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題名 商業銀行跨業經營利潤與風險的全球實證分析
作者 張雲翔
貢獻者 沈中華
張雲翔
關鍵詞 銀行跨業經營
政府效能
資產大小
營收結構
日期 2005
上傳時間 17-Sep-2009 19:05:58 (UTC+8)
摘要 本文首先特別針對金融機構跨業經營及轉投資是否有助於銀行績效，進行實證分析。其次探討在不同的政府紀律及管理能力之下，限制度的提高或降低，對於銀行利潤以及風險的影響，將發生何種影響。本文使用46個國家，共計8113家銀行，樣本期間為1995年至1999年進行實證研究。本文發現，政府紀律及管理能力較差的國家，應該盡可能解除其商業銀行在從事證券業、保險業及持有非金融相關事業的限制，以免造成銀行利潤的損失。此外，一國如欲限制其商業銀行從事證券業、保險業及持有非金融相關事業，則此國之政府紀律及管理能力必須具備一定的水準，否則提高限制度將加速其銀行利潤的減少。
本文也針對跨業限制對大、小銀行績效的影響，進行實證分析。並探討在不同的政府效能下，跨業限制對大、小銀行利潤及風險的影響是否會有所不同？本文在利潤面提出「多餘容量假說」，在風險面提出「大銀行追求獲利穩定假說」及「多餘容量假說」，並針對這些假說進行驗證。在這個章節，本文使用44個國家，取各國銀行資產額前5﹪的銀行為大銀行，後5﹪的銀行為小銀行，共計792家銀行，樣本期間為1995年至1999年進行實證研究。本文發現，降低金融機構從事證券業、保險業及持有非金融相關事業之限制，並不會對小銀行的利潤造成任何影響，但降低金融機構從事保險業、不動產及持有非金融相關事業都會對大銀行的利潤造成顯著的影響。此外，銀行風險似乎與能否跨業經營及轉投資無關，而是與銀行的大小有關，即不論大、小銀行能否跨業經營及轉投資，大銀行的風險似乎均較低，而小銀行的風險均較高。
最後，本研究也針對銀行營收結構對獲利與風險的影響進行分析，究竟非利息收入比的提高，對銀行的利潤與風險將產生何種影響？並針對「利息收入比」及「非利息收入比」等變數，給予明確的定義。這個章節的研究對象包含49個國家，共計4915家銀行，樣本期間為1994年至2002年進行實證研究。我們發現，非利息收入比重與銀行的獲利呈現顯著的正相關，換言之，增加銀行業非利息收入比重，似乎有助於提高銀行的獲利。而非利息收入比重與銀行的風險則沒有明顯的相關性。若進一步探討非利息收入的四個細項對銀行獲利的影響。我們發現，手續費收入似乎有助於銀行獲利的提升。至於增加非利息收入中的交易收入比重及其他營業收入比重，也有助於降低銀行的風險。
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描述 博士
國立政治大學
金融研究所
90352506
94
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0903525061
資料類型 thesis
dc.contributor.advisor 沈中華zh_TW
dc.contributor.author (Authors) 張雲翔zh_TW
dc.creator (作者) 張雲翔zh_TW
dc.date (日期) 2005en_US
dc.date.accessioned 17-Sep-2009 19:05:58 (UTC+8)-
dc.date.available 17-Sep-2009 19:05:58 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 19:05:58 (UTC+8)-
dc.identifier (Other Identifiers) G0903525061en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34014-
dc.description (描述) 博士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) 90352506zh_TW
dc.description (描述) 94zh_TW
dc.description.abstract (摘要) 本文首先特別針對金融機構跨業經營及轉投資是否有助於銀行績效，進行實證分析。其次探討在不同的政府紀律及管理能力之下，限制度的提高或降低，對於銀行利潤以及風險的影響，將發生何種影響。本文使用46個國家，共計8113家銀行，樣本期間為1995年至1999年進行實證研究。本文發現，政府紀律及管理能力較差的國家，應該盡可能解除其商業銀行在從事證券業、保險業及持有非金融相關事業的限制，以免造成銀行利潤的損失。此外，一國如欲限制其商業銀行從事證券業、保險業及持有非金融相關事業，則此國之政府紀律及管理能力必須具備一定的水準，否則提高限制度將加速其銀行利潤的減少。
本文也針對跨業限制對大、小銀行績效的影響，進行實證分析。並探討在不同的政府效能下，跨業限制對大、小銀行利潤及風險的影響是否會有所不同？本文在利潤面提出「多餘容量假說」，在風險面提出「大銀行追求獲利穩定假說」及「多餘容量假說」，並針對這些假說進行驗證。在這個章節，本文使用44個國家，取各國銀行資產額前5﹪的銀行為大銀行，後5﹪的銀行為小銀行，共計792家銀行，樣本期間為1995年至1999年進行實證研究。本文發現，降低金融機構從事證券業、保險業及持有非金融相關事業之限制，並不會對小銀行的利潤造成任何影響，但降低金融機構從事保險業、不動產及持有非金融相關事業都會對大銀行的利潤造成顯著的影響。此外，銀行風險似乎與能否跨業經營及轉投資無關，而是與銀行的大小有關，即不論大、小銀行能否跨業經營及轉投資，大銀行的風險似乎均較低，而小銀行的風險均較高。
最後，本研究也針對銀行營收結構對獲利與風險的影響進行分析，究竟非利息收入比的提高，對銀行的利潤與風險將產生何種影響？並針對「利息收入比」及「非利息收入比」等變數，給予明確的定義。這個章節的研究對象包含49個國家，共計4915家銀行，樣本期間為1994年至2002年進行實證研究。我們發現，非利息收入比重與銀行的獲利呈現顯著的正相關，換言之，增加銀行業非利息收入比重，似乎有助於提高銀行的獲利。而非利息收入比重與銀行的風險則沒有明顯的相關性。若進一步探討非利息收入的四個細項對銀行獲利的影響。我們發現，手續費收入似乎有助於銀行獲利的提升。至於增加非利息收入中的交易收入比重及其他營業收入比重，也有助於降低銀行的風險。		zh_TW
dc.description.tableofcontents 第一篇 商業銀行跨業經營之利潤與風險：政府效能的重要
摘要 ……………………………………………………………………1
1. 前言……………………………………………………………2
2. 文獻回顧 ……………………………………………………………4
2.1 金融機構能否跨業經營在風險面的比較 …………………4
2.2 金融機構能否跨業經營在利潤面的比較 …………………6
2.3 政府紀律及管理能力的重要性 ……………………………7
3. 計量模型……………………………………………………………10
4. 實證分析……………………………………………………………13
5. 全球的實證結果……………………………………………………16
5.1 商業銀行跨足證券業對其利潤的影響……………………16
5.2 商業銀行跨足保險業對其利潤的影響……………………17
5.3 商業銀行跨足不動產對其利潤的影響……………………17
5.4 商業銀行持有非金融相關事業對其利潤的影響…………18
5.5 商業銀行跨業經營及轉投資對其風險的影響……………19
5.6 強度檢定……………………………………………………20
6. 討論與結論…………………………………………………………22

第二篇 商業銀行跨業經營之利潤與風險：資產大小的重要
摘要……………………………………………………………………24
1. 前言 …………………………………………………………25
2. 文獻回顧……………………………………………………………25
2.1 大、小銀行具有不同的經營行為…………………………25
2.2 大、小銀行的經營績效並不相同…………………………27
3. 計量模型……………………………………………………………28
3.1 多餘容量假說………………………………………………29
3.2 獲利穩定假說………………………………………………29
3.3 實證模型……………………………………………………31
4. 實證分析……………………………………………………………33
5. 全球的實證結果……………………………………………………35
5.1 大銀行跨業經營及轉投資對其利潤的影響 ………………35
5.2 大銀行跨業經營及轉投資對其風險的影響 ………………37
5.3 小銀行跨業經營及轉投資對其利潤的影響 ………………37
5.4 小銀行跨業經營及轉投資對其風險的影響 ………………38
6. 討論與結論 …………………………………………………………39

第三篇 商業銀行調整營收結構之利潤與風險分析
摘要 ……………………………………………………………………42
1. 前言 …………………………………………………………………43
2. 文獻回顧 ……………………………………………………………44
2.1 調整非利息收入比重對銀行利潤的影響 …………………45
2.2 調整非利息收入比重對銀行風險的影響 …………………46
3. 計量模型 ……………………………………………………………48
4. 實證分析 ……………………………………………………………49
4.1 全球的敘述統計 ……………………………………………49
4.2 台灣的敘述統計 ……………………………………………50
5. 全球的實證結果 ……………………………………………………52
5.1 調整非利息收入比重對銀行獲利的影響 …………………52
5.2 調整非利息收入比重對銀行風險的影響 …………………52
5.3 調整非利息收入的四個細項比重對銀行利潤的影響 ……52
5.4 調整非利息收入的四個細項比重對銀行風險的影響 ……53
6. 討論與結論 …………………………………………………………53
圖表及參考文獻
表1：各國銀行從事四項業務之限制度及各國政府效能 ……54
表2A：跨業經營之變數說明……………………………………56
表2B：大、小銀行的變數統計量………………………………57
表2C：銀行營收結構的變數說明………………………………58
表3：全部樣本國家敘述統計值…………………………………59
表4-1：低所得樣本國家敘述統計值……………………………60
表4-2：中所得樣本國家敘述統計值……………………………61
表4-3：高所得樣本國家敘述統計值……………………………62
表5：大、小銀行的資產報酬率與風險指標值…………………63
表6A：各國大、小銀行的資產額、資產報酬率與風險指標值…64
表6B：大、小銀行何者績效較佳？ ……………………………65
表7：各國銀行面臨系統性風險的時間與衝擊…………………66
表8：跨業經營的全球實證結果…………………………………68
表9：低所得國家實證結果………………………………………69
表10：中所得國家實證結果 ……………………………………70
表11：高所得國家實證結果 ……………………………………71
表12：全球實證結果-G*…………………………………………72
表13：全球實證結果-G與限制度虛擬變數為獨立解釋變數…73
表14：排除ROA大於4％的銀行樣本…………………………74
表15：排除槓桿比率超過30％的銀行…………………………75
表16：排除美國的銀行資料 ……………………………………76
表17：大銀行的全球實證結果 …………………………………77
表18：小銀行的全球實證結果 …………………………………78
表19︰各國銀行業獲利、風險及營收比率 ……………………79
表20A： 營收結構的全球實證結果（模型一） ………………81
表20B： 營收結構的全球實證結果（模型二） ………………82
圖1：營收結構的定義……………………………………………83
圖2：台灣銀行業營收結構趨勢圖（國際定義）………………84
參考文獻…………………………………………………………………85		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0903525061en_US
dc.subject (關鍵詞) 銀行跨業經營zh_TW
dc.subject (關鍵詞) 政府效能zh_TW
dc.subject (關鍵詞) 資產大小zh_TW
dc.subject (關鍵詞) 營收結構zh_TW
dc.title (題名) 商業銀行跨業經營利潤與風險的全球實證分析zh_TW
dc.type (資料類型) thesisen
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