臺灣博碩士論文加值系統

本文旨在探討台灣銀行業因實施Basel III，面對更嚴峻的資本品質要求下，銀行業之資本緩衝對於影響因子的反應差異以及放款隨影響因子做何改變因應，更進一步分析比較依控股方式、持股特性及資本大小做分類之銀行，其資本緩衝及放款受Basel III實施有何特別異於Basel II之反應。
本研究以Basel III實施前後各15季(2009年3月至2016年9月)之台灣銀行業樣本資料，引用Ayuso, Perez, and Saurina(2004)資本持有模型以及Peek and Rosengren (1995)放款模型，使用panel data估計方法，探討Basel III實施對台灣銀行業的影響，研究結果發現:
1.台灣銀行業一直存在有資本緩衝順景氣循環現象，在Basel III全球資本架構之提高「逆景氣循環資本緩衝」措施下，實施後並未改變台灣銀行業提列資本緩衝順景氣模式。
2.整體而言，Basel III嚴格資本管制措施對台灣銀行業資本緩衝及放款影響改變並不明顯，可能原因為Basel III分階段施行，臺灣銀行業對Basel III規範能逐步調整，減少衝擊。
3.官股銀行之中小企業放款確實明顯受Basel III降低順景氣措施所影響，於穩定中小企業融資上有其貢獻；而小資本銀行之中小企業放款有更明顯的順景氣循環現象，顯見其於Basel III嚴格資本要求面臨資本不足壓力下，對中小企業授信有明顯“雨天收傘”傾向。
4.依Ayuso, Perez, and Saurina(2004)資本緩衝模型，Basel III對於大資本銀行持有資本緩衝有較多面向的影響，包括調整成本、機會成本及破產成本。

Due to the implementation of Basel III, Taiwan's banking industry faces more severe capital equirements.The purpose of this study is to explore the differences in the response of capital buffer ratio and the changes of the loan behavior in Taiwan banking industry. Further, this study analysis, holding method, shareholding characteristics and capitalization of the size of the bank, which is affected by Basel III implementation of what is particularly different from the Basel II reaction.
This study is based on the data before and after Basel III implementation of the 15 seasons (March 2009 to September 2016) of the Taiwan banking industry. The data used by Ayuso, Perez, and Saurina(2004) and Peek and Rosengren (1995) were used to establish the model, using the panel data estimation method to explore the impact of Basel III on Taiwan's banking industry. The results showed that:
1. Taiwan banking industry has been the existence of a capital buffer procyclicality, Basel III did not change the implementation of the Bank of Taiwan industry attraction capital buffer attitude.
2. As a whole, Basel III's strict capital controls are not significantly affected by changes in capital buffer and loan behavior in Taiwan's banking industry. The possible reason is that the Basel III is implemented in stages, and the Taiwan's banking industry on the Basel III norms can be gradually adjusted to reduce the impact.
3. The loan behavior of SME in the official bank is clearly affected by the Basel III's reduced procyclicality measures. The official bank have contribution to stable SME finance. The small capital loan behavior of SME is more procyclical. Obviously under the pressure of capital shortage in the Basel III strict capital requirements, the small capital loan behavior of SME like that “lending you an umbrella in fair weather and asking for it back when it begins to rain”.
4. According to the Ayuso, Perez, and Saurina(2004) capital buffer model, Basel III has a greater impact on large capital banks holding buffer capital, including adjustment costs, opportunity costs and bankruptcy costs.

謝辭 I
中文摘要 II
英文摘要 III
目錄 IV
圖次 V
表次 VI
第一章　緒　論 1
第一節　研究背景與動機 1
第二節　研究目的 4
第三節　研究架構 5
第二章　文獻探討 6
第一節 銀行資本及監管 6
第二節 銀行資本與景氣循環之關係 9
第三節　放款與景氣循環 11
第四節　銀行資本與放款 12
第五節　巴塞爾資本協定 14
第六節 Basel相關文獻之探討 17
第三章　研究方法 19
第一節 研究假說 19
第二節　研究模型 21
第三節 資料來源 26
第四章　實證結果 28
第一節　敘述統計 28
第二節 相關性分析 37
第三節 迴歸之實證結果與分析 39
第四節 小結 55
第五章　結論與建議 57
第一節　結論 57
第二節 建議 58
參考文獻 60
著作權聲明 63

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