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題名 巴賽爾資本協定（Ⅲ）對臺灣銀行業的影響
Measuring the impact of basel capital requirement Ⅲ on the banking system of Taiwan
作者 游易霖
貢獻者 李桐豪
游易霖
關鍵詞 資本適足率
巴賽爾資本協定（Ⅲ）
日期 2010
上傳時間 4-Sep-2013 10:07:08 (UTC+8)
摘要 本研究利用臺灣的資料粗略評估新版巴賽爾資本適足率規範對銀行體系的影響，以作為監管單位修正銀行資本規範之參考。實證結果顯示：當資本比率不足時，銀行會藉由提高放款利率、代換成較低風險資產或減少持有高風險資產等方式以降低影響分母的風險性資產類項目；及以增資、發行合格債券、保留盈餘等方式增加分子之資本類項目。臺灣的銀行整體而言在資本適足率規範提高時資本增加幅度大於資產減少幅度，暗示銀行業雖然會依據資金成本決定資本化方式，但可能更重視資產規模及業務市占率。反映了臺灣金融機構家數過多導致過度競爭的事實，銀行寧願使用較貴的增資方式也不願意以減少資產或縮減放貸業務等方式達到目標資本比率。從銀行調整資本項目的程度也可發現，在僅規範自有資本適足率時銀行使用成本較低的第二、三類資本去填充總資本以達目標資本比率，難以達到增加銀行業資本穩固性的效果，需進一步規範核心資本適足率始有效提高銀行吸收損失的能力。這樣的結果提供監理單位在修改法令規範上的依據：銀行有使用低成本之資本的誘因，為達到總體審慎之風險管理目的，應增訂核心資本適足率規範，並對核心資本不足之銀行採取立即糾正措施。
In this study, we conducted a rough assessment of the impact of new Basel capital adequacy ratio on Taiwanese banking system as a consultation of regulatory amendment. The empirical results show: when the capital ratio is low, the bank will raise lending rates, reduce lending volume and other risk assets, at the same time raise capital by retaining earnings and issuing qualified bonds. Taiwan`s banks in general increased capital greater than reducing risk weighted assets, suggesting that although the banks would follow the pecking order theory of the cost of capital when capitalization, but may pay more attention to asset size and market share. Reflects the phenomenon of excessive competition over the banking system in Taiwan‐banks would rather use more expensive capital than cutting loans to achieve target capital ratio. We also found that, the effectiveness of regulatory interventions intended to raise banks’ ability to absorb losses may be somewhat muted unless such capital requirements mandate the type of capital that must be raised, the banks had the incentives to favor adjustments to tiers 2 and 3 capital (or to the deductions that they make from total capital) over adjustments to tier 1 capital in order to achieve the target capital ratio. As the result, to effectively improve the banks’ ability to absorb losses, the supervisory units should add the requirements of core capital adequacy ratio and take prompt corrective actions when banks exhibit progressively deteriorating capital ratios.
參考文獻 一、 中文部分
[1] 呂帛晏（2010），「巴賽爾協定帶來的金融新局」，國政分析，財金(析) 099-052 號。
[2] 陳旭昇、湯茹茵（2011），「動態隨機一般均衡（DSGE）模型在貨幣政策制定上的應用：一個帶有批判性的回顧與展望」，經濟論文叢刊。
[3] 張士傑、蔡政憲（2009），「從學術理論到監理實務」，保險事業發展中心。
[4] 黃台心（2009），「計量經濟學」，新陸書局，二版。
二、 英文部分
[1] Allison, Paul D. (1994) “Using panel data to estimate the effects of events.” Sociological Methods and Research 23: 174-199.
[2] Basel Committee on Banking Supervision (2006): “Basel II: International Convergence of Capital Measurement and Capital Standards”, Bank for International Settlements, Revised Framework, Comprehensive Version.
[3] Basel Committee on Banking Supervision (2009): “Strengthening the resilience of the banking sector”, Bank for International Settlements, Consultative Document.
[4] Basel Committee on Banking Supervision (2009): “International framework for liquidity risk measurement, standards and monitoring”, Bank for International Settlements, Consultative Document.
[5] Basel Committee on Banking Supervision (2010): “Countercyclical capital buffer proposal”, Bank for International Settlements, Consultative Document.
[6] Berrospide, J and R Edge (2009): “Linkages between the financial and real sectors: some lessons from the subprime crisis”, Federal Reserve Board, Working Papers.

[7] Elliott, D (2009): “Quantifying the effects on lending of increased capital requirements”, Pew Financial Reform Project Briefing Paper, no 7.
[8] Francis, W and M Osborne (2009a): “On the behaviour and determinants of risk-based capital ratios: revisiting the evidence from UK banking institutions”, UK Financial Services Authority, Occasional Paper Series, no 31.
[9] ——— (2009b): “Bank regulation, capital and credit supply: measuring the impact of prudential standards”, UK Financial Services Authority, Occasional Paper Series, no 36.
[10] Macroeconomic Assessment Group (2010): “Assessing the macroeconomic impact of the transition to stronger capital and liquidity requirements”, Financial Stability Board and the Basel Committee on Banking Supervision, Interim Report.
[11] Modigliani, F., H.M. Miller (1958): “The Cost of Capital, Corporation Finance and the Theory of Investment”, American Economic Review, 48, 261-297.
[12] Modigliani, F., H.M. Miller (1963): “Corporate Income Tax and the Cost of Capital：A correction”, American Economic Review, 53, 433-443.
[13] Myers, S., and N. Majluf (1984): “Corporate Financing and Investment Decisions When Firms Have Information Investors Do Not Have”, Journal of Financial Economics, 13, 187 – 221.
[14] Myers, S. (1984): “The Capital Structure Puzzle”, Journal of Finance, 39, 575-592.
[15] Samuel G. Hanson, Anil K. Kashyap and Jeremy C. Stein (2011): “A Macroprudential Approach to Financial Regulation”, Journal of Economic Perspectives, Vol. 25, Number 1, pp. 3 – 28
描述 碩士
國立政治大學
金融研究所
98352018
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098352018
資料類型 thesis
dc.contributor.advisor 李桐豪zh_TW
dc.contributor.author (Authors) 游易霖zh_TW
dc.creator (作者) 游易霖zh_TW
dc.date (日期) 2010en_US
dc.date.accessioned 4-Sep-2013 10:07:08 (UTC+8)-
dc.date.available 4-Sep-2013 10:07:08 (UTC+8)-
dc.date.issued (上傳時間) 4-Sep-2013 10:07:08 (UTC+8)-
dc.identifier (Other Identifiers) G0098352018en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59965-
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) 98352018zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 本研究利用臺灣的資料粗略評估新版巴賽爾資本適足率規範對銀行體系的影響，以作為監管單位修正銀行資本規範之參考。實證結果顯示：當資本比率不足時，銀行會藉由提高放款利率、代換成較低風險資產或減少持有高風險資產等方式以降低影響分母的風險性資產類項目；及以增資、發行合格債券、保留盈餘等方式增加分子之資本類項目。臺灣的銀行整體而言在資本適足率規範提高時資本增加幅度大於資產減少幅度，暗示銀行業雖然會依據資金成本決定資本化方式，但可能更重視資產規模及業務市占率。反映了臺灣金融機構家數過多導致過度競爭的事實，銀行寧願使用較貴的增資方式也不願意以減少資產或縮減放貸業務等方式達到目標資本比率。從銀行調整資本項目的程度也可發現，在僅規範自有資本適足率時銀行使用成本較低的第二、三類資本去填充總資本以達目標資本比率，難以達到增加銀行業資本穩固性的效果，需進一步規範核心資本適足率始有效提高銀行吸收損失的能力。這樣的結果提供監理單位在修改法令規範上的依據：銀行有使用低成本之資本的誘因，為達到總體審慎之風險管理目的，應增訂核心資本適足率規範，並對核心資本不足之銀行採取立即糾正措施。zh_TW
dc.description.abstract (摘要) In this study, we conducted a rough assessment of the impact of new Basel capital adequacy ratio on Taiwanese banking system as a consultation of regulatory amendment. The empirical results show: when the capital ratio is low, the bank will raise lending rates, reduce lending volume and other risk assets, at the same time raise capital by retaining earnings and issuing qualified bonds. Taiwan`s banks in general increased capital greater than reducing risk weighted assets, suggesting that although the banks would follow the pecking order theory of the cost of capital when capitalization, but may pay more attention to asset size and market share. Reflects the phenomenon of excessive competition over the banking system in Taiwan‐banks would rather use more expensive capital than cutting loans to achieve target capital ratio. We also found that, the effectiveness of regulatory interventions intended to raise banks’ ability to absorb losses may be somewhat muted unless such capital requirements mandate the type of capital that must be raised, the banks had the incentives to favor adjustments to tiers 2 and 3 capital (or to the deductions that they make from total capital) over adjustments to tier 1 capital in order to achieve the target capital ratio. As the result, to effectively improve the banks’ ability to absorb losses, the supervisory units should add the requirements of core capital adequacy ratio and take prompt corrective actions when banks exhibit progressively deteriorating capital ratios.en_US
dc.description.tableofcontents 第壹章. 緒論 1
第一節 研究背景 1
第二節 研究目的 4
第貳章. 文獻探討 5
第一節 巴賽爾資本協定 5
第二節 新資本協定草案評估報告 9
第三節 銀行資本順位理論 12
第參章. 研究方法 14
第一節 決定各銀行內部目標資本比率 15
第二節 計算各銀行資本化程度 16
第三節 估計資產/資本之調整速率 17
第四節 估計方法—FIXED EFFECT PANEL REGRESSION 18
第五節 模擬資本比率增加對銀行的影響 19
第肆章. 實證研究 20
第一節 資料來源與樣本選取 20
第二節 實證結果 23
第伍章. 結論 31
附錄一. 本國銀行內部目標資本比率 33
附錄二. 模擬提高自有資本適足率 34
附錄三. 模擬提高第一類資本適足率 35
參考文獻 36		zh_TW
dc.format.extent 1066491 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098352018en_US
dc.subject (關鍵詞) 資本適足率zh_TW
dc.subject (關鍵詞) 巴賽爾資本協定（Ⅲ）zh_TW
dc.title (題名) 巴賽爾資本協定（Ⅲ）對臺灣銀行業的影響zh_TW
dc.title (題名) Measuring the impact of basel capital requirement Ⅲ on the banking system of Taiwanen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、 中文部分
[1] 呂帛晏（2010），「巴賽爾協定帶來的金融新局」，國政分析，財金(析) 099-052 號。
[2] 陳旭昇、湯茹茵（2011），「動態隨機一般均衡（DSGE）模型在貨幣政策制定上的應用：一個帶有批判性的回顧與展望」，經濟論文叢刊。
[3] 張士傑、蔡政憲（2009），「從學術理論到監理實務」，保險事業發展中心。
[4] 黃台心（2009），「計量經濟學」，新陸書局，二版。
二、 英文部分
[1] Allison, Paul D. (1994) “Using panel data to estimate the effects of events.” Sociological Methods and Research 23: 174-199.
[2] Basel Committee on Banking Supervision (2006): “Basel II: International Convergence of Capital Measurement and Capital Standards”, Bank for International Settlements, Revised Framework, Comprehensive Version.
[3] Basel Committee on Banking Supervision (2009): “Strengthening the resilience of the banking sector”, Bank for International Settlements, Consultative Document.
[4] Basel Committee on Banking Supervision (2009): “International framework for liquidity risk measurement, standards and monitoring”, Bank for International Settlements, Consultative Document.
[5] Basel Committee on Banking Supervision (2010): “Countercyclical capital buffer proposal”, Bank for International Settlements, Consultative Document.
[6] Berrospide, J and R Edge (2009): “Linkages between the financial and real sectors: some lessons from the subprime crisis”, Federal Reserve Board, Working Papers.

[7] Elliott, D (2009): “Quantifying the effects on lending of increased capital requirements”, Pew Financial Reform Project Briefing Paper, no 7.
[8] Francis, W and M Osborne (2009a): “On the behaviour and determinants of risk-based capital ratios: revisiting the evidence from UK banking institutions”, UK Financial Services Authority, Occasional Paper Series, no 31.
[9] ——— (2009b): “Bank regulation, capital and credit supply: measuring the impact of prudential standards”, UK Financial Services Authority, Occasional Paper Series, no 36.
[10] Macroeconomic Assessment Group (2010): “Assessing the macroeconomic impact of the transition to stronger capital and liquidity requirements”, Financial Stability Board and the Basel Committee on Banking Supervision, Interim Report.
[11] Modigliani, F., H.M. Miller (1958): “The Cost of Capital, Corporation Finance and the Theory of Investment”, American Economic Review, 48, 261-297.
[12] Modigliani, F., H.M. Miller (1963): “Corporate Income Tax and the Cost of Capital：A correction”, American Economic Review, 53, 433-443.
[13] Myers, S., and N. Majluf (1984): “Corporate Financing and Investment Decisions When Firms Have Information Investors Do Not Have”, Journal of Financial Economics, 13, 187 – 221.
[14] Myers, S. (1984): “The Capital Structure Puzzle”, Journal of Finance, 39, 575-592.
[15] Samuel G. Hanson, Anil K. Kashyap and Jeremy C. Stein (2011): “A Macroprudential Approach to Financial Regulation”, Journal of Economic Perspectives, Vol. 25, Number 1, pp. 3 – 28		zh_TW