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研究生:陳瀧傑
研究生(外文):Chen Lung-Jie
論文名稱:Basel資本規範下銀行業的資本適足與風險承擔之關聯
論文名稱(外文):Capital Adequacy Ratio and Risk-Taking Behavior under Basel Regulation in Banking
指導教授:林淑玲林淑玲引用關係
指導教授(外文):Lin Shu-Ling
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:57
中文關鍵詞:資本規範資本適足巴塞爾資本協定風險承擔
外文關鍵詞:capital regulationcapital adequacyBasel Accordrisk taking
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本文透過在2000年至2007年間,21個已開發國家與21個新興市場國家的財務資料,檢驗銀行在資本規範下將如何調整資本適足與風險承擔,並利用聯立方程模型以驗證銀行在遵守資本規範時,是否將產生道德危機以及是否存在資本緩衝部位理論。此外,透過跨國的比較,探討已開發國家與新興市場國家的銀行對資本適足和風險承擔的調整方式,並針對巴塞爾會員國與非巴塞爾會員國之比較,以進一步驗證資本規範是否對銀行的風險行為產生影響。
本文採用聯立方程式模型,並以二階段最小平方法與三階段最小平方法兩種統計方法進行檢驗,祈能得到更有效率的估計值。經由本文實證發現,銀行對於資本規範的因應,將會因為不同的金融環境與資本規範的完善程度而有所差異,在經濟發展成熟或很早就實施巴塞爾資本協定的國家中,資本規範較能發揮作用。
本文認為經濟發展成熟的國家在金融法令與會計制度上比較成熟,資本規範的實施會比較有效率;另外,很早就實施巴塞爾資本協定的國家,被認為必須要作為其他國家的榜樣,在這樣的壓力趨使下,資本規範會產生很大的效果。
This thesis applies the financial data of 21 developed countries and 21 emerging countries, to examine that how the banks adjust their capital adequacy and risk taking ability under capital regulation. In addition, we use simultaneous equations to examine if the banks would have moral hazard problems and if the capital buffer theory applies when they comply with the capital regulation. Furthermore, by comparing among the countries, discuss the way how the banks of developed countries and emerging countries adjust their capital adequacy and risk taking ability, and we focus on comparing among the Basel members and the non-Basel members, to examine if the capital regulation has any impact on the behaviors of the banks’ risk taking activities.
We use simultaneous-equation model, and two-step and three-step MSE to examine the results, hoping to get the more efficient estimates. In our empirical results, we found that how the banks responds to the capital regulation would depend on the financial surroundings and how thorough the capital regulation has been enforced. In those countries where economic situation is mature enough and capital regulation is enforced well enough, capital regulation can work more effectively.
We consider that developed countries have more strict financial laws and accounting systems, so the capital regulation can be well enforced. Besides, those countries where Basel Accord have been enforced more earlier are considered to be the model of otherwise countries, under this pressure, the capital regulation would show great effect.
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻回顧 4
第一節 巴塞爾資本協定之制定沿革 4
第二節 資本規範之相關實證 6
第三章 研究設計與方法 10
第一節 研究設計與假說 10
一、 BASEL資本規範之架構 10
二、 實證模式 11
三、 研究假說 13
第二節 變數之操作性定義 14
一、 資本與風險之定義 14
二、 銀行特定變數 16
三、 總體經濟變數 18
第三節 研究對象、期間與資料來源 18
第四節 統計方法 19
第四章 實證結果與探討 20
第一節 敘述性統計與變數之相關性分析 20
第二節 實證結果 23
一、 全體樣本 23
二、 已開發國家與新興市場國家之比較 26
三、 巴塞爾會員國與非巴塞爾會員國之比較 31
第五章 結論與建議 37
第一節 研究結論 37
第二節 建議事項 39
參考文獻 40
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