臺灣博碩士論文加值系統

整合銀行放款的調整後LSV群聚衡量及景氣循環的不同期間，本研究確認股份制商業銀行及城市商業銀行在多頭期間相較於空頭期間非理性的放款群聚會顯著較大。再者，考量較差經營績效的銀行會面對較大的競爭壓力，本研究實證證實股份制商業銀行及城市商業銀行中有較低資產報酬率、較低資本適足率、較高的不良貸款率與較低資本額的銀行相較於相反情況的銀行會在放款上展現較大的非理性群聚行為。最後，藉由使用較嚴謹的縱橫 Granger因果檢測及縱橫ECM模型，本研究調查對股份制商業銀行、城市商業銀行及國有商業銀行中任兩型態銀行聲譽及特徵群聚動機的存在。本研究發現聲譽及特徵群聚的假設僅被混和支持於股份制商業銀行及城市商業銀行配對樣本中的城市商業銀行。本研究對中國金融主管機關在不同景氣循環期間的放款群聚、銀行經營績效對放款群聚的影響與對這些銀行聲譽及特徵群聚動機的存在提供有利的參考。

Combining the adjusted LSV herding measure in lending and the different periods of business cycle, this study confirms that irrational loan herding by Joint-Stock Commercial Banks (JSCBs) and City Commercial Banks (CCBs) is significantly larger during the bullish period than during the bearish period. Moreover, considering that banks with the worse operating performance face the larger competing pressure, I empirically demonstrate that JSCBs and CCBs with a lower ROA, a lower capital adequacy ratio, a higher proportion of NPLs and a lower capitalization than their counterparts exhibit larger irrational herding behavior in lending. Finally, by using the rigorous Panel Granger causality test and Panel ECM model, this study investigates the evidence of reputational and characteristic herding motivations for any two types of JSCBs, CCBs and State-Owned Commercial Banks (SOCBs). I find that reputational and characteristic herding hypotheses are mixed to be supported only for CCBs of the pair of JSCBs and CCBs. I provides a helpful reference for Chinese financial authority on loan herding during the different periods of business cycle, the impact of bank operating performance on loan herding and the existence of reputational and characteristic herding motivations for these banks.

目錄
摘要 I
目錄 III
表目錄 IV
圖目錄 V
第壹章 緒論 1
第一節、 研究背景與動機 1
第二節、 研究目的 8
第三節、 研究架構與設計 9
第貳章 文獻探討 10
第一節、 中國大陸各類型銀行概述與發展歷程 10
第二節、 中國大陸銀行群聚的可能原因 14
第三節、 OECD之中國大陸景氣循環編制 15
第四節、 銀行群聚行為的相關文獻 17
第五節、 聲譽群聚及特徵群聚對銀行放款的影響 19
第參章 研究方法 20
第一節、 資料範圍及分析 20
第二節、 檢測銀行對產業放款的群聚行為 29
第三節、 檢測銀行對產業放款的非理性群聚行為 30
第四節、 檢測銀行會追隨相同或不同銀行的放款 33
第肆章 實證結果 36
第一節、 檢測銀行對產業放款的群聚行為 36
第二節、 檢測銀行對產業放款的非理性群聚行為 39
第三節、 檢測銀行經營績效是否影響其產業放款的非理性群聚行為 44
第四節、 檢測銀行會追隨相同或不同銀行的放款 47
第伍章 結論 56
參考文獻 59

 
表目錄
表3-1中國各銀行在不同景氣循環期間對產業放款金額及增幅的變動 24
表3-2 2006年至2011年中國各類型銀行對產業平均放款百分比 25
表3-3中國各類型銀行放款 (含催收) 餘額統計表 26
表4-1 股份及城市商業銀行在多空頭期間平均LSV衡量 38
表4-2 股份及城市商業銀行多空頭期間對各產業加權平均LSV衡量 38
表4-3 股份及城市商業銀行在多空頭期間平均非理性LSV衡量 41
表4-4 股份及城市商業銀行在多空頭期間對各產業加權平均非理性LSV衡量 42
表4-5檢測財務績效指標在不同景氣循環下對股份制商業銀行非理性群聚的影響 46
表4-6檢測財務績效指標在不同景氣循環下對城市商業銀行非理性群聚的影響 46
表4-7 Panel 單根檢定結果 錯誤! 尚未定義書籤。
表4-8 Pedroni 共整合檢定結果 49
表4-9股份制商業銀行(JS)與城市商業銀行(CC)因果關係檢定結果 52
表4-10股份制商業銀行(JS)與城市商業銀行(CC)短期Panel ECM模型落後一期估計結果 52
表4-11股份制商業銀行(JS)與國有商業銀行(SO)因果關係檢定結果 53
表4-12股份制商業銀行(JS)與國有商業銀行(SO)短期Panel ECM模型落後一期估計結果 53
表4-13城市商業銀行(CC)與國有商業銀行(SO)因果關係檢定結果 54
表4-14城市商業銀行(CC)與國有商業銀行(SO) 短期Panel ECM模型落後一期估計結果 54


圖目錄
圖1-1 中國大陸各類型銀行逐年資產總額比重 4
圖1-2 研究設計架構圖 9
圖3-1 2006年至2012年OECD編制之中國大陸綜合領先指標 (CLI) 23

參考文獻
一、中文部分
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2.呂青樺、沈中華，2006，「影響大陸地區銀行獲利能力與風險的因素」，中國大陸研究，第四十九卷三期，頁119-142。


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