銀行治理、利率及匯率衍生性金融商品與銀行利率及匯率風險：台灣實證研究

Bank Governance, Interest-Rate and Exchange-Rate Derivatives, and Banks' Interest-Rate and Exchange-Rate Risks: Evidence from Taiwan

劉景中(Jin-Chung Liu)

《經濟論文叢刊》 44卷2期 (2016/06) Pp. 257-337

https://doi.org/10.6277/TER.2016.442.3

摘要

本文目的以1998－2011年台灣銀行業為研究對象,探討衍生性金融商品對銀行風險的影響，以及進一步探討何種銀行治理機制能有效地影響衍生性金融商品對銀行風險的影響效果。本研究的衍生性金融商品強調的是利率及匯率衍生性金融商品，此外，我們也強調運用交易目的及非交易目的(避險目的)之衍生性金融商品資料。銀行風險變數強調採用會計資料所衡量的銀行利率及匯率風險變數。主要實證結果有：第一、非交易目的之利率及匯率衍生性金融商品只會降低銀行利率及匯率風險，並不會提高銀行利率及匯率風險。第二、交易目的之利率衍生性金融商品會對銀行利率風險產生提高效果。交易目的之匯率衍生性金融商品會對銀行匯率風險產生降低效果。第三、董事會規模較大的銀行、銀行為公股銀行及獨立董監事席次比率較大的銀行，較能降低交易目的之利率衍生性金融商品對銀行利率風險的提高效果。董事會規模較大的銀行，較會減緩交易目的之匯率衍生性金融商品對銀行匯率風險的降低效果。

關鍵字

衍生性金融商品 ； 銀行治理 ； 利率風險 ； 匯率風險

並列摘要

The purpose of this paper is to explore the impact of derivatives on bank risks in Taiwan’s banking industry from 1998 to 2011, and further to examine whether the impact of derivatives on bank risks is related to bank governance. In this paper, we focus on interest-rate derivatives and exchangerate derivatives. In addition, we employ the derivative data for non-trading (hedging) purposes and for trading purposes. In this study, we use accounting data to measure banks’ interest-rate and exchange-rate risks. The main results show that: (i) Higher interest-rate and exchange-rate derivatives for non-trading purposes only cause lower interest-rate and exchange-rate risks for banks, and can not cause higher interest-rate and exchange-rate risks. (ii) Banks with higher interest-rate derivatives for trading purposes have higher interest-rate risks. Banks with higher exchange-rate derivatives for trading purposes have lower exchange-rate risks. (iii) The increase in banks’ interest rate risks caused by interest-rate derivatives for trading purposes is smaller for banks with larger board size, for state-owned banks and for banks with more independent directors and supervisors. The decreasing effect of exchangerate derivatives for trading purposes on banks’ exchange-rate risks is smaller for banks with larger board size.

並列關鍵字

Derivative ； Bank Governance ； Interest-Rate Risk ； Exchange- Rate Risk

參考文獻

李麗(1995)。金融交換實務。三民書局=San Min Book Co., Ltd Publishing。

李麗(1999)。衍生性金融商品。三民書局=San Min Book Co., Ltd Publishing。

周大慶、沈大白、張大成、敬永康、柯瓊鳳(2002)。風險管理新標竿—風險值理論與應用。智勝文化事業有限公司=Best-Wise Publishing Co., Ltd Publishing。

周國偉、吳孟道(2005)。金融海嘯與台灣金融市場壓力及因應政策。經社法制論叢。45，39-67。

林左裕(2009)。衍生性金融商品。智勝文化事業有限公司=Best-Wise Publishing Co., Ltd Publishing。