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題名 巴塞爾協定三：以流動性指標探討銀行之風險
Basel Ⅲ：Identification of Bank Risk by the Net Stable Funding ratio
作者 楊旭文
貢獻者 李桐豪
楊旭文
關鍵詞 巴塞爾協定
流動性
淨穩定資金比率
銀行監理
日期 2011
上傳時間 30-Oct-2012 11:24:12 (UTC+8)
摘要 2008年全球金融海嘯席捲全球，重創各國股市經濟，許多歷史悠久的大型金融機構紛紛倒閉或被迫接管，如英國北岩銀行(Northern Rock)、美國雷曼兄弟公司、IndyMac、美林證券、AIG等。雖然各國政府為了挽救投資者的信心，舒緩金融危機與經濟衝擊，不斷提出各種救市方案並向市場挹注資金，卻還是無法解決市場流動性危機，因而這次的金融海嘯被堪稱為史上最大的流動性危機。本研究採用二元Logistic迴歸方法，以台灣本土銀行為樣本，樣本期間為2003年至2010年，利用CAMEL指標並加入Basel III所提出的流動性指標：淨穩定資金比率(Net Stable Funding ratio)，檢測淨穩定資金比率是否能夠提高解釋銀行違約倒閉機率以及增加模型預測能力，進一步能夠有效地監管銀行之風險。本研究結果顯示除了CAMEL指標可以解釋台灣本土銀行風險機率，同時顯示使用淨穩定資金比率可以解釋銀行風險，增加模型預測能力，進而能夠更有效地監管銀行之風險。最後，本研究利用隨機抽樣法與時間序列法檢驗本模型的預測能力，並且透過設立不同的門檻比率進行穩健性測試，測試不同情況下各種指標因子對銀行風險的顯著性與影響力，再次說明了流動性指標對銀行監理的重要性。
參考文獻 壹、中文部分
王濟川、郭志剛(2003)。Logistic迴歸模型-方法及應用。台北市：五南。
周心怡(2004)。拔靴法(Bootstrap)之探討及其應用，桃園：中央大學統計研究所碩士論文。
張麗娟、李育真(2011)。本國銀行風險管理與財務危機對財務績效之影響。台灣銀行季刊，1-25。
陳美菊(2009)。全球金融危機之成因、影響及因應。中華民國行政院經濟建設委員會經濟研究，第九期，第10篇。
郭秋榮(2003)。巴塞爾銀行監理委員會資本適足率之規範及其新制之影響。中華民國行政院經濟建設委員會經濟研究，第三期，第4篇。
鍾經樊(2011)。涵蓋信用風險、銀行間傳染風險、與流動性風險的台灣金融系統風險量化模型。中央銀行季刊，第三十三卷，第二期，第4篇，13-40。

貳、西文部分
Adrian Blundell-WignallPaul, Atkinson, 2010,“Thinking beyond Basel III: Necessary Solutions for Capital and Liquidity, ” OECD Journal: Financial Market Trends,Volume 2010 – Issue 1.
Alain Angora, Caroline Roulet , 2011, “Liquidity Assessment and the Use of Liquidity Ratio as Defined in the Basel III Accords to Identify Bank Distress,”Universite de Limoges, LAPE, 5 rue Felix Eboue, 87031 Limoges Cedex, France.
Altman E., (1977), “Predicting performance in the savings and loan association Industry,” Journal of Monetary Economics, Vol 3, No 4, pp. 443-466.
Arena M, 2005, “Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data,” Bank of Canada, Working paper.
Asim Ijaz Khwaja, Atif Mian, 2008,“Tracing the Impact of Bank Liquidity Shocks:Evidence from an Emerging Market,” The American Economic Review, Vol. 98, No. 4, pp. 1413-1442.
Avery R., Hanweck G., 1984, “A dynamic analysis of bank failures, bank structure and competition,” Federal Reserve Bank of Chicago, Conference Proceedings.
“Basel III: framework for liquidity - Frequently asked questions,” 2011, Bank of International Settlements, Consultative Document.
“Basel III: International framework for liquidity risk, measurement and monitoring”, 2010, Bank of International Settlements, Consultative Document.
Barth J., Brumbaugh R., Sauerhaft D., Wang G., 1985, “Thrift institution failures:Causes and policy issues,” Federal Reserve Bank of Chicago, Conference Proceedings.
Barth, J. R., Nolle, D. E., Phumiwasana, T., and Yago, G. (2003), “A Cross-Country Analysis of the Bank Supervisory Framework and Bank Performance,”Financial Markets, Institutions & Instruments, Vol. 12, 67-120.
Benston G., 1985, “An analysis of the causes of savings loan association failures,”New York University, Monograph Series in Finance and Economics.
Berger A. N., Bouwman C. H. S., 2009, “Bank liquidity creation, monetary policy and financial crises,” Working Paper.
Berger A. N., Bouwman C. H. S., 2010, “Bank liquidity creation and risk taking during distress,” Working Paper.
Bongini P., Claessens S., Ferri G., (2001), “The Political Economy of Distress in East Asian Financial Institutions,” Journal of Financial Services Research, Vol19, No 1, pp.5-25.
Bourke, P. (1989), “Concentration and Other Determinants of Bank Profitability in Europe, North America and Australia,” Journal of Banking and Finance,Vol. 13, 65-79.
Chen Y. K., Kao L. F., Shen C. H., Yeh C. Y., 2010, “Bank liquidity risk and Performance,” International Monetary Fund, Working Paper.
Demirgüç-Kunt, A., and Huizinga, H. (1999), “Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence,” World Bank Economic Review, Vol.13, 379-408.
Demirguc-Kunt A., 1990, “Deposit institutions failures: A review of empirical Literature,” Federal Reserve of Cleveland, Working Paper.
Demirgüç-Kunt, A., Laeven, L., and Levine, R. (2003), “The Impact of Bank Regulations, Concentration, and Institutions on Bank Margins,” World Bank Policy Research Working Paper NO. 3030.
Diamond D. W., Rajan R. G., 2001, “Liquidity risk, liquidity creation, and financial fragility: a theory of banking,” Journal of Political Economy, Vol 109, No 2, pp.287-327.
Douglas W. Diamond, Raghuram G. RajanReviewed, 2005,“Liquidity Shortages and Banking Crises,” The Journal of Finance, Vol. 60, No. 2, pp. 615-647Published.
Douglas W. Diamond Philip H. Dybvig, 2000, “Bank Runs, Deposit Insurance, and Liquidity,” Federal Reserve Bank of Minneapolis Quarterly Review Vol. 24, No. 1, Winter 2000, pp. 14–23.
Elisabeta Pana, J. Tim Query, Jin Park, 2010, “The Impact of Bank Mergers on Liquidity Creation,” Journal of Risk Management in Financial Institutions, Forthcoming.
Festic M., Kavkler A., Repina S., 2010, “ The macroeconomic sources of systemic risk in the banking sectors of five new UE member states,” Journal of Banking and Finance, Vol 34, No 11, pp. 2573-2836.
“Funding liquidity risk : definition and measurement,” 2010, Bank of International Settlements, working papers NO 316.
Gajewsky G., 1988, “Bank risk, regulator behaviour, and closure in the mid 1980’s: A two step Logit model,” George Washington University, PhD Dissertation.
Gary Gorton, Lixin Huang, 2004, “Liquidity, Efficiency, and Bank Bailouts,” The American Economic Review, Vol. 94, No. 3, pp. 455-483Published.
Gianfranco A. Vento, Pasquale La Ganga, 2009, “Bank Liquidity Risk Management and Supervision: Which Lessons from Recent Market Turmoil,” Journal of Money, Investment and Banking ISSN 1450-288X Issue 10.
Kaminsky G., Reinhart C., 1996, “The twin crises: The causes of banking and balance of payments problems,” Washington Board of Governors of the Federal Reserve System, Discussion paper.
Kosmidou, K., Tanna, S., and Pasiouras, F.(2005), “Determinants of Profitability of Domestic UK Commercial Banks: Panel Evidence from the Period 1995-2002,” Money Macro and Finance (MMF) Research Group Conference.
Loutskina E., 2010, “The role of securitization in bank liquidity and funding Management,” Journal of Financial Economics, Forthcoming.
Martin D., 1977, “Early warning of bank failure,” Journal of Banking and Finance, No 1, pp. 249-276.
Molyneux, P., and Thornton, J. (1992), “Determinants of European Bank Profitability: A Note,” Journal of Banking and Finance, Vol. 16, 1173-1178.
Naceur, S. B., and Kandil, M. (2009), “The Impact of Capital Requirements on Banks` Cost of Intermediation and Performance: The Case of Egypt,” Journal of Economics and Business, Vol. 61, 70-89.
Ojo, Marianne,2010, “Preparing for Basel IV: why liquidity risks still present a challenge to regulators in prudential supervision,” MPRA Paper No. 27627,posted 21.
Pasiouras, F., and Kosmidou, K. (2007), “Factors Influencing the Profitability of Domestic and Foreign Commercial Banks in the European Union,” Research in
International Business and Finance, Vol. 21, 222-237.
Ray Barrell, E Philip Davis, Tatiana Fic, Dawn Holland,Simon Kirby, Iana Liadze, 2009, “Optimal regulation of bank capital and liquidity: how to calibrate new international standards,” No 38, Occasional Papers from Financial Services Authority.
Sinkey J., (1975), “A multivariate statistical analysis of the characteristics of banks,”The Journal of Finance, Vol 30, No 1, pp. 21-36.
Shehzad C.T., Haad J. de, Scholtens B.,2010,“The impact of bank ownership concentration on impaired loans and capital adequacy,” Journal of Banking & Finance 34,399–408.
Shen, C.-H., Kuo, C.-J., and Chen, H.-J.(2001), “Determinants of Net Interest Margins in Taiwan Banking Industry,” Journal of Financial Studies, Vol. 9,
47-83.
Shen C. H., 2004, “Prediction of bank failure using combined micro and macro data,” Working Paper.
描述 碩士
國立政治大學
金融研究所
99352009
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099352009
資料類型 thesis
dc.contributor.advisor 李桐豪zh_TW
dc.contributor.author (Authors) 楊旭文zh_TW
dc.creator (作者) 楊旭文zh_TW
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 11:24:12 (UTC+8)-
dc.date.available 30-Oct-2012 11:24:12 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 11:24:12 (UTC+8)-
dc.identifier (Other Identifiers) G0099352009en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54582-
dc.description (描述) 碩士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) 99352009zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 2008年全球金融海嘯席捲全球，重創各國股市經濟，許多歷史悠久的大型金融機構紛紛倒閉或被迫接管，如英國北岩銀行(Northern Rock)、美國雷曼兄弟公司、IndyMac、美林證券、AIG等。雖然各國政府為了挽救投資者的信心，舒緩金融危機與經濟衝擊，不斷提出各種救市方案並向市場挹注資金，卻還是無法解決市場流動性危機，因而這次的金融海嘯被堪稱為史上最大的流動性危機。本研究採用二元Logistic迴歸方法，以台灣本土銀行為樣本，樣本期間為2003年至2010年，利用CAMEL指標並加入Basel III所提出的流動性指標：淨穩定資金比率(Net Stable Funding ratio)，檢測淨穩定資金比率是否能夠提高解釋銀行違約倒閉機率以及增加模型預測能力，進一步能夠有效地監管銀行之風險。本研究結果顯示除了CAMEL指標可以解釋台灣本土銀行風險機率，同時顯示使用淨穩定資金比率可以解釋銀行風險，增加模型預測能力，進而能夠更有效地監管銀行之風險。最後，本研究利用隨機抽樣法與時間序列法檢驗本模型的預測能力，並且透過設立不同的門檻比率進行穩健性測試，測試不同情況下各種指標因子對銀行風險的顯著性與影響力，再次說明了流動性指標對銀行監理的重要性。zh_TW
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 6
第三節 研究架構與流程 7
第二章 文獻探討 9
第一節 巴塞爾協定三─流動性風險測量標準和監測的國際框架 9
第二節 流動性與銀行績效風險 12
第三章 研究模型 14
第一節 研究樣本 14
第二節 研究方法 16
第三節 研究變數 18
第四章 研究結果 20
第一節 實證結果 20
第二節 模型預測 23
第三節 穩健性測試 25
第五章 結論與建議 27
參考文獻 52		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099352009en_US
dc.subject (關鍵詞) 巴塞爾協定zh_TW
dc.subject (關鍵詞) 流動性zh_TW
dc.subject (關鍵詞) 淨穩定資金比率zh_TW
dc.subject (關鍵詞) 銀行監理zh_TW
dc.title (題名) 巴塞爾協定三：以流動性指標探討銀行之風險zh_TW
dc.title (題名) Basel Ⅲ：Identification of Bank Risk by the Net Stable Funding ratioen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 壹、中文部分
王濟川、郭志剛(2003)。Logistic迴歸模型-方法及應用。台北市：五南。
周心怡(2004)。拔靴法(Bootstrap)之探討及其應用，桃園：中央大學統計研究所碩士論文。
張麗娟、李育真(2011)。本國銀行風險管理與財務危機對財務績效之影響。台灣銀行季刊，1-25。
陳美菊(2009)。全球金融危機之成因、影響及因應。中華民國行政院經濟建設委員會經濟研究，第九期，第10篇。
郭秋榮(2003)。巴塞爾銀行監理委員會資本適足率之規範及其新制之影響。中華民國行政院經濟建設委員會經濟研究，第三期，第4篇。
鍾經樊(2011)。涵蓋信用風險、銀行間傳染風險、與流動性風險的台灣金融系統風險量化模型。中央銀行季刊，第三十三卷，第二期，第4篇，13-40。

貳、西文部分
Adrian Blundell-WignallPaul, Atkinson, 2010,“Thinking beyond Basel III: Necessary Solutions for Capital and Liquidity, ” OECD Journal: Financial Market Trends,Volume 2010 – Issue 1.
Alain Angora, Caroline Roulet , 2011, “Liquidity Assessment and the Use of Liquidity Ratio as Defined in the Basel III Accords to Identify Bank Distress,”Universite de Limoges, LAPE, 5 rue Felix Eboue, 87031 Limoges Cedex, France.
Altman E., (1977), “Predicting performance in the savings and loan association Industry,” Journal of Monetary Economics, Vol 3, No 4, pp. 443-466.
Arena M, 2005, “Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data,” Bank of Canada, Working paper.
Asim Ijaz Khwaja, Atif Mian, 2008,“Tracing the Impact of Bank Liquidity Shocks:Evidence from an Emerging Market,” The American Economic Review, Vol. 98, No. 4, pp. 1413-1442.
Avery R., Hanweck G., 1984, “A dynamic analysis of bank failures, bank structure and competition,” Federal Reserve Bank of Chicago, Conference Proceedings.
“Basel III: framework for liquidity - Frequently asked questions,” 2011, Bank of International Settlements, Consultative Document.
“Basel III: International framework for liquidity risk, measurement and monitoring”, 2010, Bank of International Settlements, Consultative Document.
Barth J., Brumbaugh R., Sauerhaft D., Wang G., 1985, “Thrift institution failures:Causes and policy issues,” Federal Reserve Bank of Chicago, Conference Proceedings.
Barth, J. R., Nolle, D. E., Phumiwasana, T., and Yago, G. (2003), “A Cross-Country Analysis of the Bank Supervisory Framework and Bank Performance,”Financial Markets, Institutions & Instruments, Vol. 12, 67-120.
Benston G., 1985, “An analysis of the causes of savings loan association failures,”New York University, Monograph Series in Finance and Economics.
Berger A. N., Bouwman C. H. S., 2009, “Bank liquidity creation, monetary policy and financial crises,” Working Paper.
Berger A. N., Bouwman C. H. S., 2010, “Bank liquidity creation and risk taking during distress,” Working Paper.
Bongini P., Claessens S., Ferri G., (2001), “The Political Economy of Distress in East Asian Financial Institutions,” Journal of Financial Services Research, Vol19, No 1, pp.5-25.
Bourke, P. (1989), “Concentration and Other Determinants of Bank Profitability in Europe, North America and Australia,” Journal of Banking and Finance,Vol. 13, 65-79.
Chen Y. K., Kao L. F., Shen C. H., Yeh C. Y., 2010, “Bank liquidity risk and Performance,” International Monetary Fund, Working Paper.
Demirgüç-Kunt, A., and Huizinga, H. (1999), “Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence,” World Bank Economic Review, Vol.13, 379-408.
Demirguc-Kunt A., 1990, “Deposit institutions failures: A review of empirical Literature,” Federal Reserve of Cleveland, Working Paper.
Demirgüç-Kunt, A., Laeven, L., and Levine, R. (2003), “The Impact of Bank Regulations, Concentration, and Institutions on Bank Margins,” World Bank Policy Research Working Paper NO. 3030.
Diamond D. W., Rajan R. G., 2001, “Liquidity risk, liquidity creation, and financial fragility: a theory of banking,” Journal of Political Economy, Vol 109, No 2, pp.287-327.
Douglas W. Diamond, Raghuram G. RajanReviewed, 2005,“Liquidity Shortages and Banking Crises,” The Journal of Finance, Vol. 60, No. 2, pp. 615-647Published.
Douglas W. Diamond Philip H. Dybvig, 2000, “Bank Runs, Deposit Insurance, and Liquidity,” Federal Reserve Bank of Minneapolis Quarterly Review Vol. 24, No. 1, Winter 2000, pp. 14–23.
Elisabeta Pana, J. Tim Query, Jin Park, 2010, “The Impact of Bank Mergers on Liquidity Creation,” Journal of Risk Management in Financial Institutions, Forthcoming.
Festic M., Kavkler A., Repina S., 2010, “ The macroeconomic sources of systemic risk in the banking sectors of five new UE member states,” Journal of Banking and Finance, Vol 34, No 11, pp. 2573-2836.
“Funding liquidity risk : definition and measurement,” 2010, Bank of International Settlements, working papers NO 316.
Gajewsky G., 1988, “Bank risk, regulator behaviour, and closure in the mid 1980’s: A two step Logit model,” George Washington University, PhD Dissertation.
Gary Gorton, Lixin Huang, 2004, “Liquidity, Efficiency, and Bank Bailouts,” The American Economic Review, Vol. 94, No. 3, pp. 455-483Published.
Gianfranco A. Vento, Pasquale La Ganga, 2009, “Bank Liquidity Risk Management and Supervision: Which Lessons from Recent Market Turmoil,” Journal of Money, Investment and Banking ISSN 1450-288X Issue 10.
Kaminsky G., Reinhart C., 1996, “The twin crises: The causes of banking and balance of payments problems,” Washington Board of Governors of the Federal Reserve System, Discussion paper.
Kosmidou, K., Tanna, S., and Pasiouras, F.(2005), “Determinants of Profitability of Domestic UK Commercial Banks: Panel Evidence from the Period 1995-2002,” Money Macro and Finance (MMF) Research Group Conference.
Loutskina E., 2010, “The role of securitization in bank liquidity and funding Management,” Journal of Financial Economics, Forthcoming.
Martin D., 1977, “Early warning of bank failure,” Journal of Banking and Finance, No 1, pp. 249-276.
Molyneux, P., and Thornton, J. (1992), “Determinants of European Bank Profitability: A Note,” Journal of Banking and Finance, Vol. 16, 1173-1178.
Naceur, S. B., and Kandil, M. (2009), “The Impact of Capital Requirements on Banks` Cost of Intermediation and Performance: The Case of Egypt,” Journal of Economics and Business, Vol. 61, 70-89.
Ojo, Marianne,2010, “Preparing for Basel IV: why liquidity risks still present a challenge to regulators in prudential supervision,” MPRA Paper No. 27627,posted 21.
Pasiouras, F., and Kosmidou, K. (2007), “Factors Influencing the Profitability of Domestic and Foreign Commercial Banks in the European Union,” Research in
International Business and Finance, Vol. 21, 222-237.
Ray Barrell, E Philip Davis, Tatiana Fic, Dawn Holland,Simon Kirby, Iana Liadze, 2009, “Optimal regulation of bank capital and liquidity: how to calibrate new international standards,” No 38, Occasional Papers from Financial Services Authority.
Sinkey J., (1975), “A multivariate statistical analysis of the characteristics of banks,”The Journal of Finance, Vol 30, No 1, pp. 21-36.
Shehzad C.T., Haad J. de, Scholtens B.,2010,“The impact of bank ownership concentration on impaired loans and capital adequacy,” Journal of Banking & Finance 34,399–408.
Shen, C.-H., Kuo, C.-J., and Chen, H.-J.(2001), “Determinants of Net Interest Margins in Taiwan Banking Industry,” Journal of Financial Studies, Vol. 9,
47-83.
Shen C. H., 2004, “Prediction of bank failure using combined micro and macro data,” Working Paper.		zh_TW