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研究生:林聖硯
研究生(外文):Lin, Sheng-Yen
論文名稱:金融機構風險與經營績效表現之動態關聯
論文名稱(外文):Dynamic Correlation between Financial Institution Risk and Performance
指導教授:丁承丁承引用關係
指導教授(外文):Ding, Cherng
口試委員:胡均立張國忠
口試委員(外文):Hu, Jin-LiChang, Kuo-Chung
口試日期:2019-06-10
學位類別:碩士
校院名稱:國立交通大學
系所名稱:經營管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2019
畢業學年度:107
語文別:中文
論文頁數:43
中文關鍵詞:商業銀行資本適足率經營績效動態關聯
外文關鍵詞:Commercial BanksCapital Adequacy RatioBusiness PerformanceDynamic Correlation
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金融海嘯(2008)發生至今已超過十年,金融機構以及監管當局處理風險的態度已有相當大的轉變,針對資本適足率的要求也顯得更加重要,過去的文獻對於資本適足率以及經營績效表現的靜態關聯已有許多討論,但鮮少將時間因素納入考量,多為橫斷面研究。因此本研究想了解在臺灣經營的商業銀行的風險與績效之間的動態關聯,討論近五年(2013至-2017年)之資本適足率以及經營績效的成長趨勢以及動態關聯性,並再加入調節變數(金控/非金控以及公股/民營)等進行討論。實證結果有以下發現:
(1) 平均而言,資本適足率近五年顯著的逐年成長,而獲利指標ROA與ROE近五年顯著的逐年遞減。另一個獲利指標EPS則沒有顯著的差異。近五年的逾期放款率亦沒有顯著的下降。存放比率方面則是有顯著的逐年遞減。
(2)在獲利指標方面,ROA和ROE的變化皆與資本適足率的變化沒有顯著的動態關聯,而EPS的變化在金控的調節效果之下,有正向顯著的差異。有成立金控的銀行,其資本適足率的變化愈大,會正向影響每股盈餘的變化,而公股銀行與民營銀行則沒有顯著的動態調節效果。逾放比率的變化與資本適足率的變化沒有顯著的動態關聯,但為負相關。在存放比率方面,資本適足率變化愈大,會負向影響存放比率之變化。
以上研究發現可提供金融監理機關以及銀行經營者決策上的參考和依據。
The financial tsunami (2008) has been in existence for more than a decade, and the attitudes of financial institutions and regulatory authorities in dealing with risks have changed considerably.The requirements for capital adequacy ratio have become more important. The past literature on capital adequacy and management There have been many discussions about the static correlation of performance, but the time factor is rarely taken into account, mostly cross-sectional studies. Therefore, this study wants to understand the dynamic relationship between the risks and performance of commercial banks operating in Taiwan, and discuss the capital adequacy ratio and the growth trend and dynamic relevance of business performance in the past five years (2013-2017), and then Add moderator variables (whether or not to establish finance holding company and public shares/private banks) to discuss. The empirical results are as followings :

(1) On average, the capital adequacy ratio has grown significantly over the past five years, while the profitability indicators ROA and ROE have declined significantly over the past five years. There is no significant difference in another profit indicator EPS. There has also been no significant decline in non-performing loan rates in the past five years. There is a significant decline in the deposit loan ratio.
(2) In terms of profitability indicators, the changes of ROA and ROE are not significantly related to the change of capital adequacy ratio, and the change of EPS has positive and significant differences under the moderator effect of finance holding company. Banks with finance holding company have a greater change in their capital adequacy ratio, which will positively affect changes in earnings per share, while public and private banks have no significant dynamic moderator effect. There was no significant dynamic correlation between changes in the non-performing loan rates and changes in capital adequacy ratio, but negative correlations. In terms of deposit loan ratio, the greater the change in capital adequacy ratio, the negative impact on the deposit loan ratio.
The above research findings can provide reference and basis for decision-making by financial supervision agencies and bank operation management.
目錄
第一章 緒論 1
1.1 研究背景與動機 1
1.2金融監理機關對資本適足率的管制 1
1.3研究目的 2
1.4研究流程 2
1.5研究對象及範圍 3
第二章 理論與文獻探討 4
2.1商業銀行理論回顧 4
2.2資本適足率理論 8
2.3動態理論相關文獻 10
第三章 研究方法 11
3.1 樣本資料 11
3.2 研究方法回顧 12
3.3模型建構 13
第四章 研究結果 16
4.1敘述性統計結果 16
4.2靜態分析結果 20
4.3動態關聯分析結果 26
第五章 結論與建議 32
5.1結論 32
5.2管理意涵 32
5.3研究限制與後續研究建議 33
參考文獻 35
附錄 38
附錄:SAS CODE 38
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