臺灣博碩士論文加值系統

銀行產業的國際化及全球化是不可避免的趨勢，使銀行的經營風險也相對提升；有鑑於此，國際清算銀行(Bank of International Settlements)為降低銀行的風險，於1999年提出巴賽爾資本協定II (Basel II)，規定資本適足率不得低於8%，突顯資本適足率的重要，確立國際統一之銀行風險衡量標準，並更進一步強調國家風險對銀行信用風險之重要影響。而2008年金融海嘯嚴重影響國際金融發展，為因應金融海嘯後的情勢，巴塞爾銀行監理委員會在2010年提出巴賽爾協定III (Basel III)，自2013年開始逐年提高銀行的資本要求，預計在2019年資本適足率將達到10.5%，本研究探討現行資本適足率8%之規定是否太低，以至於無法控制風險?而Basel III提高資本適足率的規定是否對台灣銀行業經營造成影響?本研究應用Chen et al. (2010)之兩階段DEA，衡量台灣商業銀行經營效率，並利用最適中間投入概念，尋找每個銀行之最適資本適足率，研究樣本取自台灣經濟新報資料庫(TEJ)，包含31家本國商業銀行，期間涵蓋2007年至2009年共31家銀行。實證結果顯示：(1)最適資本適足率大部分皆高於8%的規範，僅有6.5%的銀行低於8%；(2)金融控股公司平均最適資本適足率低於非金融控股公司，而舊銀行最適資本適足率低於新銀行；(3)大約有11.8%銀行最適規模低於10.5%，因此Basel III的規定可能會影響這些銀行提升經營效率以其到達效率邊界的目標。

The Bank of International Settlements (1999) had made Basel II accord of capital adequacy ratio (BIS ratio) not to be less than 8% in order to reduce risk. Financial industries were seriously struck in financial crisis in 2008. Basel III strengthen capital requirement in response to this financial crisis which was come up with in 2010. Basel III set a more strict control than ever. It has not changed the total minimum capital requirement, called the BIS ratio, under Basel II, which will reach CAR 10.5% at 2019. Is the current 8% of BIS ratio too low to control banks risks? Basel III wants to set the BIS ratio to be 10.5% in 2019. Is it appropriate to the bank industry? In other words, is it too strict to influence banks’ operations significantly? Are they reasonable? Furthermore, Basel III wants to set the BIS ratio to be 10.5% in 2019. Is it appropriate to the bank industry?
This paper uses the two-stage DEA approach, proposed by Chen et al. (2010), to analyze the optimal BIS ratio of Taiwan commercial banks. The data set, obtained from TEJ, consists of 31 banks for the period 2007-2009. Empirical results show that: (1) the optimal BIS ratio only 6.5% of banks less than 8%；(2) Average optimal BIS ratio of financial holding companies are lower than non-financial holding companies；Average optimal BIS ratio of old banks are lower than new banks；(3) In addition, if banks set their BIS ratio to be the optimal levels, Basel III of BIS ratio 10.5% about 11.8% of banks will violate this requirement.

第一章 前言1
第一節 研究背景動機1
第二節 研究目的4
第三節 研究流程5
第二章 文獻探討6
第一節 台灣銀行業產業概況6
第二節 銀行績效評估方法9
第三節 銀行業投入與產出的界定10
第四節 銀行效率相關文獻12
第五節 資本適足率與銀行績效相關文獻14
第三章 研究方法 17
第四章 實證分析與討論22
第一節 資料來源與投入產出變數說明22
第二節 實證結果26
第三節 討論30
參考文獻 38

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