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研究生:趙淑娟
研究生(外文):Zhao, Shu-Juan
論文名稱:金融危機對我國銀行風險與績效之影響
論文名稱(外文):The Influence of the 2008 Financial Crisis on Domestic Bank Risks and Performances
指導教授:蔡永順蔡永順引用關係
指導教授(外文):Tsai, Yong-Shun
口試委員:紀建平張俊評蔡永順
口試委員(外文):Chi, Chien-PingChang, Jun-PinTsai, Yong-Shun
口試日期:2019-07-05
學位類別:碩士
校院名稱:亞洲大學
系所名稱:財務金融學系碩士在職專班
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:2019
畢業學年度:107
語文別:中文
論文頁數:49
中文關鍵詞:金融危機銀行風險銀行績效VAR模型
外文關鍵詞:the 2008 financial crisisbank risksbank performancesthe VAR model
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金融危機對開發中國家中小型銀行衝擊相對較大,所以本研究探討台灣中小型銀行風險與績效是否會受金融危機影響。本研究採用VAR向量自我迴歸模型、 Granger 因果關係檢定法來檢驗2008年金融危機前後台灣中小型銀行風險與績效的關聯性,樣本期間從1999年到2019年。本研究實証結果發現:(1) 危機前後台灣銀行風險與績效之間並無顯著領先與落後關係。(2)危機前銀行績效與風險和大盤報酬率並無明顯關係,但是在危機後銀行績效與大盤報酬率有顯著正向關係,危機後銀行風險與大盤報酬率則有顯著負向關係(3) 金融危機前後銀行風險、績效不具有單向、雙向因果關係。(4) 銀行績效與風險之間並無顯著衝擊效果。
The 2008 financial crisis had a relatively big impact on small and medium-sized banks in developing countries. Against this backdrop, the study explored whether bank risks and back performances of small and medium-sized banks in Taiwan were subject to the 2008 financial crisis. The study adopted the Vector autoregression (VAR) model and the Granger causality test to examine the correlation of the 2008 financial crisis to bank risks and performances of small and medium-sized banks in Taiwan before and after the crisis. The samples fell in the period from 1999 to 2019. The empirical results of the study revealed the following. 1) There was no significant lead-lag relationship found in bank risks and performances in Taiwan when comparing before and after the crisis. 2) No significant correlation was found between the TAIEX return and bank performances/risks before the crisis; however, a significant positive correlation was found between bank performances and the TAIEX return after the crisis. A significant negative correlation was found between bank risks and the TAIEX return after the crisis. 3) There was no unidirectional or bidirectional causal relationship found in bank risks and performances when comparing before and after the crisis. 4) There was no impact on each other between bank performances and risks.
目錄 I
表目錄 III
圖目錄 IV
第一章 緒論 1
    第一節 研究動機與目的 1
    第二節 研究架構 3
第二章 文獻探討 4
   第一節 風險控管相關文獻 4
   第二節 銀行績效相關文獻 6
   第三節 次級房貸風暴相關文獻 9
第三章 研究方法 13
    第一節 研究假說 13
    第二節 研究期間與流程 13
    第三節 資料分析方法 15 
第四章 實證結果與分析 24
    第一節 敘述統計分析 24
    第二節 各變數相關性統計分析 25
    第三節 單根檢定分析 27
    第四節 向量自我迴歸模型VAR分析 28
    第五節 Granger因果關係檢定分析 31
    第六節 衝擊反應分析 32
    第七節 變異數分解分析 36
第五章 結論與建議 40
    第一節 結論 40
    第二節 建議與貢獻 41
參考文獻 42

表目錄
表4-1 敘述統計分析表 24
表4-2 各變數相關性統計表 25
表4-3 各變數正、負相關性統計表 26
表4-4 單根檢定結果 27
表4-5 變動率檢定結果 27
表4-6 向量自我迴歸模型結果統計表 28
表4-7 向量自我迴歸模型結果關係統計表 28
表4-8 向量自我迴歸模型結果統計表 29
表4-9 向量自我迴歸模型結果關係統計表 29
表4-10 向量自我迴歸模型結果統計表 30
表4-11 向量自我迴歸模型結果關係統計表 30
表4-12 Granger因果關係檢定結果統計表 31
表4-13 衝擊反應分析結果統計表 35
表4-14 本益比(PE)之變異數分解表 36
表4-15 負債比(RISK)之變異數分解表 37
表4-16 本益比(PE)之變異數分解表 37
表4-17 負債比(RISK)之變異數分解表 38
表4-18 本益比(PE)之變異數分解表 38
表4-19 負債比(RISK)之變異數分解表 39

圖目錄
圖3-1 研究流程圖 14
圖 4-1 本益比對負債比累計衝擊反應分析圖 32
圖 4-2 負債比對本益比累計衝擊反應分析圖 33
圖 4-3 (金融危機前)本益比對負債比累計衝擊反應分析圖 33
圖 4-4 (金融危機前)負債比對本益比累計衝擊反應分析圖 34
圖 4-5 (金融危機後)本益比對負債比累計衝擊反應分析圖 34
圖 4-6 (金融危機後)負債比對本益比累計衝擊反應分析圖 35

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