臺灣博碩士論文加值系統

本研究透過Bankscope與World Bank資料庫收集2011年至2014年間，全球資產規模前300大的銀行，探討被定義為全球系統性重要銀行會如何影響其經營效率。研究結果顯示，被定義為全球系統性重要銀行對於經營效率造成負向的影響，換句話說，額外增加的資本計提與監管要求成本會超過大到不能倒的所帶來之優點。不過，在同樣屬於全球系統性重要銀行的情況下，最高級別的銀行並未發現此現象，表示其中可能存在大到不能倒效果。此外，被定義為全球系統性重要銀行的因素中，曝險總額與不可替代性較高的全球系統性重要銀行對於經營效率而言會產生正向的影響，而複雜性與關聯性較高的全球系統性重要銀行則有負向的影響。

We study the impact of the new regulation for, Global Systematically Important Banks (G-SIBs) on bank efficiency by using Bankscope and World Bank databases covering the 300 largest banks worldwide during 2011 to 2014. Our empirical results find that being defined as G-SIBs is negative for bank efficiency, in other words, the disadvantage from additional capital surcharge requirement and regulation costs excessed the benefit from Too Big Too Fail. However, in G-SIBs, this phenomenon didn’t be found in the highest capital surcharge bucket. This result suggests that these banks may have Too Big Too Fail effect. Besides, in the elements of defining G-SIBs, the G-SIBs which have higher total exposure and substitutability are positive for bank efficiency, and the G-SIBs which have higher complexity and interconnectedness are negative for bank efficiency.

目錄
第一章、背景介紹與研究動機......1
第二章、G-SIBs規範與文獻回顧......3
2.1.G-SIBs的規範......3
第三章、資料與研究方法......6
3.1.資料來源......6
3.2變數定義......6
3.2.1 銀行經營效率......6
3.2.2 全球系統性重要銀行(G-SIBs)......7
3.2.3 控制變數......7
3.3 Panel 迴歸模型......8
第四章、實證結果......10
4.1敘述統計......10
4.2 Panel 迴歸分析: Baseline Model......10
4.3 不同級別與不同類別因素的G-SIBs對經營績效的影響......11
第五章、結論......13
參考文獻......14
附錄A：G-SIBs評估方式......29
附錄B：G-SIBs所需承擔之額外成本......31

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