臺灣博碩士論文加值系統

本論文研製之台灣本國銀行2006年至2014年的最適信用風險之估計，並探討信用風險與貨幣政策之間的相互關係。運用Panel data最小平方法(OLS)，加上橫斷面固定效果與有無時間固定效果的模型來估計銀行在利潤最大化時，所產生的最適信用風險。而考慮到內生性的問題，利用一般動差法(GMM)再次對 Panel data進行估計。基於銀行必須承擔信用風險來獲得利潤，但承擔過多的信用風險可能造成損失，所以假設信用風險和利潤之間為非線性關係。而理論認為當銀行利潤最大化時存在最適信用風險，所以信用風險和銀行利潤之間為一個倒U形曲線的關係。本文以向量誤差修正模型(VECM)實證信用風險與貨幣政策之間的長期關係。實證結果指出使用一般動差法有橫斷面固定效果與沒有時間固定效果的模型估計結果最佳，並顯示信用風險是有週期性的，實際信用風險為順週期，而最適信用風險為其領先指標。當經濟景氣良好時，最適信用風險會高於實際信用風險；經濟景氣蕭條時，則相反，實際信用風險會高於最適信用風險。在經濟景氣佳時，採取緊縮貨幣政策會使得最適信用風險高於實際信用風險，減少實際信用風險但增加最適信用風險。同樣的，在經濟不景氣時，擴張貨幣政策會使得最適信用風險低於實際信用風險，增加實際信用風險但減少最適信用風險。

A procedure is estimated that Taiwan's domestic bank optimal credit risk in 2006-2014, and research the relationship between credit risk and monetary policy. Using ordinary least squares (OLS) of Panel data, plus the fixed effect of cross-section and whether plus the fixed effect of time or not to estimate optimal credit risk when bank profit maximization. Consider the problem of endogeneity, using generalized method of moments (GMM) estimate Panel data again. Based on bank must risk-taking to obtain profits, but when banks take too much risk, causing bank have loss, it assumed the relationship between credit risk and profit is non-linear. The theory think about when bank profit maximization, there exists an optimal credit risk, therefore, the relationship between credit risk and bank profit as an inverted U-shape curve. This paper using vector error correction model (VECM) to estimate long-term relationship between credit risk and monetary policy. The result of empirical indicate that the model of generalized method of moments has fixed effect of cross-section and no the fixed effect of time is better. And show that credit risk is cyclical. Realized credit risk is pro-cyclical and optimal credit risk is leading cyclical. The optimal credit risk is higher than realized credit risk in good economic periods; in contrast, realized credit risk is higher than optimal credit risk in bad economic periods. In good economic periods, contractionary monetary policy would make optimal credit risk is higher than realized credit risk, decrease realized credit risk but increase optimal credit risk. Similarly, in bad economic periods, expansionary monetary policy would make optimal credit risk is lower than realized credit risk, increase realized credit risk but decrease optimal credit risk.

中文摘要 I
英文摘要 II
誌 謝 III
目 錄 IV
表 目 錄 V
圖 目 錄 VI
第一章 緒論 1
1.1 研究動機與背景 1
1.2 研究目的 2
1.3 研究架構 4
第二章 文獻回顧 6
2.1 利潤與信用風險 6
2.2 貨幣政策與信用風險 7
第三章 研究方法 9
3.1 最適信用風險 9
3.2 信用風險與貨幣政策 11
第四章 實證分析 13
4.1 實證資料 13
4.2 實證結果 17
4.2.1 最適信用風險 17
4.2.2 信用風險與貨幣政策 26
第五章 結論 36
參考文獻 37

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