( 您好!臺灣時間:2021/03/08 02:46
字體大小: 字級放大   字級縮小   預設字形  


研究生(外文):Yu-Chan Lin
論文名稱(外文):The Roles of Non-interest Revenue of Different Financial and Political Constraints
指導教授(外文):Lin Lin
外文關鍵詞:Commercial BankNon-interest IncomeSeemingly Unrelated Regressionthe Financial Limitthe Government Govern
  • 被引用被引用:3
  • 點閱點閱:239
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:62
  • 收藏至我的研究室書目清單書目收藏:0
由於傳統商業銀行從事的存放款業務,在金融自由化解禁的浪潮下,利差(Spread)愈來愈低。非利息收入目前已經成為銀行收入的重要來源之ㄧ,並且大多數的銀行認為非利息收入是銀行收入的穩定來源。然而,根據 Stiroh (2004)的文獻指出,銀行增加對於非利息收入的依賴並不能降低銀行的風險程度。DeYoung and Roland (2001) 認為當費用基礎的業務增加時,會連帶的增加銀行的收益與利潤的變動程度。本篇以11個國家,518家商業銀行的Panel Data,欲從不同開發程度的國家之觀點出發,探討在不同的政治、金融限制背景下,商業銀行之非利息收入變化。針對影響非利息收入比重因素、銀行風險報酬因素進行分析,接著再進行近似無相關迴歸分析法 (Seemingly Unrelated Regression) 分析商業銀行風險報酬之關係。本文的貢獻主要在,探討各國商業銀行收入與銀行風險之關係,藉此討論增加非利息收入乃時勢所趨,或者只是迷思。發現所得水準與政府管理能力對傳統活動、非傳統活動之非利息收入業務的發展有重要之影響。在政府管理能力愈清廉之國家下,銀行可以有能力去發展非利息收入相關的業務,但不應一味的投入非傳統活動之非利息收入業務,而放棄本業經營。在風險調整後之報酬分析,也有一致的結論。
Recently, resulting from deregulation of the financial industry, there has been a shift in the profitability of banks from traditional banking activities to fee-based activities. Non-interest incomes have become one of the most stable revenue sources for most banks. However, Stiroh (2004) noted that the level of risk will not be reduced by increasing reliance on non-interest incomes. DeYoung and Roland (2001) also indicated that increasing fee-based activities will result in higher volatility of bank revenue and bank earnings. In this study, the panel data are taken form 518 commercial banks in 11 countries over the period from 1997 to 2006. Though data analysis, the author aims to understand the potential factors that affect bank’s income. Besides, by using the method Seemingly Unrelated Regression, the author also wants to explore the relations between the incomes of commercial banks and the level of risk. Results of this study showed that bank incomes are heavily influenced by government’s policy toward banking activities. To conclude, this study may be of importance in explaining the dynamic factors that affect banks’ incomes as well as in providing banks with a better understanding of earning profits from other resources rather than only focusing on non-interest activities.

壹、前言 5
貳、文獻回顧與對本研究之啟發 6
參、樣本來源.變數定義與基本敘述統計分析 14
一、樣本來源 14
二、變數定義與基本敘述統計分析 15
(一) 應變數 15
(二) 自變數 16
(三) 其他影響變數 18
肆、計量模式與實證分析 18
一、計量模式 19
(一)最小平方法 19
(二)固定效果模型 20
(三)隨機效果模型 21
(四)固定效果模型與隨機效果模型之評判準則 21
(五)實證模型 23
二、實證分析 30
(一).影響非利息收入比重之因素分析: 30
(二).影響銀行風險報酬因素分析: 33
(三).近似無相關迴歸分析 36
伍、結論 48
陸、參考文獻 49


圖表 1、各國利息收入比重圖 53
圖表 2、各國總非利息收入比重圖 54
圖表 3、非利息收入比重-傳統活動 55
圖表 4、非利息收入比重-非傳統活動 56
表格 1、變數說明及資料來源 57
表格 2、敘述性統計 58
表格 3、皮爾森相關係數表 61
表格 4、所得基礎的國家分類表 61
表格 5、政府管理能力基礎的國家分類表 63
表格 6、總非利息收入比重與影響因素之迴歸分析 64
表格 7、傳統活動非利息收入比重與影響因素之迴歸分析 65
表格 8、非傳統活動非利息收入比重與影響因素之迴歸分析 66
表格 9、ROAA、STDROAA、ROAE、STDROAE與影響因素之迴歸分析1 67
表格 10、ROAA、STDROAA、ROAE、STDROAE與影響因素之迴歸分析2 68
表格 11、不同所得情況下,風險、報酬與影響因素之近似無相關迴歸分析 69
表格 12、不同政府管理能力下,風險、報酬與影響因素之近似無相關迴歸分析 71
表格 13、各國ROAA、STDROAA與影響因素之近似無相關迴歸分析 73
表格 14、各國ROAE、STDROAE與影響因素之近似無相關迴歸分析 74
表格 15、風險調整後ROAA與影響因素之迴歸分析 75
Baele, L., O. De Jonghe, et al. (2007). "Does the Stock Market Value Bank Diversification?" Journal of Banking & Finance 31(7): 1999-2023.

Barth, J. R., G. Caprio, et al. (2000). Banking Systems around the Globe : Do Regulation and Ownership Affect the Performance and Stability?, The World Bank.

Berger, A. N., R. S. Demsetz, et al. (1999). "The Consolidation of the Financial Services Industry: Causes, Consequences, and Implications for the Future," Journal of Banking & Finance 23(2-4): 135-194.

Bliss, R. T. and R. J. Rosen (2001). "CEO Compensation and Bank Mergers," Journal of Financial Economics 61(1): 107-138.

DeYoung, R. and K. P. Roland (2001). "Product Mix and Earnings Volatility at Commercial Banks: Evidence for a Degree of Total Leverage Model," Journal of Financial Intermediation 10: 54-84.

DeYoung, R. and T. Rice (2004). "Noninterest Income and Financial Performance at U.S. Commercial Banks," The Financial Review 39(1): 101-127.

DeYoung, R. and T. Rice (2004). "How Do Banks Make Money? The Fallacies of Fee Income," Economic Perspectives: 34-51.

DeYoung, R. (1994), "Fee-Based Services and Cost Efficiency in Commercial Banks," Federal Reserve Bank of Chicago, Proceedings: Conference on Bank Structure and Competition
De Gregorio and P. Guidotti (1995). "Financial Development and Economic Growth," World Development 23(3): 434-48.

Driffill, J. (2003) "Growth and Finance," The Manchester School 71(4): 363-80.

Elsas, R., A. Hackethal, et al. (2006). The Anatomy of Bank Diversification, University of Munich, Munich School of Management.

Favero C. A. and Papi (1995). "Technical Efficiency and Scale Efficiency in Italian Banking Sector: A Non- Parametric Approach," Applied Economics 27: 385-395.

Feldman, R. and J. Schmidt (1999), "Non-Interest Income: A Potential for Profits, Risk Reduction and Some Exaggerated Claims," Fedgazette: 20-21.

Ferrier, G. D., S. Grosskopf, et al. (1993). "Economies of Diversification in the Banking Industry : A Frontier Approach," Journal of Monetary Economics 31(2): 229-249.

Franklin, A. and M. S. Anthony (1999). What Do Financial Intermediaries Do? Wharton School Center for Financial Institutions, University of Pennsylvania.

Froot, K. A. and J. C. Stein (1998). "Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach," Journal of Financial Economics 47(1): 55-82.

Hausman, J. A. (1978). "Specification Tests in Econometrics," Econometrica 46(6): 1251-71.

Harris, R. (1997). "Stock Markets and Development: A Re-Assessment." European Economic Review 41, 139-146.

Ho, T. S. Y. and A. Saunders (1981). "The Determinants of Bank Interest Margins: Theory and Empirical Evidence," The Journal of Financial and Quantitative Analysis 16(4): 581-600

John, H. B. and L. G. Stanley (1986). "Risk, Regulation, and Bank Holding Company Expansion into Nonbanking," Quarterly Review(Spr): 2-17.

Kenneth, A. F., S. S. David, et al. (1992). Risk Management: Coordinating Corporate Investment and Financing Policies, National Bureau of Economic Research, Inc.

Kevin, J. S. (2002). Diversification in Banking: Is Noninterest Income the Answer? , Federal Reserve Bank of New York.

Kevin, S. (2006). "New Evidence on the Determinants of Bank Risk," Journal of Financial Services Research 30(3): 237-263.

Lawrence, J. R. (1999). "Banks' Payments-Driven Revenues," Economic Policy Review(Jul): 53-70.

Laeven, L., and R. Levine (2006). Is There A Diversification Discount in Financial Conglomerates?, Journal of Financial Economics forthcoming.

Levine, R. ( 2002) "Bank-Based or Market-Based Financial Systems: Which is Better?" Journal of Intermediation 11, 1-30.

Milbourn, T. T., A. W. A. Boot, et al. (1999). "Megamergers and Expanded Scope: Theories of Bank Size and Activity Diversity," Journal of Banking & Finance 23(2-4): 195-214.

Rafael La, P., L.-d.-S. Florencio, et al. (1997). Legal Determinants of External Finance, National Bureau of Economic Research, Inc.

Rafael La, P., L.-d.-S. Florencio, et al. (1998). "Law and Finance," Journal of Political Economy 106(6): 1113-1155.

Reserve Bank of Australia (2006). "Banking Fees in Australia," Reserve Bank of Australia Bulletin: 60-64.

Rioja, F. and N. Valev. (2004) "Finance and the Sources of Growth at Various Stages of Economic Development," Economic Inquiry 42(1), 127-40.

Rogers, K. and J. F. SinkeyJr (1999). "An analysis of Nontraditional Activities at U.S. Commercial Banks," Review of Financial Economics 8(1): 25-39.

Rogers, K. E. (1998). "Nontraditional Activities and the Efficiency of US Commercial Banks," Journal of Banking & Finance 22(4): 467-482.

Rosie, S., S. Christos, et al. (2003). Non-Interest Income and Total Income Stability, Bank of England.

Saunders, A. and L. Schumacher (2000). "The Determinants of Bank Interest rate Margins: An International Study." Journal of International Money and Finance 19(6): 813-832.

Saunders, A. and I. Walter (1995). "Universal Banking in the United States: What Could We Gain? What Could We Lose?" Journal of Economic Literature 33(3): 1357-1359

Shen, C.-H. and C.-C. Lee (2006). "Same Financial Development yet Different Economic Growth: Why?" Journal of Money, Credit and Banking 38(7): 1907-1944.

Simon, H. K. and S. L. Elizabeth (1999). "On the Portfolio Effects of Financial Convergence - A Review of the Literature," Economic Review: 18-31.

Simon, K. (1998). Securities Activities by Commercial Banking Firms' Section 20 Subsidiaries: Risk, Return and Diversification Benefits, Federal Reserve Bank of San Francisco.

Smith, C. W. and R. M. Stulz (1985). "The Determinants of Firms' Hedging Policies," The Journal of Financial and Quantitative Analysis 20(4): 391-405

Stiroh, K. J. and A. Rumble (2006). "The Dark Side of Diversification: The Case of US Financial Holding Companies." Journal of Banking & Finance 30(8): 2131-2161.

Stiroh, K. J. (2003). "Revenue Shifts and Performance of U.S. Bank Holding Companies," The Evolving Financial System and Public Policy, Proceeding of a Conference Held by Bank of Canada, Ottawa Ontario: Bank of Canada.

Stiroh, K. J. (2004). "Diversification in Banking: Is Non-Interest Income the Answer?" Journal of Money, Credit, and Banking 36(5): 853-882.

Stiroh, K. J. (2006). "A Portfolio View of Banking with Interest and Non interest income." Journal of Money, Credit, and Banking 28: 1351-1361.

Stulz, R. (1984). "Optimal Hedging Policies," Journal of Financial and Quantitative Analysis: 127-140.

Schmidt, P. and R. C. Sickles (1984). "Production Functions and Panel Data," Journal of Business and Economic Statistics 2: 367-374.

Wachtel, P. (2003) "How Much Do We Really Know about Growth and Finance?" Federal Reserve Bank of Atlanta, Economic Review: 33-47

Williams, B. (2007). "Factors Determining Net Interest Margins in Australia: Domestic and Foreign Banks." Financial Markets, Institutions Instruments 16(3): 145.

Williams, B. and G. Rajaguru (2007). "The Chicken or the Egg? The Trade-Off between Bank Non Interest Income and Net Interest Margins," 20th Australasian Finance & Banking Conference


沈中華、李建強 (2005). "同樣的金融發展,不同的經濟成長,為什麼?" 台灣財務金融學會年會暨學術論文研討會

沈中華、張雲翔 (2002). "金融機構跟業經營及轉投資之利潤與風險:全球實證分析." 經濟論文: 275-310.

沈中華、謝孟芬 (2006). "金融業提列備抵呆帳與景氣循環、法規之關聯性分析—以49 個國家為例." 財金論文叢刊 4: 1-23.
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔