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研究生:王月英
研究生(外文):WANG,YUE-YING
論文名稱:銀行獲利能力與放款品質之動態關係
論文名稱(外文):Dynamic Relations between Bank Profitability and Loan Quality
指導教授:闕河士闕河士引用關係
指導教授(外文):CHUEH,HORACE
口試委員:葉仕國王健聰菅瑞昌闕河士
口試日期:2017-10-27
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融系碩士班
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:2017
畢業學年度:106
語文別:中文
論文頁數:68
中文關鍵詞:獲利能力放款品質銀行業
外文關鍵詞:ProfitabilityLoan QualityBank Industry
相關次數:
  • 被引用被引用:8
  • 點閱點閱:369
  • 評分評分:
  • 下載下載:84
  • 收藏至我的研究室書目清單書目收藏:0
本文以2005年至2016年期間本國銀行的季資料為樣本,主要目的在檢驗銀行獲利能力(以資產報酬率和權益報酬率衡量)與放款品質(以逾期放款比率衡量)的動態關係。為探索此二構念之關係,使用的計量方法包括向量誤差修正模型、格蘭傑因果關係、衝擊反應函數和預測誤差變異數分解。實證結果發現,放款品質與獲利能力存在長期的正向關係。實證結果亦指出放款品質落後期對獲利能力具有正向影響,反之則不成立。此外,亦發現放款品質比獲利能力具有更強的外生性。
By using quarterly data from domestic banks in Taiwan for the period covering 2005 to 2016, the aim of paper is to examine the dynamic relationship between bank profitability (measured by return on assets (ROA) and return on Equity (ROE)) and loan quality (measured by non-performing loans (NPLs)). Econometric techniques including vector error correction model (VECM), Granger causality, impulse response functions and forecast error variance decomposition are employed to capture the the dynamic interdependencies between these two constructs. The result supports a long-run positive relationship between loan quality and profitability. We find that the lagged loan quality has a positive impact on the profitability and not vice versa. The evidence also indicates that banks’ loan quality is more relatively exogenous than their profitability.
目錄
                      

中文摘要  --------------------------------------------------------------------------------- i
英文摘要 --------------------------------------------------------------------------------- ii
誌謝 --------------------------------------------------------------------------------- iii
目錄 --------------------------------------------------------------------------------- iv
表目錄 --------------------------------------------------------------------------------- v
圖目錄 --------------------------------------------------------------------------------- vi
第壹章 緒論 ----------------------------------------------------------------------------- 1
第一節 研究背景與動機 ------------------------------------------------------------ 1
第二節 研究目的 --------------------------------------------------------------------- 4
第三節 論文結構 --------------------------------------------------------------------- 5
第貳章 文獻探討 ----------------------------------------------------------------------- 6
第一節 銀行獲利能力對放款品質之影響 --------------------------------------- 6
第二節 銀行放款品質對獲利能力之影響 --------------------------------------- 10
第參章 研究方法 ----------------------------------------------------------------------- 12
第一節 研究架構與假說 ------------------------------------------------------------ 12
第二節 變數定義與衡量 ------------------------------------------------------------ 21
第三節 計量模型與假說檢定方法 ------------------------------------------------ 23
第四節 樣本與資料 ------------------------------------------------------------------ 34
第肆章 實證結果與分析 -------------------------------------------------------------- 35
第一節 變數敘述性統計與單根檢定 --------------------------------------------- 35
第二節 共整合檢定與向量誤差修正自我迴歸模型估計 --------------------- 39
第伍章 結論與建議 -------------------------------------------------------------------- 49
第一節 研究結論 --------------------------------------------------------------------- 49
第二節 研究建議 --------------------------------------------------------------------- 51
參考文獻 ----------------------------------------------------------------------------------- 52

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