banks from listed, over-the-counter (OTC) or emerging stock companies in Taiwan as samples. The capital adequacy ratios model contains the financial regulatory pressure, competition, and shareholding structure three key explanatory variables; at the same time, it takes the level of the bank’s innovation and the operation-related variables into consideration. Applying the two-stage least squares method in the panel regression analysis to resolve the endogenous situation and the Arellano approach to revise the heterogeneity, this study finds that the different regulatory attitudes/ ways of the government have two opposite effects on the bank`s capital adequacy ratios. Banks’ competitiveness and the percentage of the majority shareholder holdings also have different significant effects on them; so do parts of bank-specific variables. When financial regulators use the capital adequacy ratios as an incentive tool of policies, they should consider the impact of these factors on the capital adequacy ratios. Therefore, regulators can furthermore grasp banks’ ability and willingness to undertake losses, and apply the capital adequacy ratio appropriately to enforce policies without impairing financial prudential supervision.en_US
dc.description.tableofcontents 中文摘要 I
ABSTRACT II
CONTENTS III
LIST OF TABLES V
LIST OF FIGURES VI
LIST OF APPENDICES VII
1 INTRODUCTION 1
1.1 RESEARCH BACKGROUND 1
1.2 RESEARCH MOTIVES AND SPECIFIC OBJECTIVE 3
1.3 RESEARCH EXTENT AND LIMITATIONS 5
1.4 RESEARCH FRAMEWORK AND CONTRIBUTION 7
2. THEORIES AND EMPIRICAL LITERATURE REVIEW 9
2.1 FINANCIAL REGULATIONS 10
2.1.1 Capital Theory and Capital Requirements 10
2.1.2 The Influence of Financial Regulations 11
2.2 MARKET COMPETITION IN BANKING 14
2.2.1 Market Competition Theories 14
2.2.2 The Market Competition of Banking 17
2.3 OWNERSHIP STRUCTURE AND CAPITAL ADEQUACY RATIOS 21
3. DATA AND DESCRIPTIVE STATISTICS 23
3.1 DEPENDENT VARIABLE 24
3.2 INDEPENDENT VARIABLES 24
3.2.1 Key Variables 24
3.2.2 Other Variables 34
4. EMPIRICAL MODEL AND METHODOLOGY 38
4.1 THE CAPITAL ADEQUACY RATIO (CAR) MODEL 42
4.2 TWO-STAGE LEAST SQUARES METHOD 43
5. EMPIRICAL RESULTS 49
5.1 KEY VARIABLE: FINANCIAL REGULATION, COMPETITION, AND OWNERSHIP STRUCTURE 49
5.2 THE OTHER VARIABLES 53
6. CONCLUSION AND SUGGESTION 56
REFERENCE 61
APPENDIX 65		zh_TW
dc.format.extent 11166273 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105921047en_US
dc.subject (關鍵詞) 資本適足率zh_TW
dc.subject (關鍵詞) 金融監管zh_TW
dc.subject (關鍵詞) 競爭zh_TW
dc.subject (關鍵詞) 股權結構zh_TW
dc.subject (關鍵詞) 追蹤資料內生性分析zh_TW
dc.subject (關鍵詞) 異質性zh_TW
dc.subject (關鍵詞) Capital adequacy ratiosen_US
dc.subject (關鍵詞) Financial supervisionen_US
dc.subject (關鍵詞) Competitionen_US
dc.subject (關鍵詞) Ownership structureen_US
dc.subject (關鍵詞) Endogenous analysis of panel dataen_US
dc.subject (關鍵詞) Heterogeneityen_US
dc.title (題名) 金融裁罰與企業經營對資本適足率之影響—以臺灣銀行業為例zh_TW
dc.title (題名) Effects of Financial Penalties and Enterprise Operations on the Capital Adequacy Ratio — A Case of the Banking in Taiwanen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) ● Bain, Joe S. (1933), Handbook on the History of Economic Analysis. III, in Faccarello, G., and H. D. Kurz (ed.) (2016), 297, Edward Elgar Publishing.
● Barry, T. A., L. Lepetit & A. Tarazi (2011). Ownership structure and risk in publicly held and privately owned banks. Journal of Banking & Finance, 35, 1327–1340.
● Basel Committee on Banking Supervision (1988), International Convergence of Capital Measurement and Capital Standards, July.
● Basel Committee on Banking Supervision (2010), Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems, Switzerland, Bank for International Settlements Communications.
● Bebchuk, L. A. & M. J. Roe (1999). Theory of Path Dependence in Corporate Governance and Ownership. Columbia Law School Working Paper Series, retrieve from http://www.law.columbia.edu/lawec/
● Bikker, J.A. & K. Haaf (2000). Competition, Concentration, and Their Relationship: An Empirical Analysis of the Banking Industry. Journal of Banking & Finance, 26, 2191-2214.
● Berger, A. N., L. F. Klapper & R. Turk-Ariss (2009). Bank Competition and Financial Stability. Journal of Financial Services Research, vol. 35, Issue 2, 99-118.
● Blundell-Wignall, A. & P. Atkinson (2010), Thinking Beyond Basel III: Necessary Solutions for Capital and Liquidity. OECD Journal: Financial Market Trends, Vol. 2010, Issue 1, 1-23.
● Boone, J. (2008). A new way to measure competition. The Economic Journal, 118(531), 1245-1261.
● Boyd, J. H. & G. de Nicoló (2005). The Theory of Bank Risk-Taking and Competition Revisited. The Journal of Finance, Vol. 60, Issue 3, 1057-1592, i-iv, 1593-1512.
● Bresnahan, T. F. (1982). The oligopoly solution concept is identified. Economics Letters, 10, 87-92.
● Brewer, E., G. G. Kaufman, & L. D. Wall (2008). Bank capital ratios across countries: Why do they vary? Working Paper, Federal Reserve Bank of Atlanta, No. 2008-27.
● Diamond, D. W., & G. R. Raghuram (2000). A Theory of Bank Capital. The Journal of Finance, Vol. 55, (6), 2431-2465.
● Distinguin, I., C. Roulet & A. Tarazi (2013). Bank regulatory capital and liquidity: Evidence from US and European publicly traded banks, Journal of Banking & Finance (37), 3295–3317.
● Francis, W. B., & M. Osborne (2012). Capital requirements and bank behavior in the UK: Are there lessons for international capital standards? Journal of Banking & Finance (36), 803–816
● Franklin, A. & D. Gale, 2000, Comparing Financial Systems (MIT Press, Cambridge, Massachusetts).
● Gorton, G. & G. Pennacchi (1990). Financial Intermediaries and Liquidity Creation. The Journal of Finance, Vol. 45(1), 49-71.
● Grinblatt, M. S. & S. A. Ross (1985). Market Power in a Securities Market with Endogenous Information. The Quarterly Journal of Economics, Vol. 100 (4), 1143-1167.
● Hellmann, T. F., K. C. Murdock & J. E. Stiglitz (2000). Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements Enough? The American Economic Review, Vol. 90, 147-165.
● Investopedia, https://www.investopedia.com/
● Iwata, G. (1974). Measurement of conjectural variations in oligopoly. Econometrica. Journal of the Econometric Society, 42(5), 947-966.
● Jimenez, G., J.A. Lopez, & J. Saurina (2007). How Does Competition Impact Bank Risk-Taking? Federal Reserve Bank of San Francisco, Working Paper 2007-23.
● Kirilenko, A. A. & A. W. Lo (2013). Moore’s Law versus Murphy’s Law: Algorithmic Trading and Its Discontents. Journal of Economic Perspectives, Vol. 27, (2), 51–72.
● Keeley, M. C. & F. T. Furlong (1990). A Reexamination of Mean-Variance Analysis of Bank Capital Regulation. Journal of Banking and Finance, 14(1990), 69-84.
● Keeley, M. C. (1990). Deposit Insurance, Risk, and Market Power in Banking. The American Economic Review, Vol. 80 (5), 1183-1200.
● Kyle, A. S. (1985). Continuous Auctions and Insider Trading. Econometrica, Vol. 53, (6), 1315-1335.
● Laeven, L. & R. Levine (2008). Bank Governance, Regulation, and Risk Taking. NBER Working Paper, No. 14113.
● Leon, F. (2014). Measuring competition in banking: A critical review of methods. Etudes et Documents, No 12, CERDI, 2014.
● Martinez-Miera, D. & R. Repullo (2010). Does Competition Reduce the Risk of Bank Failure? The Review of Financial Studies, Vol. 23 (10), 3638–3664.
● Miller, M. H. (1986). Financial Innovation: The Last Twenty Years and the Next. Journal of Financial and Quantitative Analysis, 21, 459-471.
● Panzar, J.C., & J.N. Rosse (1987). Testing for monopoly equilibrium. Journal of Industrial Economics, Vol.35, 443–56.
● Pepall, L., D. J. Richards, & G. Norman (2008). Industrial Organization: Contemporary Theory and Empirical Applications, the fourth eds. Blackwell.
● Rime B., (2001). Capital Requirements and Bank Behaviour: Empirical Evidence for Switzerland. Journal of Banking & Finance, Vol. 25, 789-805.
● Schaeck K. & M. Cih´ak (2012). Banking Competition and Capital Ratios. European Financial Management, 18(5), 836-866.
● Shaffer, S. (1982). A Nonstructural Test for Competition in Financial Markets. Proceedings of a Conference on Bank Structure and Competition, 225–243, Federal Reserve Bank of Chicago.
● Shehzad, C. T., J. de Haan, & B. Scholtens (2010), The impact of bank ownership concentration on impaired loans and capital adequacy, Journal of Banking & Finance, 34 (2010), 399–408.
● Turley, R. (2012). Informative Prices and the Cost of Capital Markets. Harvard University working paper.		zh_TW
dc.identifier.doi (DOI) 10.6814/THE.NCCU.MEPA.051.2018.F09-