臺灣博碩士論文加值系統

特許權價值係為減輕銀行風險承擔的重要角色，而市場的有限競爭則成為特許權價值的主要來源，故降低銀行市場競爭度被視為是促進銀行體系穩定的重要手段。本研究運用1995年至2013年國內銀行產業555筆樣本為研究對象，主要探討銀行業競爭度與銀行風險承擔之關係，是否如同特許權價值或風險移轉模式所主張的線性關係，抑或如同Martínez-Miera and Repullo (2010)提出MMR模型所主張的非線性關係。本文運用銀行逾期放款比率作為銀行風險的代理變數，並分別使用放款市場與存款市場的HHI指標及前五大銀行市佔率為市場集中度代理變數。實證結果顯示，無論放款市場或存款市場的集中度皆與銀行風險承擔程度呈現非線性關係。其中，銀行放款市場集中度與銀行風險呈現倒U字型關係；另外，銀行存款市場集中度則與銀行風險呈現U字型關係，並支持MMR模型。

The franchise value plays a key role in mitigate bank risk-taking. As the market power is the primary source of franchise, the reduced competition of bank industry has been an important mean to promote banking stability. The research samples are banks consisting of 555 observations in Taiwan during 1995-2013. This paper investigates whether the relationship between competition and risk-taking is linear which argued by “franchise value” or “risk-shifting” paradigm or is nonlinear argued by Martínez-Miera and Repullo (MMR, 2010). This paper uses the non-performing loan ratio of bank to proxy bank risk-taking, and uses the HHI index and the share of the 5 largest banks to measure the bank concentration in loan market and deposit market, respectively.
The empirical results indicate that exist a nonlinear relationship between market concentration and bank risk-tanking in both the loan and deposit markets. Moreover, the relationship between bank concentration and bank risk-taking is inverse U-shaped in the loan market. The results find that a U-shaped relationship exists between bank concentration and risk-taking in the deposit market. The results also support the empirical relevance of the MMR model.

中文摘要……………...........................................................................………......i
Abstract....…………………………………..………........………..…………..….ii
誌謝…………………...………………………..…………….....…...…………..iii
目錄…………………...………………………..…………….....…...…………..iv
表目錄…………………………………………..………………….....………...vii
一、緒論…………..……………………………..…...…………........…....…….1
1.1 研究背景與動機 ………………..……………………...…..………1
1.2 研究目的 ……………..…...…………………………...……..…….3
1.3 研究架構 ………….....……………………………..……...……….3
二、文獻探討…………………..……..………………...….…………..…..……4
三、研究方法………………..………………………...…………..….……...…13
3.1 樣本選取與資料來源………..……………...………...….........…..13
3.2 變數定義………………………..……………………...………......13
3.3 實證模型…………………………………………...……….......….15
四、實證結果與分析……………..………………………………..……..……17
4.1 敘述性統計分析……...………...........................................………17
4.1.1 敘述性統計量 ……………………………………………………17
4.1.2 Pearson相關分析…………………………………………………19
4.1.3 根據貸款市場集中度之樣本敘述統計量 ………………………22
4.1.4 根據前5大銀行的貸款市佔率分組之樣本敍述統計量 ………24
4.1.5 根據存款市場集中度之樣本敍述統計量 ………………………25
4.1.6 根據前5大銀行的存款市佔率之樣本敍述統計量 ……………26
4.2 貸款市場競爭度對銀行風險承擔之影響…………...….……….27
4.2.1 貸款市場的集中度對銀行風險之影響...……………...………...27
4.2.2 前5大銀行貸款市場之市佔率(C5_loan)對銀行風險之影響….29
4.3 存款市場競爭度對銀行風險承擔之影響 ...……………....……31
4.3.1 存款市場的集中度對銀行風險之影響...…………...…...………31
4.3.2 前5大銀行存款市場市佔率(C5_deposit)對銀行風險之影響…33
五、結論與建議…………………………..……………………..………..…...35
5.1 研究結論 ....………………………………………....……...…….35
5.2 研究限制與建議.…………………………………....……...……..35
參考文獻 …………………………………………………………...…….…...36

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