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研究生:謝易軒
研究生(外文):Yi-Syuan Shieh
論文名稱:銀行證券化對經濟衝擊下銀行信用風險敏感度的影響
論文名稱(外文):How Does the Level of Securitization Affect Bank’s Debt Holder’s Sensitivity to Default Under Economic Shock
指導教授:廖咸興廖咸興引用關係
口試委員:陳宗岡李阿乙
口試日期:2015-06-25
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
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:2015
畢業學年度:103
語文別:中文
論文頁數:26
中文關鍵詞:證券化經濟衝擊銀行債權人違約敏感度信用風險
外文關鍵詞:SecuritizationEconomic shockBank’s debt holderSensitivity to defaultCredit risk
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本文從銀行債權人的角度出發,討論銀行進行證券化和在經濟衝擊下銀行債權人違約風險變化兩者之間的關係,而從實證結果可以歸納出兩個結論,第一個是銀行進行證券化可以有效降低銀行債權人對經濟衝擊的敏感度,因證券化可以提供額外的流動性,相當於另一種融資管道,所以在發生經濟衝擊時有進行證券化的銀行其融資成本比較不容易大幅波動,其銀行債權人違約風險自然就也不會因為經濟衝擊而劇烈變化;第二個則是降低敏感度的力量和景氣狀況有密切關係,在景氣差時此種效果較明顯,景氣好時此種效果較差,因債權人擔心的是銀行違約,而在景氣差時銀行違約的可能性是比較高的,這時證券化所提供的流動性相比於景氣較好的時候就更為重要。

We examine how bank’s securitization affects bank’s debt holder’s sensitivity under economic shock. Our empirical results show that (1) Banks can reduce the impact of economic shocks on their debt holders through securitization, because securitization provides an alternative funding source for banks under economic shocks; (2) The securitization effect is more significant when the economy is in recession than in growth. Because the additional liquidity provided by securitization is more crucial for banks in downturn periods than in booming ones.

口試委員審定書 i
誌謝 i
摘要 i
Abstract ii
目錄頁 iii
圖表目錄頁 iv
第一章 概述 1
第二章 研究假說 4
2.1主要假說:銀行證券化量和銀行債權人面對經濟衝擊時的違約敏感度呈負向關係 4
2.2次要假說:主要假說中的下降效果在景氣擴張時期較弱,在景氣萎縮時期較強 4
第三章 研究方法&資料 5
3.1研究方法:敏感度β求得 5
3.2研究方法:迴歸式說明 7
3.3 資料處理 9
第四章 實證結果與分析 12
4.1證券化對經濟衝擊下銀行債權人敏感度之影響 12
4.2 景氣狀況不同對證券化降低敏感度β的影響關係 14
第五章 結論 16
參考資料 17
【表一、敘述統計量】 19
【表二、相關係數】 20
【表三、貨幣供給量M1及M2對證券化迴歸結果】 21
【表四、泰德利差TED及恐慌指數VIX對證券化迴歸結果】 22
【表五、貨幣供給量M2對證券化變數迴歸結果】 23
【表六、貨幣供給量M2對證券化變數迴歸結果(加入美國GDP做控制變數)】 24
【表七、貨幣供給量M2對證券化變數迴歸結果(景氣萎縮組)】 25
【表八、貨幣供給量M2對證券化變數迴歸結果(景氣擴張組)】 26




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