臺灣博碩士論文加值系統

本研究依據Miller和Orr（1966）現金餘額管理模型，和Frenkel和Jovanovic（1981）之國際準備管理實證模型架構，採用縱橫資料（panel data）之固定效果模型（fixed effects model）和隨機效果模型（random effects model）主要以銀行業準備金之波動度和利率水準兩變數，並考慮總資產和季營收等控制變數，分析我國銀行業之超額準備管理行為。
實證結果發現，銀行所面臨之提存不確定性越高，銀行提存超額準備亦會增加；以各銀行之淨利率邊際，作為資金成本的利率指標時，在舊銀行或新銀行之實證結果皆發現，淨利率邊際並不顯著影響銀行超額準備管理行為。另外，探討規模變數是否影響銀行超額準備提列行為，結果發現舊銀行超額準備與規模變數有較顯著負向關係，顯示舊銀行之總資產或季營收越大者，傾向降低超額準備；但規模變數並不顯著影響新銀行超額準備提列行為。

An experiment into the bank reserve management, using the Miller-Orr (1966) model and Frenkel-Jovanovic (1981) empirical model to examine the effects from the variability measure and interest level. This empirical result, based on 38 examples of Taiwan banks for the period of April 1994 to November 2001, shows that the variability of excess reserve significantly and positively influences the excess reserve amount, in other words, the stock of excess reserves depends positively on the fluctuation in external transactions. Moreover, we adopt NIM (net interest margin) to represent bank’s interest level, but different from the result of Frenkel-Jovanovic (1981) empirical model, NIM does not significantly affect the excess reserve. However, when dividing total banks into two parts, old and new banks, and introducing scale variables into our model, it indicates that total assets or operating income significantly and positively influence old banks’ excess reserve, but not significantly influence new banks'' excess reserve.

目 錄
頁次
第一章 緒論............................................... 1
第一節 研究背景與動機....................................1
第二節 研究目的..........................................3
第三節 研究架構......................................... 5
第二章 文獻探討與制度介紹..................................6
第一節 我國存款準備提存制度與同業拆款市場現狀............6
第二節 國外相關文獻.....................................17
第三節 國內相關文獻.....................................18
第三章 理論模型...........................................21
第一節 Baumol（1952）存貨管理模型.......................21
第二節 Miller和Orr（1966）現金餘額模型..................24
第四章 研究方法...........................................28
第一節 研究流程.........................................28
第二節 研究樣本及資料來源...............................30
第三節 實證模型.........................................32
第四節 實證設計與變數定義...............................40
第五章 實證研究...........................................46
第一節 樣本敘述統計.....................................46
第二節 實證結果分析.....................................49
第六章 結論與建議.........................................58
第一節 結論.............................................58
第二節 建議.............................................59
第三節 研究限制.........................................60
參考文獻...................................................61

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