新巴塞爾資本協定三大支柱與銀行風險的關係：全球實證

The Three Pillars of Basel II and Banking Risk Taking: A Global Perspective

林昆立(Kun-Li Lin) ； 吳庭斌(Ting-Pin Wu)

《管理學報》 29卷2期 (2012/04) Pp. 121-153

https://doi.org/10.6504/JOM.2012.29.02.03

摘要

本研究採用2007至2010年間全球94個國家，共887家商業銀行為樣本，檢視新巴賽爾資本協定（Basel II）的三大支柱對銀行風險的影響。此外，為了進一步探討不同政府治理的角色，我們利用政府治理與三大支柱指標的交乘項，評估對銀行風險承受程度的影響。實證結果如下：第一，在開發中國家，Basel II的第一支柱可以降低銀行風險：相反地，在已開發國家則是Basel II的第三支柱有助於降低銀行風險。而Basel II中第二支柱監管的獨立性，在開發中或已開發國家藉可發揮降低銀行風險的效果。第二，不管是在開發中或已開發國家，法規制度環境愈健全，三大支柱降低銀行風險的效果愈佳。第三，相較於已開發國家，在開發中國家其官僚體系品質或貪污指標愈好，可增加三大支柱降低風險的效果。最後，在開發中國家，愈完善的債權人保護將有助於三大支柱減少銀行風險；相反地，在已開發國家，愈完善的債權人保護反而不利於三大支柱減少銀行風險。

關鍵字

新巴賽爾資本協定 ； 銀行風險

並列摘要

This paper empirically analyzes the relation between banking risk taking and three pillars of the New Basel Capital Accord (i.e., capital regulatory oversight, supervisory oversight, and market discipline). Using a new database covering 95 countries, we find that developing countries with greater capital regulatory oversight and developed countries with greater market discipline have a lower bank risk taking. Second, the greater quality of the bureaucracy and corruption lead to lower bank risk in developing countries. Finally, we also find that stronger creditor rights will help improve the relation between bank risk and the three pillars of Basel II in developing countries, whereas worsen them in industries countries. These findings show that the same regulation has different effects on bank risk taking depending on the countries' government governance.

並列關鍵字

Three Pillars of Basel II ； Banking Risk Taking

參考文獻

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