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.

目錄

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


圖表目錄

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

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