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研究生:王志文
研究生(外文):Jr-wen Wang
論文名稱:資本適足率制度變革對銀行資產組合暨資本與風險之影響-台灣地區之實證研究
論文名稱(外文):The Impact of Changes in Capital Adequacy Regulations on Bank's Portfolio and the Relationship Between Capital and Risk-Empirical Evidence in Taiwan
指導教授:褚志鵬褚志鵬引用關係李同龢李同龢引用關係
指導教授(外文):Chih-Peng ChuTorng-Her Lee
學位類別:碩士
校院名稱:國立東華大學
系所名稱:國際企業研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:64
中文關鍵詞:未達資本適足標準資本適足率信用評等
外文關鍵詞:Credit ratingsCapital adequacy ratioUndercapitalized
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本文旨在探討舊制(民82年)、新制(民87年)資本適足率變革下銀行之行為反應,主要驗證銀行是否降低高風險性資產之投資,對未達資本適足標準之銀行政府管制之有效性及資本與風險變動量互動之關係。本研究採用平均數檢定及GLS探討銀行之資產組合調整行為,運用3SLS分析資本與風險互動量之關係。另一採平均數檢定探討預計於民國94年實施之標準法計算的資本適足率,對銀行資本適足率所造成的影響,研究結果發現:
(1)在新制實施中,銀行增加高風險權重資產之持有比率,而減少較低風險權重之資產。未達資本適足標準之銀行並未朝低風險權重資產進行調整,其可能原因為未達資本適足標準之銀行以透過發行權益或其他方式來提高資本。
(2)資本適足率變動量與風險變動量的互動調整,不管舊制或新制實施期間皆呈正向變動關係,即資本適足率的提高亦會使銀行承擔風險提高。就整體研究期間而言,顯示資本適足率的變動除受前期資本適足率的影響外,尚受風險變動量、資產報酬率、不良放款比率及經濟景氣的影響;銀行投資組合風險之變動除受前期風險的影響外,且受不良放款比率及資本適足變動量的影響。法規管制的壓力並未促使未達資本適足標準之銀行提高資本比率以符合政府管制要求。
(3)未來新制(民94年)中,在模擬情境僅考量對銀行所持有之放款加入信用評等的條件後,於放款信用評等全為A+~A-之下,呈均等分配、近似常態分配及右偏的情境下資本適足率與目前新制無顯著的差異;相對而言銀行若持有大量比率之低風險(信用評等為AAA ~ AA+)或高風險(信用評等為BBB+以下)之放款,未來新制與目前新制對資本適足率的影響將有顯著差異。
This paper examines the changes in bank's behavior between old capital adequacy regulations (1993) and the new capital adequacy (1998) implemented in Taiwan. We investigate whether banks adjust their portfolios by changing their risk-taking behavior to accommodate the regulatory requirements under the new rules. In the mean time, we also study the relationship between changes in capital adequacy ratio and changes in risk. We conduct means test and GLS to investigate the adjustments in bank’s portfolio and then utilize a simultaneous-equation model to analyze changing patterns in bank capital and risk level. For the simulation for future new capital adequacy regulations (2005), we adopt the means test to compare the difference in capital adequacy ratio and bank risk-taking behavior between the new regulations and the future new ones.
Our major findings are as follows.
(1) During the periods of new rules, banks increased the holding of higher risk-weighted assets. The reaction of the undercapitalized banks to the new capital regulation was not to adjust their portfolio toward lower risk-weighted assets.
(2) There is a significant positive relationship between changes in capital adequacy ratio and changes in risk-taking during our entire study periods. Regulatory pressure cannot effectively lead the undercapitalized banks to increase their capital adequacy ratio.
(3) For the simulation of future capital adequacy regulations, bank holds loans internally credit rated from A+ to A-, the results of uniform distribution, nearly normal distribution, right-skewed distribution of loans credit ratings demonstrate that the future new rules will not significant impact on a regular bank’s capital adequacy ratio. In contrast, a bank holds more low-risk-weighted assets (credit rated from AAA to AA+) or high-risk-weighted assets (credit rated below BBB+), the difference of the impact between the new rules and the future new rules on the capital adequacy ratio is significant.
致謝辭……………………………………………………Ⅰ
中文摘要…………………………………………………Ⅱ
英文摘要…………………………………………………Ⅲ
目錄………………………………………………………Ⅳ
表目錄……………………………………………………Ⅴ
圖目錄……………………………………………………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……………………………………….3
第三節 研究流程……………………………………….4
第二章 文獻探討……………………………………….5
第一節 銀行資本與資本適足性.………………………5
第二節 銀行經營風險之探討………………………….7
第三節 巴塞爾與我國資本適足規範之探討………….8
第四節 資本適足規範對銀行行為影響之探討………14
第三章 研究方法………………………………………24
第一節 樣本說明………………………………………24
第二節 研究變數定義與實證模型……………………25
第三節 未來新制模擬之方法…………………………32
第四章 實證及模擬結果分析…………………………35
第一節 樣本選取說明與敘述性統計…………………35
第二節 實證模型之相關性分析………………………37
第三節 資產重組合之實證結果………………………39
第四節 資本適足率與銀行風險互動關係之實證結果43
第五節 未來標準法新制模擬結果分析………………48
第五章 結論與建議……………………………………53
第一節 研究結論………………………………………53
第二節 研究限制與建議………………………………54
參考文獻………………………………………………….57
附錄一 銀行自有資本與風險性資產總額之調查問卷…61
附錄二 問卷調查樣本之實證結果………………………63
一、中文部份
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李景玲(1996)。資本適足性與銀行風險關係之研究。碩士論文,國立交通大學管理科學研究所,台北市。
易玲玲(1999)。台灣資本適足性與銀行外匯風險管理之實證研究。碩士論文,國立東華大學企業管理研究所,花蓮縣。
林佩玲(2001)。資本適足率與我國銀行資本及盈餘管理關係之再探討。碩士論文,國立中正大學會計學研究所,嘉義縣。
徐士勛(1995)。風險性資產自有資本比率規定對我國銀行業投資組合與資本比率的影響。碩士論文,國立中興大學企業管理研究所,台北市。
財政部金融局(1998)。銀行自有資本與風險性資產計算方法說明。台北市:有限責任財政部金融局員工消費合作社。
郭秋怡(1999)。風險值運用在國內銀行資本適足性的研究。碩士論文,國立中央大學財務管理研究所,中壢市。
郭照榮 (1997)。風險性基準的資本管制對台灣銀行業者投資組合行為之影響。管理學報,14(4),479-506。
陳建仲(1998)。新制資本適足率對銀行業的影響。元大投資資訊,34-37。
曾正權、吳壽山、郭照榮和劉美纓(1994)。風險性資產導向資本管制對銀行之影響效果-台灣地區之實證研究。證券暨金融市場之理論與實務,535-554。
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二、英文部份
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Dahl, D., & R.E. Shrieves (1990). The impact of regulation on bank equity infusions. Journal of Banking Finance, 14,1209-1228.
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Hammes, W., & M. Shapiro(2001). The implications of the new capital adequacy rules for portfolio management of credit assets. Journal of Banking and Finance, 25, 97-114.
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