總體經濟衝擊與個體銀行的風險反應：台灣的實證研究

Macroeconomic Shocks and Bank Risk: an Empirical Study using Taiwan’s Micro Bank Data

劉大溶(Ta-Jung Liu)

指導教授 ： 黃朝熙

國立清華大學/科技管理學院/經濟學系/碩士(2016年)

摘要

本研究旨在實證探討台灣總體經濟衝擊對個體銀行風險的作用，以及銀行間的異質性如何影響銀行風險對總體經濟衝擊的反應。藉由在向量自我迴歸模型 (vector autoregressions model, VAR model) 中結合總體變數和個體銀行風險變數，我們得以分析個體銀行的風險反應行為。本研究的主要發現如下：第一，緊縮性貨幣政策衝擊雖然增加了銀行的後顧性風險，但也同時降低其前瞻性風險。第二，正向實質產出衝擊減少銀行的後顧性風險，但對前瞻性風險的影響並不明確。第三，正向實質房價衝擊會使後顧性風險上升。最後，銀行是否由信用合作社改制而來，以及銀行長期平均逾放比率的高低等銀行特性會顯著影響銀行風險對總體經濟衝擊的反應。

關鍵字

總體經濟衝擊 ； 銀行風險 ； 逾期放款 ； 非利息收入

並列摘要

This research aims to investigate how bank risk is affected by macroeconomic shocks and how bank heterogeneity influences the responses of bank risk variables to macroeconomic shocks in Taiwan. By combining macro variables and micro bank risk variables into vector autoregressions (VAR) model, we are able to analyze the behavior of bank risk at the micro-level. Our main findings are as follows: (a) the contractionary monetary policy shock increases the backward-looking risk of the bank, however, it also decreases the forward-looking risk of the bank; (b) the positive real output shock reduces the backward-looking risk, but its impact on forward-looking risk is uncertain; (c) the positive real house price shock raises the backward-looking risk; and (d) the responses of bank risks to macroeconomic shocks are significantly influenced by characteristics of banks such as their long-run average non-performing loans (NPL) ratio and whether the banks originated from credit cooperatives.

並列關鍵字

macroeconomic shocks ； bank risk ； non-performing loans (NPL) ； non-interest income

參考文獻

劉秀玲、鄭鴻章 (2010)，“金控公司架構與非利息收入業務對台灣銀行業經營效益與風險之影響”，《台灣金融財務季刊》，11(3)，1-31。

Blanchard, Olivier, Giovanni Dell’Ariccia, and Paolo Mauro (2010), “Rethinking Macroeconomic Policy,” Journal of Money, Credit, and Banking, 42, 199–215.

Borio, Claudio and Haibin Zhu (2012), “Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?” Journal of Financial Stability, 8, 236-251.

Brunnermeier, Markus K., G. Nathan Dong, and Darius Palia (2012), “Banks’ Non-Interest Income and Systemic Risk,” Paper presented at the AFA meetings, Chicago.

Buch, Claudia M., Sandra Eickmeier, and Esteban Prieto (2014a), “In search for yield? Survey-based evidence on bank risk taking,” Journal of Economic Dynamics and Control, 43, 12–30.