Risk-Weighted Assets Efficiency and the Target Capital Adequacy Ratio: A Case Study of Financial Holding Company Banks in Taiwan

風險性資產效率與目標資本適足率之研究－以台灣地區金控銀行為例

張民忠(Ming-Chung Chang) ； 謝欣容(Hsin-Jung Hsieh)

《東吳經濟商學學報》 90期 (2015/09) Pp. 1-24

摘要

以往銀行相關的文獻聚焦於資本適足率（capital adequacy ratio）的研究，較少觸及目標（target）資本適足率以及風險性資產效率（risk-weighted assets efficiency）之探討。本研究強調銀行的分向效率（division efficiency）而非總效率，也是本文不同於以往之處。我們以台灣金控公司組織之商業銀行為研究對象，實證結果顯示公營行庫相較於民營行庫其風險性資產的效率較低，這個一個不同於以往的結果。以往的研究結果顯，由於公營行庫具有規模經濟以及範疇經濟，所以公營行庫的總效率高於民營行庫的總效率。此外，公營行庫除了在2008年金融風暴期間之外，相較於民營行庫其資本適足率較低。根據理論的觀點，公銀行庫的風險性資產效率較低應該有較高的資本適足率，以降低倒閉風險。然而現實狀況顯示，公營行庫的資本適足率相較於民營行庫是比較低的。

關鍵字

風險性資產減量目標 ； 風險性資產效率 ； 資料包絡分析法

並列摘要

Previous studies generally focus on the determinants of the capital adequacy ratio in a banking system, with far fewer works examining the target capital adequacy ratio with respect to an individual bank by considering the risk-weighted assets (RWA) efficiency. This study differs from previous studies in that we emphasize the bank’s division efficiency instead of total efficiency, by taking commercial banks under a financial holding company (hereafter FHC banks) in Taiwan as the research object. The empirical results show that a public FHC bank always has lower risk-weighted assets efficiency than a private bank does. This finding is very different from past studies' conclusion that a public FHC bank always has better efficiency than a private bank does. That out-of-date conclusion was caused by the scale and scope economies of public FHC banks. The actual capital adequacy ratios of public FHC banks are also always lower than those of private FHC banks, except during the 2008 financial crisis. Acc ording to the theoretical viewpoint, a public FHC bank in Taiwan should have a higher capital adequacy requirement than a private FHC bank.

並列關鍵字

Risk-weighted assets reducing target ； Risk-weighted assets efficiency ； DEA

參考文獻

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