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研究生:洪嘉穗
研究生(外文):HUNG, CHIA-SUI
論文名稱:本國銀行逾放比率與總體經濟因素和銀行特性之關聯性探討
論文名稱(外文):A Research of the Relationship of Macroeconomic Determinants and Bank-Specific on Non-Performing Loans Ratios in Taiwan
指導教授:陳盛通陳盛通引用關係
口試委員:簡文政張倉耀
口試日期:2023-06-17
學位類別:碩士
校院名稱:逢甲大學
系所名稱:金融碩士在職學位學程
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:2023
畢業學年度:111
語文別:中文
論文頁數:37
中文關鍵詞:逾放比率總體經濟因素存放款利差失業率分量迴歸
外文關鍵詞:non-performing lons ratiomacroeconomic determinantsinterest rate spreadsunemployment rateQuantile Regression
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本研究是以本國銀行平均逾放比的資料,選取研究期間自2007年至2022年,資料樣本為中華民國統計資訊網以及金融監督管理委員會、中華民國中央銀行全球資訊網以及TEJ資料庫中之統計資料做為分析研究之依據,針對總體經濟因素和銀行特性因素方面去探討各因素與本國銀行逾放比之關聯性,選取的變數有經濟成長率、失業率、權益比率、存放比率、存放款利差、短期放款年增率、中長期放款年增率、有擔保放款年增率、無擔保放款年增率,研究方法使用OLS最小平方迴歸(Least Squares)分析法和分量迴歸(Quantile Regression)分析法。研究顯示,失業率(UR)實證結果與逾放比率呈現顯著正相關,經濟成長率(EG)研究結果呈現顯著負相關,權益比率(ER)實證結果則無法看出有顯著關聯性,存放款利差(IRS)實證分析結果為顯著正相關,存放比率(LDR)實證分析結果均未有顯著相關性,有擔保放款年增率(SLR)和無擔保放款年增率(ULR)為顯著正相關,但中長期放款年增率(LTL)和短期放款年增率(STL)所呈現的是負向關係而且是顯著的。但在分量迴歸(Quantile Regression)的實證結果中發現,逾放比率在高分量和低分量時,僅短期放款年增率、中長期放款年增率、有擔保放款年增率、無擔保放款年增率和存放款利差呈現顯著關聯性。
This study takes average non-performing loans ratios of banks in Taiwan from 2007 to 2022 as the research object to find what elements will affect the ratios. The OLS and Quantile regression model is applied to find the whole picture of the effect. The data sets are from ROC Statistical Information Network, the Financial Supervisory Commission, the ROC Central Bank Global Information Network, and the TEJ database. As a basis for analysis and research, we explore the correlation between various factors and the over-lending ratio of domestic banks in terms of overall economic factors and bank characteristics. The selected variables include economic growth rate, unemployment rate, equity ratio, deposit ratio, and interest rate spreads, short-term loan annual growth rate, long-term loan annual growth rate, secured loan interest rate, unsecured loan interest rate, the research method uses OLS least squares regression (Least Squares) analysis method and Quantile Regression, the research results show that unemployment and economic growth rate (UR) showed a significant positive effect. , Besides, the results show that economic growth rate (EG) has a significant negative effect, and equity ratio (ER) showed no significant effect but deposit interest spread (IRS) had a significant negative effect on average non-performing loans ratios.The results of the empirical analysis of deposit ratio (LDR) have no significant correlation, and the annual growth rate of secured loans (SLR) and the annual growth rate of unsecured loans (ULR) are significantly positively correlated, but the annual growth rate of long-term loans (LTL) and The annual growth rate of short-term loans (STL) presents a negative relationship and is significant. However, in the empirical results of Quantile Regression, it is found a significant positive effect that only by the annual growth rate of short-term loans, the annual growth rate of long-term loans, the annual growth rate of secured loans and the annual growth rate of unsecured loans and the interest rate spreads when the non-performing loans ratios is high or low.
第一章 緒論...7
第一節 研究動機及背景...7
第二節 研究目的...10
第三節 論文架構...14
第二章 文獻探討...15
第一節 與銀行特性有關文獻...15
第二節 與總體經濟有關文獻...17
第三章 研究設計與實施...18
第一節 研究樣本之選取與資料來源...18
第二節 研究假說...19
第三節 研究變數...20
第四節 研究方法...23
第四章 實證結果與分析...25
第一節 敍述性統計...25
第二節 單根檢定...27
第三節 迴歸結果...28
第五章 結論與建議...33
參考文獻...36

一、中文部份
任立中、林佩瑩(2013)。台北市傳統零售市場消費型態之分析-分量迴歸模型之應用。行銷科學學報,9(1),77-108。
呂麒麟、洪嘉聲、范麗雪與陳淑貞(2005),「金融機構所有權結構、公司特性與逾放比率之研究」,《會計與公司治理》,第 2 卷第 1 期,61-79。
周燦煌(2013)。我國銀行特性與總體經濟對銀行逾放比之影響,淡江大學財務金融學系碩士論文,新北市。
蔡宗儒(2007)。銀行放款成長率、逾放比率與經營效率之關聯性分析。未出版之(博)碩士論文,國立宜蘭大學經營管理系碩士論文,宜蘭市。
蔡進財(2000),「我國建立問題金融機構處理機制之探討」,《台灣金融財務季刊》,第 1 卷第 2 期,1-2。

二、英文部份
A Dimitrios et al. (2016). Determinants of non-performing loans: Evidence from Euro-area countries , Finance Research Letters,18,116-119.
Arham et al.(2020). Impact of macroeconomic cyclical indicators and country governance on bank non‑performing loans in Emerging Asia, Eurasian Economic Review,10,707-726.
Arjeta Koskija and Gungor Turan (2014). Nonperforming Loans in Albania.
Bipasha Barua and Suborna Barua,(2020). COVID‑19 implications for banks: evidence from an emerging economy.
Chaiporn Vithessonthi,(2016). Deflation, bank credit growth, and non-performing loans: Evidence from Japan.
Doriana Cucinelli(2015). The Impact of Non-performing Loans on Bank Lending Behavior: Evidence from the Italian Banking Sector , Eurasian Journal of Business and Economics, 8(16), 59-71.
Eero Tolo, Matti Virén(2021). How much do non-performing loans hinder loan growth in Europe?
Gonzales-Hermosillo, Brenda, Ceyla Pazarba§ioglu, and Robert Billings, 1997. “Determinants of Banking System Fragility: A Case Study of Mexico,” Staff Papers, International Monetary Fund, Vol. 44 (September), pp. 295–314.
Justin Yiqiang Jin, Kiridaran Kanagaretnam, Yi Liu, Ning Liu,(2018). Banks’ loan growth, loan quality, and social capital.
Keeton, W. R. (1999). Does faster loan growth lead to higher loan losses. Economic review- Federal reserve bank of Kansas City, 57-75.
Khemraj, Tarron and Pasha, Sukrishnalall(2009), The determinants of non-performing loans: an econometric case study of Guyana.
Lu, W., & Whidbee, D. A. (2013). Bank structure and failure during the financial crisis. Journal of Financial Economic Policy, 5(3), 281–299.
Maria Balgova, Michel Nies and Alexander Plekhanov(2021), The economic impact of reducing non-performing loans.
Maria Karadima, Helen Louri(2016). Economic policy uncertainty and non-performing loans: The moderating role of bank concentration.
Messai et al.(2013).Micro and Macro Determinants of Non-performing Loans , International Journal of Economics and Financial Issues.
Park, C-Y and K. Shin,( 2020). Contagion through National and Regional Exposures to Foreign Banks during the Global Financial Crisis. Journal of Financial Stability. 46, Article 100721, February.
Quang Thanh Phung, Huong Van Vu, Huy Phuoc Tr(2022). Do non-performing loans impact bank efficiency?
W. Keeton, C. Morris (1987). Why do banks’ loan losses differ? Economic Review, 72(3), 3‐21
Zeqiraj et al.(2019). Dynamic Impact of Banking Performance on Financial Stability: Fresh Evidence from Southeastern Europe.

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