流動性風險監管政策對臺灣銀行業經營績效之影響

巴塞爾資本協定三除規範銀行資本適足之要求，也對流動性風險管理提出量化指標，本研究旨在探討流動性風險監管政策對銀行經營績效之影響，以臺灣35家銀行為研究對象，研究期間為2015年第1季至2019年第4季，同時納入有關影響銀行經營績效之變數，如資本適足、資產品質及營業特性，構成追蹤資料進行分析。考慮實證模型存在內生性問題，挑選具攸關性與外生性之工具變數，以兩階段最小平方法進行迴歸分析，研究結果發現，提高流動性覆蓋比率將對銀行之經營績效產生顯著的負向影響，資本適足率與逾期放款率的增加亦將產生反向效果，而隨著銀行經營模式的轉變，如以非利息收入業務為主的多角化經營，則顯示對績效有顯著正相關。銀行在遵循流動性風險監管政策的同時，除了須注意其對流動性風險之管理，也須權衡提高流動性覆蓋比率對經營績效的侵蝕，不致保留過多的流動性資產而影響業務推展。

關鍵字

巴塞爾資本協定三；金融監管；流動性覆蓋比率；追蹤資料；內生性

並列摘要

In addition to the requirements of the capital adequacy of banks, Basel Ⅲ emphasizes liquidity regulations and sets up quantitative indicators for liquidity risk. This study aims to explore the effect of liquidity regulations on profitability of banks, using 35 banks in Taiwan as samples. It takes variables that affect the bank's performance, such as capital adequacy, asset quality and bank characteristics, collecting quarterly data from 2015 to 2019 for the panel data analysis. Considering that the empirical model has endogenous problems, this study selects instrumental variables, and perform regression analysis using the two-stage least squares method. The empirical results show that increasing the liquidity coverage ratio will have a significantly negative impact on the bank's performance. Moreover, the increase in the capital adequacy ratio and the non-performing loan ratio will induce a reverse effect. With banks changing its profitability orientation, focusing on non-interest income, this study also finds that diversification has a significant positive correlation with banks performance. While complying with liquidity regulations, banks should not only pay attention to their supervision of liquidity risk, but also weigh on the erosion of profitability by increasing the liquidity coverage ratio to prevent the retention of excessive liquidity assets suppressing financial development.