臺灣博碩士論文加值系統

　　銀行業具有資金流通的基本功能，國際金融危機間歇性爆發，諸多研究者探討金融危機發生原因，均無法產生一致性的結論，隨著臺灣金融自由化的程度增加，愈彰顯銀行流動性創造的功能。因此本研究嘗試建構我國銀行業流動性創造模式，並分析金融危機發生前後之流動性創造變化情形，以及觀察銀行資本額對流動性創造之影響。
　　所謂流動性創造係為銀行以資產與負債間的轉換模式，將非流動性資產轉化為流動性負債以進行流動性創造。因此，非流動性資產及流動性負債為銀行創造流動性之根源。反之，若銀行流動性資產及非流動性負債部位愈多，非但無法增加流動性創造功能，反而會降低流動性創造效果。
　　本研究觀察1990年至2011年第一季臺灣地區公開發行之銀行業季財務資訊，探討金融危機發生前後流動性創造之變化情形。在研究設計上，係參考Berger and Bouwman (2008)流動性創造衡量模式，並依據我國銀行業之財務報表特性，將資產、負債、股東權益等項目依據是否具備流動性特性，區分為流動、半流動及非流動，並賦予變數權重進行加總，計算得到銀行總體流動性創造。再者，依據資產規模將銀行業區分為大型銀行及小型銀行，分別探討資本額大小與流動性創造之關聯性。
　　研究結果發現，我國金融危機發生前之流動性創造亦增加，亦即金融危機事件與流動性創造呈正向關係，惟資本額與流動性創造之關係無法產生一致之結論，在全體銀行不分規模與大型銀行下之研究樣本，皆顯示資本額愈大流動性創造額愈大；而小型銀行之資本額與流動性創造呈負向關係。

One of the most basic functions of the banking sector is to provide liquidity. With the gradual deregulation of Taiwan’s banking sector, the importance of this function is even more pronounced. However, an abnormal level of liquidity creation often precedes a financial crisis. After a financial crisis, the activities of liquidity creation are reversed.
Liquidity creation is viewed as an exchange between assets and liabilities. To be more precise, liquidity creation means turning illiquid assets into liquid liabilities. Therefore, illiquid assets and liquid liabilities are essential to liquidity providers. On the other hand, if a bank has excessive liquid assets and illiquid liabilities, not only the bank’s ability to create liquidity is limited, in some case, the bank might decrease the liquidity.
This study analyzes the liquidity creation activities before and after the financial crisis. Data used is based on the financial reports of Taiwan’s public banking sector from 1990 to Q1 2001. The design of the study is based on liquidity creation model by Berger and Bouwman (2008). The key figures in the financial reports are closely analyzed, and assets, liabilities, and equities are sorted into liquid, semi-liquid, and illiquid, and are given weighting factors. Those weighting factors are eventually aggregated and used as the basis to gauge a bank’s ability the create liquidity. Furthermore, the banking sector is divided into large banks and small banks in order to study the relationships between the size of a bank and its ability to create liquidity.
This study concludes that, the likelihood of a financial crisis occurring and intensity of liquidity creation are positively correlated. However, there is no unifying conclusion for the relationship between the size of a bank and the ability of liquidity creation. Amongst the large banks, the size of their capitals and the liquidity creation ability is positively correlated. On the other hand, for small banks, the size of their capitals and the liquidity creation ability is inversely correlated.

中文論文提要 Ⅰ
英文論文提要 Ⅱ
目　錄 Ⅳ
圖　次 Ⅵ
表　次 Ⅶ

第一章　緒　論 1
　　第一節　研究背景與動機 1
　　第二節　研究問題與定位 3
　　第三節　研究流程 4
　　第四節　研究架構 5

第二章　文獻探討 6
　　第一節　流動性創造理論演進 6
　　第二節　金融危機 9
　　第三節　國際間對流動性風險管理之規範演進 12
　　第四節　國內主管機關對銀行流動性之相關規範 15

第三章　研究方法 16
　　第一節　流動性創造模型設計 16
　　第二節　研究樣本 19

第四章　資料分析與結果 22
　　第一節　敘述性統計分析 22
　　第二節　流動性創造趨勢 23
　　第三節　流動性創造總額分析 31
　　第四節　資本額與流動性創造關係 36
　　第五節　美國與臺灣銀行業流動性創造趨勢比較 39

第五章　結論與建議 45
　　第一節　結論 45
　　第二節　建議 46

參考文獻 47

一、中文部份
1.張智傑著，多國觀點下銀行流動性創造與經濟成長之因果關係，國立高雄大學經營管理研所碩士論文，民國98年6月。
2.鍾欣潔著，流動性創造是否會導致更多的流動性風險?，國立高雄大學經營管理研所碩士論文，民國99年6月。
3.宋遠揚著，銀行是否能夠藉由創造流動性增加績效?，國立高雄大學經營管理研所碩士論文，民國99年7月。
4.吳美毓著，金融機構公司治理與流動性創造之關係：跨國之研究，南台科技大學財務金融研究所碩士論文，民國98年6月。
5.許瀞心著，金融發展與經濟成長:流動性創造之角色，南台科技大學財務金融研究所碩士論文，民國98年6月。
6.陳庭萱著，流動性創造與受傷銀行跨國之事件研究，國立政治大學金融研究所未出版博士論文，民國100年6月。
7.沈中華、林昌平著，金融發展對經濟成長的影響－動態追蹤資料門檻模型，臺灣經濟研究，45卷2期 ，第143-188頁，民國98年7月。

二、英文部份
1.Allen, F. and Carletti, E., “Market-to-Market Accounting and Liquidity Pricing. “ The Journal of Accounting and Economics, forthcoming, 2006.
2.Allen, F. and Carletti, E., “Banks, Markets and Liquidity. “ Working paper. University of Pennsylvania, 2007.
3.Allen, F. and Gale, D., “Financial Contagion.” The Journal of Political Economy, vol.108 no.1, 2000, PP.1-33.
4.Allen, F. and Gale, D., “Bubbles and Crises. “ The Economic Journal , vol.110, 2000, PP.236-255.
5.Allen, F. and Gale, D., “Competition and Financial Stability,” Journal of Money, Credit, and Banking, 36, 2004, PP. 453-480.
6.Allen, F., and Anthony M. Santomero, “The Theory of. Financial Intermediation,” Journal of Banking &. Finance,21, 1998, PP. 1461-1485.
7.Beck, T., Demirgüç-Kunt, A., & Levine, R. “Financial Institutions and Markets across Countries and over Time - Data and Analysis.” Policy Research Working Paper, No. 4943, 2009.
8.Berger, A.N. and Bouwman, C.H.S., and Hasan, I., “Liquidity Creation and Economic Growth Around the World. “ Working paper, 2005.
9.Berger, A.N. and Bouwman C.H.S., “The Measurement of Bank Liquidity Creation and the Effect of Capital. “ Review of Financial Studies, vol. 22, no.9, 2006, PP.3779-3837.
10.Berger, A.N., and Bouwman, C.H.S., “Bank Liquidity Creation. “ Review of Financial Studies, vol. 22, no.9, 2007, PP. 3779-3837.
11.Berger, A.N., and Bouwman, C.H.S., “Financial Crises and Bank Liquidity Creation. “ Working Paper, 2008.
12.Berger, A. N., and Bouwman, C.H.S., “Bank Liquidity Creation. “ Review of Financial Studies, 2009.
13.Boyd, J. H. and Kwak, S., Smith, B., “The Real Output Losses Associated with Modern Banking Crises. “ The Journal of Money, Credit, and Banking , vol. 37, no.6, 2005, PP. 977-999.
14.Brian M.Riedl,“Why Government Spending Does Not Stimulate Economic Growth”, Heritage Foundation Washington Policy Center , No.2208, 2009.
15.Calomiris, C. W. and Mason, J. R., “Consequences of Bank Distress during the Great Depression. “ The American Economic Review , vol.93, no,3, 2003, PP. 937-947.
16.Calomiris, C. W. and Mason, J. R., “Fundamentals, and Bank Distress during the Depression. “ The American Economic Review , vol.93, no.5, 2003, PP. 1615-1647.
17.Calomiris, C. W. and Mason, J. R., “Contagion and Bank Failures during the Great Depression: The June 1932 Chicago Banking Panic. “ The American Economic Review ,vol.87, no.5, 1997, PP. 863-883.
18.Chari, V. V., Jagannathan, R., “Banking Panic, Information, and Rational Expectations Equilibrium. “ The Journal of Finance , vol.43, no.3, 1988, PP. 749-761.
19.Diamond, D. W., Rajan, R. G., “Banks and liquidity. “ The American Economic Review , vol.91, no.2, 2001, PP. 422-425.
20.Diamond, D. W., Rajan, R. G., “Liquidity Risk, Liquidity Creation, and financial Fragility: A Theory of Banking. “ The Journal of political Economy 109 (21),2001, PP. 287-327.
21.Diamond, D. W., Rajan, R. G., “Bank Bailouts and Aggregate Liquidity. “ The American Economic Review , vol.92, no.2, 2002, PP. 38-41.
22.Diamond, D. W., and P.H. Dybvig, “Bank Runs, Deposit Insurance, and Liquidity. “ The Journal of political Economy , vol.91, no.3, 1983, PP. 401-419.
23.Diamond, D. W., Rajan, R. G., “Liquidity Shortages and Banking Crises. “ The Journal of Finance LX , no.2, 2005, PP. 615-647.
24.Diamond, D. W., Rajan, R. G., “Money in a Theory of Banking. “ The American Economic Review , vol.96, no.1, 2006, PP. 30-53.
25.Diamond, D. W., “Banks and Liquidity Creation: A Simple Exposition of the Diamond-Dybvig Model. “ Working Paper , 2007.
26.Gorton, G., “Banking Panics and Business Cycles. “ Oxford Economic Papers, New Series , vol.40, no.4, 1988, PP. 751-781.
27.Jenkinson, Nigel, “Strengthening Regimes for Controlling Liquidity Risk: Some Lesions From the Recent Turmoil,” Quarterly Bulletin, Bank of England, 2008.
28.Kashyap, A. K., R. Rajan, and J. C., Stein, “Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-Taking,” Journal of Finance, 57, 1, 2002, PP. 33-73.
29.Rauch, C., Steffen, S., Hackethal, A., Tyrell, M., “Savings Banks, Liquidity Creation and Monetary Policy.” Working Paper, 2009.
30.Thadden, E. L. “Liquidity Creation through Banks and Markets: Multiple
Insurance and Limited Market access.” European Economic Review, 43(4-6), 1999, PP. 991-1006.
31.Yehning, C., Iftekhar, H., “The Transparency of the banking system and the efficiency of information-based bank runs. “ The Journal of Financial Intermediation vol.15, 2006, PP. 307-331.