The Impact of Capital Requirement on Bank Operating Efficiency: An Application of the Bootstrapped Truncated Regression Model

The Taiwan government has gradually instructed domestic banks to raise the quantity and quality of their capital adequacy ratio to meet the higher level of Basel III standard. This study employs the two-stage bootstrapped truncated regression to investigate the impacts on the efficiency of Taiwan domestic commercial banks due to the increases in required Core, Tier 1, and total capital adequacy ratios. The results show that, from 2011 to 2013, the increased Core and Tier 1 capital adequacy ratios have significant negative effects.

關鍵字

Banking industry ； capital requirement ； two-stage DEA ； bootstrap ； truncated regression model

並列摘要

為因應巴塞爾資本III規範，臺灣要求國內銀行逐步增加資本適足率之數量與品質，本研究應用二階段拔靴法截尾迴歸模型，探討增加核心資本適足率、第一類資本適足率及資本適足率對本國商業銀行經營效率影響。結果顯示34家臺灣商業銀行於2011至2013年間，要求銀行增加核心第一類資本、或第一類資本對銀行效率產生顯著負面效果。

並列關鍵字

銀行業；資本要求；二階段DEA ；拔靴法；截尾迴歸模型

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