臺灣博碩士論文加值系統

本研究採用2005年至2016年商業銀行的財務資料、銀行監理變數與各國的經濟變數，使用系統性動差估計法探討52個國家，共2351家銀行的資本適足對市場紀律的影響；並將銀行的資本分類為資本盈餘與資本不足，檢視市場紀律強度是否因此削弱或增強。實證結果為：第一、考慮銀行流動性風險與信用風險，市場紀律強度因銀行資本不足而增加。第二、進一步將樣本區分為已開發國家與開發中國家。考量信用風險，已開發國家的市場紀律存在且因資本偏差增加，市場紀律力量增強。第三、開發中國家考量流動性風險與信用風險時，市場紀律力道因銀行資本偏差、資本不足而增加。第四、已開發國家的市場紀律力量考慮流動性風險、信用風險的狀態下，市場紀律因銀行資本不足增加，因銀行資本充足而削弱。第五、考量信用風險時銀行因資本不足或盈餘影響市場紀律力量效果顯著。

This study analyzes the impact of capital adequacy on market discipline in an international samples of banks. We use a panel data set of banks from 52 countries around 2351 commercial banks during the 2005-2016 period. Dividing the gap between actual bank capital and optimal capital into capital surpluses and capital insufficiency, the sample is also divided into developed and developing countries, and it is examined whether the market discipline intensity is weakened or enhanced when the capital is surpluses or insufficiencies.
The results of this study is: First, consider the bank's liquidity risk and credit risk, and the market discipline intensity increases due to the lack of bank capital. Second, market discipline forces in developed countries taking into account liquidity risks and credit risks, market discipline has increased due to bank capital insufficiency and has been weakened due to the bank’s capital adequacy. Third, under the state of considering liquidity risk and credit risk, developing countries weaken the strength of market discipline due to the lack of bank capital. Fourth, the market discipline effect brought by credit risk is more obvious.

第一章 緒論-------------1
第一節 研究動機及背景----1
第二節 研究目的---------3
第三節 研究架構---------4
第二章 文獻探討---------6
第一節 市場紀律---------6
第二節 銀行資本調整-----8
第三章 研究設計與實施---10
第一節 研究方法與模型---10
第二節 變數定義-------15
第四章 資料與敘述統計量-26
第一節 資料來源---------26
第二節 敘述統計量-------29
第五章 實證結果與分析-33
第六章 結論與分析----48
第一節 研究結論------48
第二節 研究建議------49
參考文獻----------------50

圖目錄
圖1 研究架構圖--------------------------------------------5

表目錄
表1 變數說明表--------------------------------------------22
表2 各國銀行資本變數之資料---------------------------------27
表3 敘述統計表--------------------------------------------31
表4 相關係數表--------------------------------------------32
表5 銀行資本偏差對市場紀律的影響─所有樣本-------------------34
表6 銀行資本充足與資本不足對市場紀律的影響─所有樣本----------37
表7 銀行資本偏差對市場紀律的影響─開發中國家與已開發國家------40
表8 銀行資本充足與資本不足對市場紀律的影響─開發中國家--------43
表9 銀行資本盈餘與資本不足對市場紀律的影響─已開發國家--------46

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