臺灣博碩士論文加值系統

近年來由於銀行過度的競爭，加上持續景氣低迷，造成資產品質惡化與盈餘大幅衰退。逾期放款金額與比率皆創下歷史新高，銀行經營績效的好壞影響著經濟的發展與社會的穩定，其體質建全與否，甚至可做為國家經濟發展程度重要的指標。在政府「二五八金融改革」政策指導之下，各銀行積極進行轉銷呆帳藉以改善資產品質；提高自有資本以健全財務結構。本研究結果希望能夠提供銀行管理當局在健全銀行體質上有所助益、協助投資人及債權人等財務資訊使用者能從財務報表中所隱含之資訊有更深入的認識、及金融監理機關在金融政策之制定與監理上有一些啟示與幫助。本文將研究變數區分為富裁量性誘因變數及非裁量性控制變數兩大類，裁量性變數是探討管理當局誘因的影響；控制變數則是探討環境因素及非裁量性變數的影響。本研究假設銀行壞帳費用與買賣票券利益兩項富裁量性會計科目相互影響彼此並非獨立，利用三階段最小平方法(3SLS)聯立方程組模型進行統計分析。實證結果發現，壞帳費用與買賣票券利益互為策略性調控工具，當銀行管理當局欲達成目的不同，對於壞帳費用與買賣票券利益的操控會不同，本研究實證結果顯著支持銀行提列壞帳費用之目的主要係為了提高資本適足率，並且利用壞帳費用進行盈餘管理，也運用壞帳費用來傳達下一期營業績效轉佳之訊息。從控制變數的探討發現，壞帳費用也受期初逾期放款及當期逾期放款變動量的影響；前一期壞帳費用和次順位金融債券的發行也是顯著的影響壞帳費用提列的重要因素。此外，買賣票券利益除了與壞帳費用互為策略性調控工具外，買賣票券利益也顯著的受資本適足率管理的影響，然而利用買賣票券利益進行盈餘管理則並不顯著；從控制變數的探討發現，持有票券、債券與股票等有價證券部位大小對買賣票券利益則有顯著之影響。

In recent years, due to over competition among banks and the economic environment continuously decline, banks’ asset quality and earnings have decreased dramatically. No matter the amount or ratio of non-performing loans, they all reached all time high among recent years. The overall performance of the banking industry has major impact on economic development and social stability. The fitness of overall banking system can even be a country’s leading indicator in terms of economic development. Under government’s “258 Financial Revolution” policy, banks administrations start to aggressively charge-off bad loans and increase equity capital, in order to improve banks’ assets quality and financial structure. This study hopes to provide banks administrations some usefulness in improving overall banking industry’s shape, in order to aide investors and debtors and others who could see through to the hidden information in financial statements. This thesis also hopes to provide some thoughts and benefits to the government’s financial agency and their policy making.

This thesis will divide dependent variables into two major parts, discretionary incentive variables and non-discretionary controlled variables. The discretionary variables are focusing on the incentive to banks administration. The controlled variables are focusing on the environmental factors and other non-discretionary variables’ influences. This study hypothesizes loan loss provisions (LLPs) and securities gains and losses (RSGs), the two discretionary accounting items influencing each other, not independent, thus using three stage least square (3SLS) simultaneous equation regression model to estimate them.

The empirical results shown, LLPs and RSGs were used as strategic mutual adjustment tools. Depending on authority’s objective, different goal could be achieved through manipulating the two accounting items. The empirical results support banks’ goal of recognizing LLPs were to increase capital adequacy ratio, also using LLPs to engage in earnings management. The statistical evidence also showed LLPs as a signal to improvement of coming period business performance. From the exploration of controlled variables, LLPs were also influenced by the quantitative changes of previous and current period non-performing loans. Previous period non-performing loans and issuance of subordinated financial debentures were also significantly influencing LLPs. Other than the above, RSGs were also significantly impacted from management of capital adequacy ratio, but using RSGs to engage in earnings management were not quite significant. From the exploration of controlled variables, result found, position sizes of holding bills, bonds and shares had major influences on RSGs.

目 錄
頁數
謝辭………………………………………………………………………….……..….i
中文論文提要……………………………………………………………………...…ii
英文論文提要………………………………………………………………………..iii
目錄…………………………………………………………………………….….….v
表次…………………………………………………………………………….…….vi

第一章 緒論……………………………………………………………….……..…..1
1.1 研究背景與動………………………………………………….….…….….2
1.2 研究目的………………………………………………………….….….….4
1.3 研究流程與章節結……………………………………………….………...5
第二章 金融法規與文獻探討………………………………………………….……7
2.1 金融政策與法規…………………………………………………….…..….7
2.2 國內、外文獻探討…………………………………………………….….14
第三章 研究方法……………………………………………………………….…..25
3.1 研究變數的說明與衡量…………………………………………………..25
3.2 研究方法與建立模型……………………………………………………..33
第四章 實證結果分析…………………………………………………….…….….36
4.1 資料來源與樣本選取……………………………………………………..36
4.2 樣本資料敘述統計…………………………………………………….….37
4.3 下一期盈餘之估計………………………………………………………..39
4.4 壞帳費用之3SLS迴歸結果分析…………………………………...……..40
4.5 買賣票券利益之3SLS迴歸結果分析………………………………...…..43
第五章 研究結論與建議……………………………………………………….…..46
5.1 研究結論………………………………………………………………..…46
5.2 研究限制與後續研究建議………………………………………………..47

參考文獻……………………………………………………………………….……50

附錄一 銀行資本適足性管理辦法………………………………..…………..….53
附錄二 銀行資產評估損失準備提列及逾期放款催收款呆帳處理辦法...……..61
附錄三 83.2.16台財融832292834號函、86.12.1台財融86656564號函………...67

參考文獻

一、中文部份

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二、英文部份

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13. Wahlen, J.M. (1994)“The Nature of Information in Commercial Bank Loan Loss Disclosures,”Accounting Review, Vol. 69 No. 3, pp.455~478.