臺灣博碩士論文加值系統

本研究以內部歸因的角度，以台灣銀行業為研究對象，探討衍生性金融商品操作之風險效果。銀行特質可能影響操作傾向，造成樣本選擇性偏誤問題。為解決非隨機抽樣偏誤，所引發估計偏誤問題，實證模型採 Heckman兩階段估計法，處理內生性與選擇性偏誤問題。第一階段選擇方程式，分別估計銀行治理、財務特性、使用目的等變數，對銀行操作傾向之影響效果。第二階段結果方程式，則分別估計傾向高、低之避險結果方程式。實證結果發現，若由外部歸因角度，使用衍生性金融商品會顯著提高匯率、利率、總風險。但若考慮銀行特質導致選擇性差異，則發現ATT為負但不顯著，ATU與ATE效果為負且顯著，表示使用傾向高的銀行樣本，使用傾向改變對風險無顯著影響。原使用傾向低的銀行樣本，若提高使用傾向，則匯率、利率風險均顯著降低。

This study focuses on the risk effects of derivatives commodities usages on Taiwan's commercial banks from the perspective of endogenous attribution. The Characteristics of bank may affect tendency of using derivatives and cause sample selection bias. To avoid estimation bias caused by non-random sampling, our empirical model adopts Heckman two-stage estimation method to correct endogeneity and selection bias. At the first stage, selection equations estimate the determinants of derivatives usages of bank, which include variables of bank governance, financial characteristics and the purpose of bank-derived derivatives. At the second-stage, outcome equations estimate separately the risk effects of high and low derivatives usages. The empirical results of external selection show that derivatives usages will increase exchange rates, interest rates, and total risks significantly. However, if the bank characteristics variables are important factors influencing selection derivatives usages of bank, the risks effects will different from external attribution. The effects of ATT is negative but not significant. The effects of ATU and ATE are significantly negative. The results indicate that changing usages tendency of high usages samples will not affect risk effects, and changing usages tendency of low usages samples will significantly decrease exchange rate and interest rate risk.

中文摘要................................................................................................................I
英文摘要..............................................................................................................II
目錄.................................................................................................................III
圖目錄..............................................................................................................V
表目錄.............................................................................................................VI
第壹章緒論.........................................................................................................1
第一節研究背景與動機..............................................................................1
第二節研究目的與方向..............................................................................2
第貳章文獻回顧與探討.....................................................................................5
第一節衍生性金融商品..............................................................................5
第二節衍生性金融商品與系統風險..........................................................7
第三節衍生性金融商品與個別化風險....................................................11
第四節避險效果估計與內生性問題........................................................16
第參章實證模型設定.......................................................................................17
第一節樣本選擇性偏誤與Heckman兩階段估計法..............................17
第二節處置效果........................................................................................19
第三節縱橫資料判斷與估計....................................................................21
第四節資料來源與處理............................................................................25
第肆章實證結果分析.......................................................................................33
第一節資料樣本分析................................................................................33
第二節相關性分析....................................................................................35
第三節Heckman兩階段估計與修正.......................................................37
第伍章結論.......................................................................................................49
參考文獻.............................................................................................................51

圖目錄
圖1-1實証流程圖................................................................................................4

表目錄
表2.2.1 銀行操作衍生性金融商品對系統風險的影響....................................9
表2.3.1銀行操作衍生性金融商品對非系統風險的影響..............................13
表3.4.1應變數資料來源與處理......................................................................26
表3.4.2自變數(交易目的)資料來源與處理....................................................29
表3.4.3自變數(銀行治理)資料來源與處理....................................................30
表3.4.3自變數(銀行財務特質)資料來源與處理............................................32
表4.1.1資料樣本分析表...................................................................................34
表4.2.1變數相關係數分析表...........................................................................36
表4.3.1 衍生性金融商品之使用傾向結果: probit 模型................................38
表4.3.2匯率風險估計結果...............................................................................40
表4.3.3利率風險估計結果...............................................................................41
表4.3.4總風險估計結果...................................................................................42
表4.3.5匯率風險結果方程式比較表...............................................................44
表4.3.6利率風險結果方程式比較表...............................................................45
表4.3.7總風險結果方程式比較表...................................................................46
表4.4.1銀行風險(使用傾向差異)比較表........................................................48
表4.4.2處置效果比較表...................................................................................48

一、中文部分
1. 林丙輝、張森林、葉仕國(2017)，「台灣衍生性金融商品市場實證與運用研究文獻回顧與展望」，台大管理論叢，第27卷第2期，頁211-257。
2. 林呈翰(2013)，「風險對衍生性金融商品使用之影響-台灣銀行業的實證結果」，碩士論文，虎尾科技大學財務金融研究所。
3. 陳珀貴、鹿森夢、盧正壽(2015)，「經理人持股與銀行風險承擔: 論內部治理之角色」，臺灣企業績效學刊，第9卷第1期，頁23-52。
4. 陳光耀(2005)，「台灣短期利率衍生性金融商品價格發現之研究」，碩士論文，政治大學金融研究所。
5. 陳裴紋(2004)，「衍生性金融商品對中央銀行的政策意涵」，中央銀行季刊，第26卷第1期。
6. 詹錦宏、施介人(2005)，「台股指數現貨、期貨與選擇權價格發現之研究」，台灣金融財務季刊，第6卷第1期，頁31-51。
7. 廖益興、高儷華、單騰笙(2018)，「產業專精之查核是否能減緩企業之財稅差異」，經濟論文叢刊，第46卷第1期，頁125-178。
8. 銀慶貞、陶宏麟、洪嘉瑜(2012)，「補習對考大學真的有用嗎? 」，經濟論文叢刊，第40卷第1期，頁73-118。
9. 劉景中(2016)，「銀行治理、利率及匯率衍生性金融商品與銀行利率及匯率風險:台灣實證研究」，經濟論文叢刊，第44卷第2期，頁257-337。
10. 蔡吉益(2013)，「表外衍生性金融商品與銀行風險之研究」，碩士論文，臺北大學合作經濟學系。
11. 謝文良(2002)，「價格發現、資訊傳遞與市場整合-台股期貨市場之研究」，財務金融學刊，第10卷第3期，頁1-31。

二、英文部分
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8. Greene, W.(2002), “Alternative panel data estimators for stochastic frontier models, ”Department of Economics, New York University.
9. Guay, W., and Kothari, S. P. (2003), “How much do firms hedge with derivatives,” Journal of Financial Economics, Vol.70(3), pp.423-461.
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14. Sinha, P., and Sharma, S.(2016), “Derivative use and its impact on Systematic Risk of Indian Banks: Evidence using Tobit model,” MPRA Paper No.72251.
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