模擬BASEL III新資本監管對台灣銀行業成本效率之影響

A Simulation of the Impact of New Capital Regulation in BASEL III on the Cost Efficiency of Taiwan's Banks

鄭政秉(Cheng-Ping Cheng) ； 梁連文(Lien-Wen Liang) ； 陳仁屏(Jen-Ping Chen)

《管理與系統》 22卷2期 (2015/04) Pp. 175-203

摘要

Basel III協議增訂了銀行自有資本比率、核心自有資本比率、風險覆蓋率、槓桿比率、和流動性比率等資本新規範。本文企圖模擬台灣如實施Basel III之新資本監管，對銀行業的成本效率之可能影響。我們利用Battese and Coelli（1995）之隨機邊界法（stochastic frontier approach; SFA）及Huang et al.（2014）的隨機共同邊界法（stochastic metafrontier approach; SMF），以國內13家金控銀行和19家非金控銀行之6年資料為樣本，探討實施BaselIII對我國銀行業效率之影響，並對比金控與非金控銀行成本效率受到衝擊之差異。本研究實證結果發現：（1）考量Basel III措施，增加普通股權益計提，將降低金控銀行之成本效率，但卻會提高非金控銀行的成本效率；（2）增加第一類資本的計提，將提高金控銀行之成本效率，但卻會降低非金控銀行的成本效率；（3）增加抗景氣循環資本的計提，都會降低金控與非金控銀行的成本效率，對非金控銀行影響尤為顯著；（4）在共同邊界成本法分析下，金控銀行的共同成本效率優於於非金控銀行。

關鍵字

Basel資本協定 ； 隨機共同邊界法 ； 銀行產業 ； 成本效率

並列摘要

BASEL III amended a set of new capital regulations, such as governing bank capital ratio, core equity capital ratio, risk coverage, leverage ratio and liquidity coverage ratio. It might significantly influence the efficiency of the worldwide financial system. We first use the stochastic frontier approach (SFA) of Battese and Coelli (1995), with 6 years sample data of 13 financial holding companies and 19 independent banks, to investigate the effects of adopting Basel III on cost efficiency of Taiwan's banking. We then exploit the stochastic metafrontier approach (SMF) of Huang et al. (2014) to compare the different cost efficiency resulted from Basel III between financial holding companies and independent banks. We find that (1) under the Basel III new capital regulations, rise of common stock ratio would decrease cost efficiency of financial holding companies, but increase the one of independent banks. (2) Rise of tier 1 capital would increase cost efficiency of financial holding companies, but decrease the one of independent banks. (3) Rise of countercyclical capital buffer decreases the cost efficiency of both groups of banks, although the effect of the latter is more significant. (4) In terms of meta cost efficiency, we find that financial holding bank is superior to independent banks. Overall, we find that the general cost efficiency of financial holding banks is better than the one of independent banks.

並列關鍵字

Basel Capital Accord ； Stochastic Metafrontier Approach ； Banking Industry ； Cost Efficiency

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