| dc.contributor.advisor | 沈中華<br>黃台心 | zh_TW |
| dc.contributor.author (Authors) | 陳庭萱 | zh_TW |
| dc.creator (作者) | 陳庭萱 | zh_TW |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 29-Sep-2011 16:50:30 (UTC+8) | - |
| dc.date.available | 29-Sep-2011 16:50:30 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Sep-2011 16:50:30 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094352502 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/50841 | - |
| 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) | 94352502 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 一、出事銀行的流動性創造 流動性創造是銀行的主要功能之一，但從傳統的存放款到近年來蓬勃發展的表外交易，銀行長期頻繁地使用以短支長的工具，流動性創造最後竟成了次貸危機銀行受傷的一個關鍵原因。本文以次貸危機期間美國和歐盟共18個國家的商業銀行為研究對象，檢視其流動性創造的效果，並將出事銀行區分為擠兌銀行、紓困銀行和倒閉銀行，呈現流動性創造帶來的不同衝擊。此外，本文還進一步地分析銀行盈餘結構轉變造成的影響，觀察是否會增加或抑制原先流動性創造的效果。 實證結果顯示，高度的流動性創造會增加銀行出事的可能性，且收入多角化程度的提高，會更增加流動性創造帶來的負面效果。而以市場為基礎的國家，因為銀行活動和市場相關性高，能夠創造出較多的流動性，但銀行出事時，也容易選擇紓困銀行而不讓其倒閉，避免對整體金融環境造成太大的負外部性。最後，限制銀行從事證券活動，則有助於銀行免於紓困。 二、成本管理的銀行效率 本文是第一篇結合成本管理和銀行效率的研究。在盈餘管理的文獻中，呆帳費用 (Provision for Loan Loss, PLL) 被認為是銀行最常用來操弄盈餘的科目。因為它是銀行最大的應計項目，經理人往往利用將其提前或遞延認列來進行盈餘管理。甚至，政府的寬容政策、管制改變和企業醜聞等因素，也都會讓呆帳費用產生大幅波動。然而，呆帳費用是總成本的一部份，所有造成呆帳費用波動的原因，都可能進一步影響總成本，使總成本也大幅波動，本文將這樣的影響稱之為「成本管理」。過往成本效率的研究，使用的都是經過成本管理的總成本，而偏離真正總成本的結果導致銀行的效率表現也容易錯估。 本文提出了一個降低財報上呆帳費用波動的方法，盡可能地讓其在當期認列，成為符合經濟意涵的呆帳費用 (即「經濟呆帳費用」)。然後，用經濟呆帳費用求得當期理論上的總成本 (即「經濟總成本」)，並重新對台灣29家商業銀行的成本效率進行估計。實證結果顯示，經濟總成本不但遠高於財報上的總成本，所估得的效率排名也和原先有很大的不同，但明顯較符合現實狀況。 | zh_TW |
| dc.description.tableofcontents | 第1章 緒論 1.1 出事銀行的流動性創造 8 1.2 成本管理的銀行效率 10 第2章 出事銀行的流動性創造 2.1 前言 12 2.2 流動性創造的衡量 18 2.3 三種類型的出事銀行 19 2.4 Multinominal Probit Model 21 2.5 資料來源 24 2.6 實證結果 25 2.6.1 流動性創造情形 25 2.6.2 基本財務變數分析 28 2.6.3 回歸結果 31 2.6.4 穩健性測試 34 2.7小結 35 參考文獻 36 圖 38 表 44 第3章 成本管理的銀行效率 3.1 前言 59 3.2 成本管理 63 3.3 經濟成本的衡量 64 3.3.1 EL1 65 3.3.2 EL2 67 3.4 成本效率模型 67 3.5 資料來源 70 3.6 實證結果 70 3.6.1 敘述統計量和經濟呆帳費用的估算 70 3.6.2 成本效率 73 3.6.3 穩健性測試 75 3.7 小結 76 參考文獻 78 圖 81 表 83 第4章 結論 4.1 出事銀行的流動性創造 93 4.2 成本管理的銀行效率 94 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094352502 | en_US |
| dc.subject (關鍵詞) | 流動性創造 | zh_TW |
| dc.subject (關鍵詞) | 次貸危機 | zh_TW |
| dc.subject (關鍵詞) | 收入多角化 | zh_TW |
| dc.subject (關鍵詞) | 成本效率 | zh_TW |
| dc.subject (關鍵詞) | 成本管理 | zh_TW |
| dc.subject (關鍵詞) | 呆帳費用 | zh_TW |
| dc.title (題名) | 出事銀行的流動性創造與成本管理的銀行效率 | zh_TW |
| dc.type (資料類型) | thesis | en |
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