臺灣博碩士論文加值系統

本文旨在探討臺灣銀行業實施Basel I資本適足規範後，銀行自有資本額的高低是否受到景氣循環的影響？亦即銀行自有資本額是否呈順景氣循環(procyclicality)現象？並探討此現象是否存在不對稱的情形？此外，資產大小及資本適足率高低的銀行其順景氣循環現象是否呈現不同的情況？
　　本研究以民國82年至93年臺灣地區的銀行為樣本，利用銀行緩衝資本額的影響因素模型，使用panel data估計，以探討順景氣循環之現象，研究結果發現：
1. 整體而言，臺灣銀行業在實施Basel I資本適足規範後，銀行業確實存在順景氣循環現象。
2. 分類而言，大銀行與小銀行的資本額高低皆呈現順景氣循環的現象，但大銀行呈順景氣循環現象較為顯著，而低資本適足率銀行呈順景氣循環的現象較為顯著。
3. 銀行的順景氣循環現象呈現不對稱的關係，景氣復甦期，順景氣循環現象較為顯著，相反地，景氣衰退期，則較不顯著。
4. 景氣會影響銀行放款，銀行放款進而影響緩衝資本額，而緩衝資本額會以回饋方式再影響銀行放款，而銀行放款卻不會顯著再影響景氣。

The main purpose of this study is to investigate whether business cycle influences bank capital after enforcing Basel I capital accord or not. This phenomenon is called procyclicality. This study also investigates whether this procyclal phenomenon is asymmetric. Further, this study takes into account the level of significance about procyclicality considering different levels of the following two important factors: the asset size of banks and the value of banks’ capital adequacy ratios.
　　According to the equation for potential determinants of the capital buffer, we test the relation between business cycle and capital buffer by using the bank data in Taiwan during 1993 to 2004 and panel data estimation method. Four main empirical results are found:
1. The enforcement of Basel I requirements does induce procyclicality between capital buffer and business cycle in Taiwan’s banking industry.
2. Both small and large banks significally have procyclical phenomenon. Hovever, the level of significance for the larger banks is bigger and that for banks with lower capital adequacy ratios is bigger.
3. This procyclical phenomenon is asymmetric. During the upturn period the procyclical phenomen is significant, however during the downturn period this phenomen is not significant.
4. Business cycle would influence bank lending, thus affecting capital buffer. In addition, capital buffer would have an effect on bank lending in a way of feed back, but bank
lending wouldn’t influence business cycle.

中文摘要..................................... i
英文摘要..................................... ii
誌謝......................................... iii
目錄......................................... iv
表目錄....................................... v
圖目錄....................................... vi
第壹章 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.............................. 4
第四節 研究流程.............................. 5
第貳章 文獻探討.............................. 6
第一節 銀行自有資本與景氣循環間關係之相關文獻 6
第二節 銀行放款行為、景氣循環及銀行自有資本關
係之相關文獻................................. 11
第三節 文獻探討總結.......................... 14
第參章 研究模型.............................. 17
第一節 研究假說.............................. 17
第二節 模型建立.............................. 18
第三節 估計方法.............................. 25
第肆章 實證結果.............................. 32
第一節 資料說明.............................. 32
第二節 敘述統計.............................. 34
第三節 實證結果.............................. 38
第伍章 結論與建議............................ 50
第一節 結論.................................. 50
第二節 建議.................................. 52
參考文獻..................................... 54
附錄一 巴塞爾資本適足規範發展歷程(含Basel II) 58
附錄二 本研究之樣本銀行...................... 62

一、英文部分
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[2] Acharya, S., 1996, “Charter value, minimum bank capital requirements and deposit insurance pricing in equilibrium”, Journal of Banking Finance 20, pp.351-375.
[3] Avery, R.B.,Gordy, M., 1995, “Loan growth, economic activity and bank performance”, Federal Reserve Board.
[4] Berger, A.N., G.F. Udell, 1994, “Did risk-based capital allocate bank credit and cause a ‘credit crunch’ in the United States ?”,Journal of Money,Credit & Banking
26, pp.585-628.
[5] Berger, A.N., G.F. Udell, 2004, “The institutional memory hypothesis and the
procyclicality of bank lending behavior”, Journal of Financial Intermediation13,pp.458-495.
[6] Bikker,J.A., P.A.J. Metzemakers, 2004, “Is bank capital procyclical? A cross-country analysis”.
[7] Campbell, T.S., 1979, “Optimal investment financing decisions and the value of
confidentiality”, Journal of Finance. 14, pp.913-924.
[8] Carpenter, S.B., W. Whitesell, E. Zakrajsejk, 2001, “Capital requirements,business loans, and business cycles: An Empirical analysis of potential cyclical effects of the new BIS capitalstandards”, Board of Governors ofthe Federal Reserve System.
[9] Chiuri, M. C., Ferri, G. and Majnoni, G., 2002, “The macroeconomic impact of bank capital requirements in emerging economies: Past evidence to assess the future”,Journal of Banking and Finance 26,pp.881-904.
[10] Estrella,A., 2004, “The cyclical behaviour of optimal bank capital”,Journal of Banking & Finance 28, pp.1469-1498.
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[19] Peek, J., and Rosengren, E., 1995 , “Bank regulation and the credit crunch.”Journal of Banking and Finance 19, pp.679-692.
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二、中文部分
[1] 李三榮，民91，Basel Ⅱ，台灣金融財務季刊第三輯第二期，頁105-124。
[2] 沈中華，民87，貨幣銀行學－全球的觀點，新陸書局。
[3] 李榮謙，民89，貨幣銀行學　第五版，智勝文化出版。
[4] 吳鴻聲，民92，實施新資本適足規定對總體經的影響：台灣之實證研究，國立雲林科技大學財務金融研究所，碩士論文。
[5] 財政部金融局，民87，銀行自有資本與風險性資產計算方法說明，財政部金融局員工消費合作社。
[6] 黃巧虹，民85，風險基礎資本規定與銀行信用緊縮的關聯性研究，淡江大學財務金融研究所，碩士論文。
[7] 郭照榮，民86，”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)，頁479-506。
[8] 劉美櫻，民83，風險性資產導向資本管制政策效果之研究，國立交通大學管 理科學研究所，博士論文。
[9] 賴彥仲，民92，實施資本適足性規定對本國銀行業總體資金市場之影響，國立雲林科技大學財務金融研究所，碩士論文。