本文利用Kendall τ及Spearman ρ相關係數與滾動式縱橫資料迴歸分析來觀察不同管理指標下台灣銀行業風險承擔態度之變化,並探討第一次金融改革對其風險承擔態度之影響與檢驗展望理論之觀點在台灣銀行業是否存在。結果顯示:若銀行以ROE(或逾放比)來進行目標管理,在參考點之上,銀行決策者會傾向風險趨避(風險愛好);但在參考點之下,銀行決策者反而傾向風險愛好(風險趨避)。在一次金改後,銀行無論是以產業逾放比中位數或是逾放比5%作為管理標準,皆顯示風險愛好的程度降低。因此,台灣銀行業風險承擔態度基本上符合展望理論,且ROE與逾放比率可視為台灣銀行業最佳監控或管理風險變數,政府在推行一次金改後,不僅數據目標達成,也削弱銀行追求風險程度。
The purpose of this paper is to investigate the validity of some behavioral conjectures as alternative explanations of bank risk-taking behavior. The sample consists of 36 banks for the period 1995-2004 in Taiwan. I compute Kendall's tau and Spearman's rho correlation coefficients and use the panel data regression model to observe the changing attitude toward risk conditional on the domain features. The empirical results support the basic propositions of prospect theory under the measure of profitability and the asset quality. In other words, bankers located above the benchmark level exhibit risk aversion, and bankers located below target appear to be risk seeking. Besides, I also examine the impacts of the first financial reform on the bank risk-taking behavior. The evidence shows that the first financial reform was successful and the bankers take less risk-loving attitude after the first financial reform.