臺灣博碩士論文加值系統

本研究旨在探討影響台灣銀行利差之因素，與過去文獻比較，有三個主要貢獻:第一，以台灣為例，探討影響銀行利差之會計與總體變數，研究期間為1998~ 2011。第二，結合過去兩篇重要文獻之變數(Angbazo, 1997 and Lopez- Espinosa, Moreno, and Gracia, 2011)，發現這些以美國為資料的會計變數若以台灣為研究對象，其結果顯示出對台灣銀行的淨利差影響並不相同。第三，修改此兩篇文獻之模型，並提出一新回歸模型來解釋影響台灣銀行業的利差因素。本研究的實證結果發現，會計變數-違約風險、銀行利率風險、償債能力、技術效率及管理品質、市場力量、隱含的利息支付及提存央行準備金對銀行利差有顯著影響；而總體變數-利率波動度、通貨膨脹率及失業率對台灣銀行的利差沒有顯著影響。此發現不只對台灣銀行業的業務決策有幫助，也能有助於當局政策的實施。

This study analyzes the determinants of Taiwan banks’ net interest margins (NIM). The study presents three main contributions compared with previous studies. First, I explore the possible accounting and macroeconomic determinants of Taiwan banks’ NIM from 1998 to 2011. Second, I review the accounting variables proposed by two important prior studies in this area (Angbazo, 1997 and Lopez-Espinosa, Moreno, and Gracia, 2011) and find that these accounting variables do not have identical influence to Taiwan banks’ NIM as they are explained in the original papers when U.S. data are used. Third, modifying the models of Angbazo (1997) and Lopez-Espinosa, Moreno, and Gracia (2011), I propose a new regression model which is better explaining Taiwan banks’ NIM. My empirical results show that NIM would be affected by default risk, interest rate risk of bank, level of solvency, technical efficiency and management quality, market power, implicit interest payments, and non-interest bearing reserves. However, all macroeconomic variables including interest rate volatility, inflation rate, and unemployment rate are not significant. The findings in this study could help not only for the business decision making of the banking industry but also for the policy implementation of the authorities in Taiwan.

1. Introduction 1
2. Literature Review 6
2.1 The definition of NIM and the method of measures 6
2.2 The empirical research of NIM determinants 8
3. Data and Methodology 14
3.1 Sample selection 14
3.2 Methodology 15
4. Empirical results 24
4.1 Analysis of summary statistics 24
4.2 Analysis of multiple regression models 27
5. Conclusion 33
6. References 35

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