臺灣博碩士論文加值系統

2008年起源於華爾街的金融危機，透過金融機構錯綜複雜的鏈結下最終演變成一場席捲全球的金融海嘯，引發各界對金融體系的鏈結與系統風險相關議題的討論，特別是探討銀行同業鏈結效果與系統性風險之關聯。本研究以銀行同業暴險與期限錯配兩特性檢視銀行同業鏈結效果對系統風險之影響，先採用∆CoVaR衡量個別銀行對整體系統造成之風險，再以縱橫資料模型針對此外溢風險與銀行特性做進一步分析，本文以2006年至2016年美國前100大商業銀行作為研究樣本。
本研究發現銀行同業暴險與期限錯配比例對於銀行系統風險皆具有正向關係，藉由銀行於同業間的暴險程度探討系統風險，可提供監管機關從整體銀行同業市場角度來制定未來銀行法規，此外，研究顯示擁有較高期限錯配比例的銀行對於整體系統具有更大的威脅，本研究結果支持IMF(2013) 所提出的論點，監管單位應加強有關銀行期限錯配之流動性法規限制。

The financial crisis of 2008 has raised the awareness of the need to reinforce the control of systemic risk stem from the connections between financial institutions, particularly focus on the issue about the connection between the interconnectedness among banks and systemic risk. This paper studies whether interconnectedness stem from interbank exposure and maturity mismatch cause banks to bring about higher marginal contribution to the whole system. We first use ∆CoVaR to measure externality each bank imposes on the financial system, then we employ panel data techniques to analyze the relationship between bank characteristics and systemic risk. Our sample focus on Top 100 publicly traded commercial banks in the United States over the period 2006-2016.
Our results demonstrate banks with higher interbank exposure and maturity mismatch have a higher contribution to systemic risk. Using interbank exposure variable can let supervisors be aware of the systemic risk present in the whole system. Furthermore, we find bank with higher maturity mismatch contribute adversely to the financial system. Our finding support the view of IMF (2013) that it is important for supervisors to implement a systemic perspective on bank liquidity regulation related to maturity mismatch.

摘 要 i
Abstract i
List of Tables iv
1. Introduction 1
2. Literature Review 6
2.1 Systemic Risk 6
2.2 Financial Institution’s Individual Characteristics Relate to Systemic Risk 8
2.3 Financial Institution’s Interconnectedness and Systemic Risk 10
3. Data and Methodology 15
3.1 Data 15
3.2 Measuring Systemic Risk with CoVaR 15
3.3 Estimating the Impact of Interconnectedness 19
4. Empirical Results 21
5. Conclusions 25
References 27

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