臺灣博碩士論文加值系統

2007年到2009年全球金融危機重創全球經濟，因此在金融危機之後，相關主管機關即針對金融監理機制進行全面性檢討與改革，資本適足規定變嚴已然成為國際趨勢，國際清算銀行於2010年發布巴塞爾資本協定Ⅲ，將原來之版本修訂成更為周全之資本適足規定，臺灣主管機關亦根據巴塞爾資本協定Ⅲ修訂相關規範。本研究以2001年至2017年間，臺灣18家公、民營銀行為樣本，欲探討臺灣銀行業資本適足率與其績效表現之關聯性。本研究實證結果顯示資本適足率與銀行獲利能力及信用風險存在關聯性，更進一步探討發現，在金融危機之前，維持高資本適足率之公股銀行有較佳的獲利能力及較低的信用風險，表示維持較高資本適足率的銀行可能相對也較重視風險管理。然而金融危機時期，資本適足率較高之銀行獲利能力表現較差，而在金融危機之後，資本適足率與獲利能力仍為負相關，且與信用風險為正相關。整體而言，資本水準較高之公股銀行信用風險較低，而維持高資本適足率之民營銀行獲利能力較差。本篇論文之實證結果應可作為主管機關執行資本適足規定之參考。

This study examines the relationship between capital adequacy ratio, profitability and credit risk in Taiwanese banking by using a sample of 18 state-owned and private banks during 2001-2017. The results show that the capital adequacy is associated with Taiwanese banks’ performance. This study further investigates the relationship between capital adequacy and performance before, during, and after the 2008 financial crisis. The results show that state-owned banks with higher capital adequacy is more profitable and with lower credit risk before the crisis. However, during and after the crisis, the relationship between capital adequacy and profitability is negative while the relationship between capital adequacy and credit risk is positive after the crisis. In sum, well-capitalized state-owned banks have relatively lower credit risk while well-capitalized private banks is less profitable.

第壹章 緒論...........................1
第貳章 相關法規、文獻探討與假說建立.....4
第一節 相關法規........................4
第二節 文獻探討........................6
第三節 假說建立........................11
第參章 研究方法........................12
第一節 研究樣本........................13
第二節 研究模型........................13
第肆章 實證結果........................15
第一節 敘述性統計......................15
第二節 主要測試........................17
第三節 額外測試........................18
第四節 穩健性測試......................22
第伍章 結論............................23
參考文獻...............................24
附錄..................................29

1.王淑芬、謝文馨。台灣地區銀行經營績效之分析—以泛公股銀行與民營銀行為例。臺灣銀行季刊，61（1），20-48，（2010）。
2.王姿琳。迎接明年升息，長期抱股不能只看殖利率存股族迷思破解！金融股「捨公營挑民營」。商業周刊，1568，頁52，（2017）。
3.李渥牆、郭宸臻。銀行經營績效與經營指標關聯性之研究—分量迴歸之應用。臺灣銀行季刊，63（2），1-33，（2012）。
4.沈中華。BASEL III新風險管理概念與對我國銀行業未來可能衝擊。臺灣金融研訓院103年自提研究計畫結案報告，（2014）。
5.李勝榮。總體經濟、景氣循環因素與銀行績效關聯性之研究。中華管理評論國際學報，19（2），1-13，（2016）。
6.林鳴琴、俞孟瑄。從銀行內部因素、產業因素、總體經濟因素探討台灣銀行業獲利績效。財金論文叢刊，26，43-54，（2017）。
7.胡勝正、盧俊偉。民進黨首次執政下的金融改革：回顧與展望。「2013民主進步黨八年執政研討會」發表之論文，集思台大會議中心蘇格拉底廳。（2013）。
8.洪振義、江啟正與蕭宇君。股權結構、財務比率與總體經濟因素對公司績效關係之研究——以台灣銀行業為例。全球商業經營管理學報，8，69-78，（2016）。
9.倪衍森、鄭新民與黃寶玉。銀行營業特性與資本適足率會影響逾放比。商管科技季刊，10（3），465-489，（2009）。
http://dx.doi.org/10.30083/CMQ.200909.0003。
10.郭秋榮。巴塞爾銀行監理委員會資本適足率之規範及其新制之影響。經濟研究，3，47-64，（2003）。
11.陳美菊。全球金融危機之成因、影響及因應。經濟研究，9，261-296，（2009）。
12.張斐雅。銀行資產品質及資本適足率與其經營績效之關係。中正大學。國際經濟研究所碩士學位論文，（2010）。
13.陸靜。巴塞爾協議 III 及其對國際銀行業的影響。國際金融研究，3，56-67，（2011）。
14.張麗娟、李育真。本國銀行風險管理與財務危機對財務績效之影響。臺灣銀行季刊，62（1），1-25，（2011）。
15.陳冠志、謝仁和、曹淑琳、胡盼。中國上市商業銀行風險管理對財務績效之影響。風險管理學報，19（2），87-115，（2017）。
16.黃景沂、莊晋祥。臺灣銀行業在兩次金融改革期間的競爭與存、貸戶褔利的變化。經濟論文叢刊，40（4），421-460，（2012）。
http://dx.doi.org/10.6277/ter.2012.404.1
17.葉銀華。泛公股企業之治理機制。會計研究月刊，370，21-25，（2016）。http://dx.doi.org/10.6650/ARM.2016.370.21
18.鄭政秉、梁連文、陳仁屏。模擬BASEL III新資本監管對台灣銀行業成本效率之影響。管理與系統，22（2），175-203，（2015）。
19.鐘永紅。商業銀行核心資本充足率影響因素實證分析。國際金融研究，1，64-73，（2014）。
20.Allen, F., E. Carletti and R. Marquez. Credit Market Competition and Capital Regulation. The Review of Financial Studies 24(4), 983-1018, (2011).
http://dx.doi.org/10.1093/rfs/hhp089
21.Alkadamani, K. Capital Adequacy, Bank Behavior and Crisis: Evidence from Emergent Economics. European Journal of Sustainable Development 4(2), 329-338, (2015). http://dx.doi.org/ 10.14207/ejsd.2015.v4n2p329
22.Basel Committee on Banking Supervision. INTERNATIONAL CONVERGENCE OF CAPITAL MEASUREMENT AND CAPITAL STANDARDS. (1988).
23.Basel Committee on Banking Supervision. Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version. (2006).
24.Boudriga, A., N. B. Taktak and S. Jellouli. Banking supervision and nonperforming loans: a cross-country analysis. Journal of Financial Economic Policy 1(4), 286-318, (2009). http://dx.doi.org/10.1108/17576380911050043
25.Basel Committee on Banking Supervision. Basel III: A global regulatory framework for more resilient banks and banking systems. (2010).
26.Berger, A.N. and C.H.S. Bouwman. How does capital affect bank performance during financial crises? Journal of Financial Economics 109, 146-176, (2013).
http://dx.doi.org/10.1016/j.jfineco.2013.02.008
27.Bitar, M., W. Saad and M. Benlemlih. Bank risk and performance in the MENA region: The importance of capital requirements. Economic Systems 40(3), 398-421, (2016). http://dx.doi.org/10.1016/j.ecosys.2015.12.001.
28.Bitar, M., K. Pukthuanthong and T. Walker. The effect of capital ratios on the risk, efficiency and profitability of banks: Evidence from OECD countries. Journal of International Financial Markets, Institutions and Money 53, 227-262, (2018).
https://doi.org/10.1016/j.intfin.2017.12.002
29.Bressan, S. The funding of subsidiaries equity, double leverage and the risk of bank holding companies. Journal of Business Finance ＆ Accounting 45, 209–231, (2018).
http://dx.doi.org/10.1111/jbfa.12288
30.Cornett, M.M., L. Guo, S. Khaksari, and H. Tehranian. The impact of state ownership on performance differences in privately-owned versus state-owned banks: An international comparison. Journal of Financial Intermediation 19, 74-94, (2010).
https://doi.org/10.1016/j.jfi.2008.09.005
31.Cummings, J. R. and K. J. Durrani. Effect of the Basel Accord capital requirements on the loan-loss provisioning practices of Australian banks. Journal of Banking ＆ Finance 67, 23–36, (2016). http://dx.doi.org/10.1016/j.jbankfin.2016.02.009
32.Iannotta, G., G. Nocera, and A. Sironi. Ownership structure, risk and performance in the European banking industry. Journal of Banking ＆ Finance 31(7), 2127–2149, (2007). https://doi.org/10.1016/j.jbankfin.2006.07.013
33.Jia, N. and H. Zhang. Impact of Government Ownership on Investment Banks’ Underwriting Performance: Evidence from China. Asia-Pacific Journal of Financial Studies 39, 198-228, (2010). http://dx.doi.org/10.1111/j.2041-6156.2010.00010.x
34.Lee, C. C. and M. F. Hsieh. The impact of bank capital on profitability and risk in Asian banking. Journal of International Money and Finance 32, 251-281, (2013).
http://dx.doi.org/10.1016/j.jimonfin.2012.04.013
35.Lassoued, N., H. Sassi and M. B. R. Attia. The Impact of State and Foreign Ownership on Banking Risk: Evidence from the MENA Countries. Research in International Business and Finance 36, 167-178, (2016).
http://dx.doi.org/10.1016/j.ribaf.2015.09.014
36.Olalekan, A. and S. Adeyinka. CAPITAL ADEQUACY AND BANKS’ PROFITABILITY: AN EMPIRICAL EVIDENCE FORM NIGERIA. American International Journal of Contemporary Research 3(10), 87-93, (2013).
37.Pasiouras, F. and K. Kosmidou. Factors influencing the profitability of domestic and foreign commercial banks in the European union. Research in International Business and Finance 21(2), 222-237, (2007). https://doi.org/10.1016/j.ribaf.2006.03.007
38.Petria, N., B. Capraru and I. Ihnatov. Determinants of banks’ profitability: evidence from EU 27 banking systems. Procedia Economics and Finance 20, 518-524, (2015). http://dx.doi.org/ 10.1016/S2212-5671(15)00104-5
39.Sun P. H., S. Mohamad and M. Ariff. Determinants driving bank performance: A comparison of two types of banks in the OIC. Pacific-Basin Finance Journal 42 193–203, (2017). http://dx.doi.org/10.1016/j.pacfin.2016.02.007
40.Tabak, B. M., A. C. Noronha, and D. Cajueiro. Bank capital buffers, lending growth and economic cycle: empirical evidence for Brazil. Paper prepared for the 2nd BIS CCA Conference on “Monetary policy, financial stability and the business cycle, (2011).