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研究生:許英裕
研究生(外文):Ying-Yu Hsu
論文名稱:我國銀行預警系統之建立
論文名稱(外文):The Banking Warning System - Taiwan Study
指導教授:翁銘章翁銘章引用關係
指導教授(外文):Ming-Jang Weng
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:1999
畢業學年度:87
語文別:中文
論文頁數:59
中文關鍵詞:Logit預警系統門檻值銀行危機誤判率二元反應模型預測預警指標
外文關鍵詞:LogitEarly Warning Systemthreshold valuebanking crisisnoisebinary response modelforecastindicator
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論文提要內容:
由於新銀行的加入,使得國內銀行業進入完全競爭的時代,隨著新銀行法的修正、利率的自由化、金融工具的多元化,使得銀行的業務經營擴大,同時也增加銀行的經營危機;加上近來在東亞金融風暴的影響下,多家銀行營運發生問題,嚴重影響到社會大眾及金融秩序;因此建立預警系統有其存在之必要性。
本文主要對民國82年至87年間本國18家商業銀行進行實證分析,採用Logit 模型,建立一有效的銀行預警制度。由實證分析結果,我們得到如下的結論:
(1)本文四個模型中,其(預測沒危機,實際上有危機)/noise值大多較(預測有危機,實際上沒危機)/noise值為大。
(2)第一種模型所建立的預警系統為四種當中表現最好,可見(備抵呆帳/放款+貼現)變動率和存款變動率為判定銀行是否發生危機時,相當重要的指標。
(3)經由本文實證分析得知,流動比例、稅前純益率、M2乘數與退票金額比為相當不錯之預警指標。
Abstract:
Because of the entry of new banks since 1992, the banking industry in Taiwan stepped into the era of perfect competition. Moreover, the evolution of new banking rules, as well as liberalization of interest rates and diversification of financial instruments all enlarge banks'''''''' business and their risk. During the past two years of East Asia financial crisis, some banks suffered from large amount of bad loans and bank runs. This turns out endangered public''''''''s confidence and our financial system. Therefore, it is necessary to construct an effective early warning system for our banking institution.
This study focuses on the empirical analysis of 18 commercial banks in Taiwan from 1993 to 1998. We utilized the Logit model to build up the banking warning system. According to the empirical results, we ended up with the following conclusions:
(1)In all models, the noise-ratio for the case of existing crisis but not predicted are greater than that for the case of predicting crisis but non-existed.
(2)Model I has the best performance among four warning models. This implies that both changes in the ratio of allowance for bad debts to loans plus discounts and changes of deposits are quite important indicators in justifying if banks are running into crises.
(3)The ratio of current asset to current liability, pre-tax earning ratio, M2 multiplier and the ratio of rebound checks are sound indicators in predicting a banking crisis.
目次
論文中文摘要………………………………………………………….i
英文摘要………………………………………………………………ii
致謝詞…………………………………………………………………iii
目次……………………………………………………………………iv
表次……………………………………………………………………vi
圖次…………………………………………………………………...vii
第一章:緒論…………………………………………………………..1
第一節:研究動機與目的………………………………………1
第二節:研究方法………………………………………………5
第二章:文獻回顧……………………………………………………..6
第一節:國內文獻………………………………………………6
第二節:國外文獻………………………………………………9
第三章:理論模型…………………………………………………..14
第一節:模型設定……………………………………………..14
第二節:分析方法……………………………………………..17
第三節:變數的選取…………………………………………..19
ㄧ:變數選取………………………………………………..19
二:門檻值的決定…………………………………………..21
三:資料來源與整理………………………………………..22
第四節:金融預警系統之建立………………………………..24
一:金融預警系統之由來…………………………………..24
二:我國之金融預警系統…………………………………..25
三:金融檢查制度…………………………………………..26
第四章: 實證結果與分析…………………………………………..29
本章註釋…………………………………………………..34
第五章:結論與建議…………………………………………………36
第一節:結論…………………………………………………36
第二節:本文研究限制與對主管機關之建議………………37
一:本文研究限制…………………………………………37
二:對主管機關之建議……………………………………37
參考文獻………………………………………………………………55
參考文獻
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