新巴塞爾資本協定與衍生性金融商品交易對台灣銀行業經營效率之影響

本文討論新巴賽爾協定通過後，台灣銀行業面臨金融創新與執行巴賽爾二，其效率對他們的影響。我們使用資料包絡分析法尋找他們的效率值並且接著研究這些效率值的差額變數與資本適足率及衍生性金融商品使用量之間的關係，首先求算第一階段效率值，接下來考量資料截斷的特性，採用Tobit迴歸模型，計算差額變數並做調整，在第三階段我們運用修正後的BCC模型去估計與銀行效率值排名有關的問題，並將風險予以納入估算。我們的實證結果摘要說明如下：(1)大多數的銀行在2006年與2007年之間都會為了與同業競爭而積極地增加衍生性金融商品的使用，而這樣也提高了他們的效率，但2008年以後卻造成他們效率的衰退；(2)我們確知在金融海嘯期間衍生性金融商品使用量配合BASEL Ⅱ對資本適足率的要求是可減輕風險的；（3）有許多銀行尋求減少投入以改進效率，一般來說，在網路技巧與資訊科技的發達下會讓他們更要這麼做。

關鍵字

巴塞爾資本協定；資本適足率；衍生性金融商品；資料包絡法；三階段效率分析

並列摘要

The paper discussed the influence on banks industry from banking creation and the BASEL Ⅱ after executing the agreement of new Basel Capital Accord. We use the method of Data Envelopment Analysis to search their efficiency value and continue to study the relationship between slack variables with capital adequacy rate, derivatives. In the first stage, we employ the standard method to calculate the efficiency rate. In second stage, we concerned the data censored issue and employed Tobit regression model to analyze the impacts from capital adequacy rate the use of derivatives. In the three stages, we employ the Modified BCC model to estimate the score relating bank efficiency which are incorporating account the risk. Our empirical results are summarized as follows: (1) most of the banks develop the derivatives business to compete with others and the 2006-2007 can increase their efficiency, however, they also were struck such that efficiency fallen down after 2008. (2) We can approve the derivatives and the Basel Ⅱ to help bank during the banking tsunami. (3) There are many banks searching for decrease their input to improvement efficiency. Generally speaking, the skill of network and information technology is leading them to do.