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題名 影響銀行逾期放款比率的因子之研究
A Study of Factors Affecting the Non-Performing Loan Ratio in Banks作者 林欣怡
Lin, Sin-Yi貢獻者 林左裕
Lin, Tso-Yu
林欣怡
Lin, Sin-Yi關鍵詞 逾放比
逾期放款比率
銀行
股價指數
迴歸分析
多元迴歸分析
Non-performing loan ratio
Non -performing loan
Bank
Stock index
Regression analyze
Mutiple regression analyze日期 2024 上傳時間 5-八月-2024 13:29:04 (UTC+8) 摘要 逾放比被廣泛認為是評估銀行業資產品質的重要指標。本研究通過構建多元迴歸模型，並採用逐步迴歸方法實證研究影響逾放比的因素，分析從2000年第一季到2023年第四季的數據。 實證結果表明，失業率、新冠疫情、2008年金融危機和互聯網泡沫與逾放比呈正相關關係；存放比率、ROE、滯後兩期的ROE、滯後兩期的失業率、滯後兩期的股票指數和滯後兩期的2008年金融危機與逾放比呈負相關關係，且迴歸模型表現出良好的解釋力。 基於研究結果，本研究建議銀行應高度重視內部因素和總體經濟。使銀行可以減輕因錯誤的信貸決策而導致的逾放比上升的風險。理解和管理這些因素將有助於銀行維護更健康的金融環境，並確保更穩定的財務表現。對這些因素的適當關注將使銀行能夠制定有效的風險管理策略，從而防止逾期放款的增加。
The non-performing loan ratio is widely regarded as a crucial indicator for evaluating the asset quality of the banking industry. This study constructs a multiple regression model and empirically examines the factors influencing the non-performing loan ratio through a stepwise regression approach. The analysis utilizes data spanning from the first quarter of 2000 to the fourth quarter of 2023. The empirical results show that Unemployment Rate , COVID-19 pandemic , 2008 financial crisis , Dot-com bubble , are positively correlated with the non-performing loan ratio, Loan-to-Deposit Ratio , Return on Equity , lagged two-period Return on Equity, lagged two-period Unemployment Rate ,lagged two-period Stock index , lagged two-period 2008 financial crisis are negatively correlated with the non-performing loan ratio, and the regression model exhibits good explanatory power. Based on the research findings, this study suggests that banks should place significant emphasis on both internal factors and macroeconomic variables. By doing so, banks can mitigate the risk of erroneous credit granting decisions that could lead to an increase in the non-performing loan ratio. Understanding and managing these elements will help banks maintain healthier loan portfolios and ensure more stable financial performance. Proper attention to these factors will enable banks to develop more effective risk management strategies, thereby preventing the escalation of non-performing loans.參考文獻 1. Bliss, R. R., & Kaufman, G. R (2002). Bank Procyclicality, Credit Crunches, and Asymmetric Monetary Policy Effects: A Unifying Model (pp. 1-25). Federal Reserve of Chicago, Working Paper, WP 2002-18 2. Bolat, Süleyman & Işık, Özcan. (2016). Determinants of non-performing loans of deposit banks in Turkey. Pressacademia. 5. 341-350. 3. Berger, A.N. and De Young, R. (1997) Problem Loans and Cost Efficiency in Commercial Banks. Journal of Banking & Finance, 21, 849-870 4. Cecchetti, Stephen G. and Cecchetti, Stephen G. and King, Michael and Yetman, James, Weathering the Financial Crisis: Good Policy or Good Luck? (August 1, 2011). BIS Working Paper No. 351 5. Cebenoyan, A. S., Cooperman, E. S., & Register, C. A. (1995). Deregulation, Reregulation, Equity Ownership, and S&L Risk-Taking. Financial Management, 24(3), 63–76. 6. Cifter, Atilla & Yilmazer, Sait & Cifter, Elif, 2009. "Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey," Economic Modelling, Elsevier, vol. 26(6), pages 1382-1388 7. Dimitrios P. Louzis, Angelos T. Vouldis, Vasilios L. Metaxas, 8. Gonzalez-Hermosillo, B., Pazarbasioglu, C., & Billings, R. (1997). Determinants of Banking System Fragility: A Case Study of Mexico. IMF Staff Papers, 1997(003) 9. Güngör Turan&Arjeta Koskija Nonperforming Loans in Albania. (2014). Academic Journal of Interdisciplinary Studies, 3(3), 491. 10. Handorf, William C and Zhu, Lili, Us Bank Loan-Loss Provisions, Economic Conditions, and Regulatory Guidance. Journal of Applied Finance, Vol. 16, No. 1, Spring/Summer 2006 11. Kashyap, A.K., Rajan, R. and Stein, J.C. (2002) Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-Taking. Journal of Finance, 57, 33-73. 12. Kryzanowski, Lawrence & Liu, Jinjing & Zhang, Jie, 2023. "Effect of COVID-19 on non-performing loans in China," Finance Research Letters, Elsevier, vol. 52(C). 13. Lu, Wenling & Whidbee, David. (2016). US bank failure and bailout during the financial crisis: Examining the determinants of regulatory intervention decisions. Journal of Financial Economic Policy. 8. 316-347. 14. Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios,Journal of Banking & Finance,Volume 36, Issue 4,2012,Pages 1012-1027 15. Messai, A. S., & Jouini, F. (2013). Micro and Macro Determinants of Non-performing Loans. International Journal of Economics and Financial Issues, 3(4), 852–860 16. Packer, Frank and Zhu, Haibin, Loan Loss Provisioning Practices of Asian Banks (April 1, 2012). BIS Working Paper No. 375, 17. Salas, Vicente & Saurina, Jesús. (2002). Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks. Journal of Financial Services Research. 22. 203-224. 18. Schularick, M., & Taylor, A. M. (2012). Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–—2008. The American Economic Review, 102(2) 19. Wall, L., & Koch, T.W. (2000). Bank loan-loss accounting: a review of theoretical and empirical evidence. Econometric Reviews, 85, 1-20. 20. Wood, A.P., & Skinner, N. (2018). Determinants of non-performing loans: evidence from commercial banks in Barbados. 1. 徐紹娟（2021）。銀行逾放比率之影響因素。[國立中山大學碩士論文]。 2. 高健清（2012）。2000年美國網際網路泡沫破滅對台灣中小企業逾期放款及中小企業信保基金代位清償之衝擊。[銘傳大學碩士論文]。 3. 許珮甄（2010）。兩岸商業銀行逾放比之比較研究。[國立交通大學碩士論文]。 4. 鄭逸民（2010）。總體經濟指標與逾期放款比率之關聯性研究－以臺灣土地銀行為例。[國立高雄第一科技大學碩士論文]。 5. 黃文啟（2012）。以 Logit 模式研究借款人特性與不動產抵押貸款提前清償之關係。[政治大學財務管理所碩士論文]。 6. 張麗娟、李育貞（2011）。本國銀行風險管理與財務危機對財務績效之影響。[臺灣銀行季刊，62（1），1-25]。 7. 陳慧瑜（2013）。台灣地區各類型銀行影響逾放比因素之研究。[國立中正大學碩士論文]。 8. 江幸眞（2024）。論銀行股東權益報酬率、逾放比率及 備抵呆帳覆蓋率之間的關係—以第一銀行為例。[國立高雄科技大學碩士論文]。 9. 施至軒（2022）。新冠肺炎前後，台股大盤、產業股價與公司股價之影響差異分析。[國立中山大學碩士論文]。 描述 碩士
國立政治大學
應用經濟與社會發展英語碩士學位學程(IMES)
111266009資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111266009 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.advisor Lin, Tso-Yu en_US dc.contributor.author (作者) 林欣怡 zh_TW dc.contributor.author (作者) Lin, Sin-Yi en_US dc.creator (作者) 林欣怡 zh_TW dc.creator (作者) Lin, Sin-Yi en_US dc.date (日期) 2024 en_US dc.date.accessioned 5-八月-2024 13:29:04 (UTC+8) - dc.date.available 5-八月-2024 13:29:04 (UTC+8) - dc.date.issued (上傳時間) 5-八月-2024 13:29:04 (UTC+8) - dc.identifier (其他 識別碼) G0111266009 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152674 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 應用經濟與社會發展英語碩士學位學程(IMES) zh_TW dc.description (描述) 111266009 zh_TW dc.description.abstract (摘要) 逾放比被廣泛認為是評估銀行業資產品質的重要指標。本研究通過構建多元迴歸模型，並採用逐步迴歸方法實證研究影響逾放比的因素，分析從2000年第一季到2023年第四季的數據。 實證結果表明，失業率、新冠疫情、2008年金融危機和互聯網泡沫與逾放比呈正相關關係；存放比率、ROE、滯後兩期的ROE、滯後兩期的失業率、滯後兩期的股票指數和滯後兩期的2008年金融危機與逾放比呈負相關關係，且迴歸模型表現出良好的解釋力。 基於研究結果，本研究建議銀行應高度重視內部因素和總體經濟。使銀行可以減輕因錯誤的信貸決策而導致的逾放比上升的風險。理解和管理這些因素將有助於銀行維護更健康的金融環境，並確保更穩定的財務表現。對這些因素的適當關注將使銀行能夠制定有效的風險管理策略，從而防止逾期放款的增加。 zh_TW dc.description.abstract (摘要) The non-performing loan ratio is widely regarded as a crucial indicator for evaluating the asset quality of the banking industry. This study constructs a multiple regression model and empirically examines the factors influencing the non-performing loan ratio through a stepwise regression approach. The analysis utilizes data spanning from the first quarter of 2000 to the fourth quarter of 2023. The empirical results show that Unemployment Rate , COVID-19 pandemic , 2008 financial crisis , Dot-com bubble , are positively correlated with the non-performing loan ratio, Loan-to-Deposit Ratio , Return on Equity , lagged two-period Return on Equity, lagged two-period Unemployment Rate ,lagged two-period Stock index , lagged two-period 2008 financial crisis are negatively correlated with the non-performing loan ratio, and the regression model exhibits good explanatory power. Based on the research findings, this study suggests that banks should place significant emphasis on both internal factors and macroeconomic variables. By doing so, banks can mitigate the risk of erroneous credit granting decisions that could lead to an increase in the non-performing loan ratio. Understanding and managing these elements will help banks maintain healthier loan portfolios and ensure more stable financial performance. Proper attention to these factors will enable banks to develop more effective risk management strategies, thereby preventing the escalation of non-performing loans. en_US dc.description.tableofcontents 1 Introduction 1.1 Research Background-1 1.2 Research Motivation-4 1.3 Research Scope and Objectives-8 1.4 Framework-9 2 Literature Review 2.1 Definition and Significance of Non-Performing Loan Ratio-10 2.2 Literature Review on Factors Affecting the Non-Performing Loan Ratio-12 2.2.1 Literature Review on the Impact of Internal Bank Factors -12 2.2.2 Literature Review on the Impact of Macroeconomic Indicators-16 2.2.3 Literature Review on the Impact of Macroeconomic Shocks-19 2.3 Summary of Expected Results-22 3 Methodology 3.1 Correlation analysis-24 3.2 Regression analysis-24 3.2.1 Multiple Regression Least Squares Method-26 3.2.2 Regression Basic Assumptions-26 3.2.3 Collinearity Issue-27 3.2.4 Parameter Estimation-28 3.2.5 Testing the statistical significance of individual regression coefficients (T-test) -29 3.2.6 Testing the statistical significance of the regression model (F-test) -30 3.2.7 Stepwise regression Backward Selection method-31 4 Empirical Analysis and Results 4.1 Sample Data Description-32 4.1.1 Sample and data overview-32 4.1.2 Descriptive statistics and data interpretation-33 4.2 Empirical Analysis and Results-34 4.2.1 Regression analysis -35 4.2.2 Summary of Empirical Analysis -49 5 Conclusion and Recommendation 5.1 Conclusion-51 5.2 Recommendation-52 References 54 zh_TW dc.format.extent 1616643 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111266009 en_US dc.subject (關鍵詞) 逾放比 zh_TW dc.subject (關鍵詞) 逾期放款比率 zh_TW dc.subject (關鍵詞) 銀行 zh_TW dc.subject (關鍵詞) 股價指數 zh_TW dc.subject (關鍵詞) 迴歸分析 zh_TW dc.subject (關鍵詞) 多元迴歸分析 zh_TW dc.subject (關鍵詞) Non-performing loan ratio en_US dc.subject (關鍵詞) Non -performing loan en_US dc.subject (關鍵詞) Bank en_US dc.subject (關鍵詞) Stock index en_US dc.subject (關鍵詞) Regression analyze en_US dc.subject (關鍵詞) Mutiple regression analyze en_US dc.title (題名) 影響銀行逾期放款比率的因子之研究 zh_TW dc.title (題名) A Study of Factors Affecting the Non-Performing Loan Ratio in Banks en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Bliss, R. R., & Kaufman, G. R (2002). Bank Procyclicality, Credit Crunches, and Asymmetric Monetary Policy Effects: A Unifying Model (pp. 1-25). Federal Reserve of Chicago, Working Paper, WP 2002-18 2. Bolat, Süleyman & Işık, Özcan. (2016). Determinants of non-performing loans of deposit banks in Turkey. Pressacademia. 5. 341-350. 3. Berger, A.N. and De Young, R. (1997) Problem Loans and Cost Efficiency in Commercial Banks. Journal of Banking & Finance, 21, 849-870 4. Cecchetti, Stephen G. and Cecchetti, Stephen G. and King, Michael and Yetman, James, Weathering the Financial Crisis: Good Policy or Good Luck? (August 1, 2011). BIS Working Paper No. 351 5. Cebenoyan, A. S., Cooperman, E. S., & Register, C. A. (1995). Deregulation, Reregulation, Equity Ownership, and S&L Risk-Taking. Financial Management, 24(3), 63–76. 6. Cifter, Atilla & Yilmazer, Sait & Cifter, Elif, 2009. "Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey," Economic Modelling, Elsevier, vol. 26(6), pages 1382-1388 7. Dimitrios P. Louzis, Angelos T. Vouldis, Vasilios L. Metaxas, 8. Gonzalez-Hermosillo, B., Pazarbasioglu, C., & Billings, R. (1997). Determinants of Banking System Fragility: A Case Study of Mexico. IMF Staff Papers, 1997(003) 9. Güngör Turan&Arjeta Koskija Nonperforming Loans in Albania. (2014). Academic Journal of Interdisciplinary Studies, 3(3), 491. 10. Handorf, William C and Zhu, Lili, Us Bank Loan-Loss Provisions, Economic Conditions, and Regulatory Guidance. Journal of Applied Finance, Vol. 16, No. 1, Spring/Summer 2006 11. Kashyap, A.K., Rajan, R. and Stein, J.C. (2002) Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-Taking. Journal of Finance, 57, 33-73. 12. Kryzanowski, Lawrence & Liu, Jinjing & Zhang, Jie, 2023. "Effect of COVID-19 on non-performing loans in China," Finance Research Letters, Elsevier, vol. 52(C). 13. Lu, Wenling & Whidbee, David. (2016). US bank failure and bailout during the financial crisis: Examining the determinants of regulatory intervention decisions. Journal of Financial Economic Policy. 8. 316-347. 14. Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios,Journal of Banking & Finance,Volume 36, Issue 4,2012,Pages 1012-1027 15. Messai, A. S., & Jouini, F. (2013). Micro and Macro Determinants of Non-performing Loans. International Journal of Economics and Financial Issues, 3(4), 852–860 16. Packer, Frank and Zhu, Haibin, Loan Loss Provisioning Practices of Asian Banks (April 1, 2012). BIS Working Paper No. 375, 17. Salas, Vicente & Saurina, Jesús. (2002). Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks. Journal of Financial Services Research. 22. 203-224. 18. Schularick, M., & Taylor, A. M. (2012). Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–—2008. The American Economic Review, 102(2) 19. Wall, L., & Koch, T.W. (2000). Bank loan-loss accounting: a review of theoretical and empirical evidence. Econometric Reviews, 85, 1-20. 20. Wood, A.P., & Skinner, N. (2018). Determinants of non-performing loans: evidence from commercial banks in Barbados. 1. 徐紹娟（2021）。銀行逾放比率之影響因素。[國立中山大學碩士論文]。 2. 高健清（2012）。2000年美國網際網路泡沫破滅對台灣中小企業逾期放款及中小企業信保基金代位清償之衝擊。[銘傳大學碩士論文]。 3. 許珮甄（2010）。兩岸商業銀行逾放比之比較研究。[國立交通大學碩士論文]。 4. 鄭逸民（2010）。總體經濟指標與逾期放款比率之關聯性研究－以臺灣土地銀行為例。[國立高雄第一科技大學碩士論文]。 5. 黃文啟（2012）。以 Logit 模式研究借款人特性與不動產抵押貸款提前清償之關係。[政治大學財務管理所碩士論文]。 6. 張麗娟、李育貞（2011）。本國銀行風險管理與財務危機對財務績效之影響。[臺灣銀行季刊，62（1），1-25]。 7. 陳慧瑜（2013）。台灣地區各類型銀行影響逾放比因素之研究。[國立中正大學碩士論文]。 8. 江幸眞（2024）。論銀行股東權益報酬率、逾放比率及 備抵呆帳覆蓋率之間的關係—以第一銀行為例。[國立高雄科技大學碩士論文]。 9. 施至軒（2022）。新冠肺炎前後，台股大盤、產業股價與公司股價之影響差異分析。[國立中山大學碩士論文]。 zh_TW
