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研究生:林育慈
研究生(外文):Lin, Yu Tzu
論文名稱:台灣銀行業系統重要性之衡量
論文名稱(外文):Measuring Systemic Importance of Taiwan’s Banking System
指導教授:林信助林信助引用關係
指導教授(外文):Lin, Shinn Juh
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際經營與貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
畢業學年度:103
語文別:中文
論文頁數:33
中文關鍵詞:系統風險系統重要性極值理論
外文關鍵詞:systemic risksystemic importanceextreme value theory approach
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本文利用Gravelle and Li (2013)提出之系統重要性指標來衡量國內九家上市金控銀行對於系統風險之貢獻程度。此種衡量方法係將特定銀行之系統重要性定義為該銀行發生危機造成系統風險增加的幅度,並以多變量極值理論進行機率的估算。實證結果顯示:一、系統重要性最高者為第一銀行;最低者為中國信託銀行。其中除中國信託銀行之重要性顯著低於其他銀行外,其餘銀行之系統重要性均無顯著差異。二、經營期間較長之銀行其系統重要性較高;具公股色彩之銀行對於系統風險之貢獻程度平均而言高於民營銀行。三、銀行規模與其對系統風險之貢獻大致呈現正向關係,即規模越大之銀行其重要性越高。在此情況下可能會有銀行大到不能倒的問題發生。四、存放比較低之銀行系統重要性亦較低,而資本適足率與系統重要性間並無明顯關係。
In this thesis, we apply the measure proposed by Gravelle and Li (2013) to examine the systemic importance of certain Taiwanese banks. The systemic importance is defined as the increase in the systemic risk conditioned on the crash of a particular bank, and is estimated by the multivariate extreme value theory. Our empirical evidence shows that the most systemically important bank is First Commercial Bank, and the CTBC Bank is significantly less important than other banks, while the differences among the remaining banks are not significant. Second, banks established earlier have higher systemic importance; and the contribution to systemic risk of public banks, on average, is higher than the contribution of private banks. Third, we also find out that the size of a bank and its risk contribution have positive relationship. That is, the bigger a bank is, the more important it is. Under this circumstances, the too big to fail problem may occur. Last, the bank which has lower loan-to-deposit ratio will be less systemically important than those with higher ones, while the relation between capital adequacy ratio and systemic importance is unclear.
摘 要 I
目 錄 III
表次 IV
圖次 IV
第一章 研究背景與動機 1
第二章 文獻回顧 5
第一節 國外文獻 5
第二節 國內文獻 7
第三章 研究方法 9
第一節 系統重要性衡量指標 9
第二節 估計方法 11
第四章 實證結果 15
第一節 資料來源與敘述性統計 15
第二節 台灣銀行業系統重要性衡量分析 18
第五章 結論 26
參考文獻 28
附錄 32
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