呆帳率對銀行的影響－縱橫平滑移轉迴歸模型

自2005年後本國銀行呆帳上升，緊接著全球金融風暴，政府查覺到銀行體系的不完整，參考國際性銀行針對貸款呆帳加強審核並修正相關法規，並在2011年後陸續調整，而在2019年台灣銀行增加103億的備抵呆帳，是否備抵呆帳政策尚未完上，其備抵呆帳金額依然不足夠。本研究以TEJ資料庫所提供本國23家銀行為對象，研究期間為2009年第四季至2019年第三季的季資料為主，並使用González, Teräsvirta and van Dijk（2004, 2005）所發展的縱橫平滑移轉迴歸模型(Panel smooth transition regression models, PSTR)，加入逾放比對銀行呆帳率的影響，藉以研究不同逾放比的銀行特性與稅前損益、逾放款、放款總額、資產報酬率、資產總額、備抵呆帳率及淨值成長率等變數影響銀行呆帳率之程度。實證結果顯示，逾放比高或低於門檻值0021時，稅前損益及放款總額對呆帳率的影響呈正反方向變；但逾放比無論高低對逾期放款總額與呆帳率呈正向關係。逾放比無論高低，其ROA對於呆帳率呈反向關係。再者，逾放比高於0.0021時，其資產總額與呆帳率呈反向關係；反之，逾放比低於0.0021時，其資產總額與呆帳率呈正向關係。但無逾放比高低，其備抵呆帳覆蓋率對於呆帳率呈反向關係。逾放比高於或低於0.0021時，其淨值成長率與呆帳率分別呈反向及正向的關係。大部分的解釋變數對被解釋變數有顯著的影響。

關鍵字

銀行業；盈餘管理；備抵呆帳；呆帳率；縱橫平滑移轉迴歸模型

並列摘要

Since 2005, the domestic bank’s bad debts have risen, followed by the global financial turmoil. The government has detected the incompleteness of the banking system. With reference to the international banks’ strengthened review and amendment of relevant regulations on loan bad debts, they have adjusted them after 2011. In 2019, Bank of Taiwan added 10.3 billion of allowance for doubtful debts. Whether the allowance for doubtful debts policy has not been completed yet, the amount of allowance for doubtful debts is still insufficient. This study is based on the 23 banks in the country provided by the TEJ database. The research period is mainly from the fourth quarter of 2009 to the third quarter of 2019. It is developed by González, Teräsvirta and van Dijk (2004, 2005). Panel smooth transfer model (PSTR), adding the effect of over-disbursement ratio on the bank’s bad debt ratio, in order to study the bank characteristics and pre-tax profit and loss, over-disbursement and total loans of different over-discharge ratios Variables such as the rate of return on assets, total assets, allowance for doubtful debts, and growth rate of net worth affect the extent to which the bank’s doubtful debts rate. Empirical results show that when the overdue ratio is higher or lower than the threshold value of 0021, the impact of pre-tax profit and loss and total loans on the bad debt rate changes in positive and negative directions; however, the overdue ratio no matter how high or low, the overdue loans and the bad debt rate are positive relationship. No matter how high or low the overdue ratio, ROA has an inverse relationship with the bad debt rate. Furthermore, when the over-disbursement ratio is higher than 0.0021, its total assets have a reverse relationship with the bad debt rate; conversely, when the over-disbursement ratio is less than 0.0021, its total assets and the bad debt rate have a positive relationship. But there is no over-discharge ratio, and its allowance for bad debt coverage is inversely related to the bad debt rate. When the over-disbursement ratio is higher or lower than 0.0021, its net worth growth rate and the bad debt rate are in a reverse and positive relationship, respectively. Most explanatory variables have a significant effect on the explained variables.