銀行流動性因素對資本適足率的影響－以本國銀行為例

The Effect of Banking Liquidity Factor on BIS Ratio-Evidence Taiwan's Commercial Bank

李沃牆(Wo-Chiang Lee) ； 林惠娜(Hui-Na Lin) ； 黃嘉薇(Jia-Wei Huang)

《致理學報》 33期 (2013/07) Pp. 27-53

摘要

本研究以國內29家商業銀行之財務資料為樣本，使用縱橫資料迴歸模型（Panel Data Regression Model）進行實證之研究，以銀行緩衝資本額為被解釋變數，探討影響資本適足率的變數。在解釋變數方面的選擇，除了之前文獻提到對資本適足率有影響的變數外，另外增加了流動性因素的變數，分別為流動準備率及存放比率，探討流動性因素與國內銀行資本適足率之相關性。研究結果發現，在我國實施資本適足率規範下，流動準備率、調整成本與競爭者資本額對於資本緩衝額的影響為正向，將會提升銀行資本適足率。而存放比率、逾放比率、GDP成長率與銀行規模大小，對資本緩衝額的影響為負向，將導致銀行降低資本適足率。監督效果則無顯著影響。

關鍵字

流動性風險 ； 資本適足率 ； 巴賽爾資本協定 ； 緃橫資料迴歸模型

並列摘要

This study employs Panel Data Regression Model to investigate factors affect the capital adequacy rate. The sample includes seasonal data of 29 commercial banks in Taiwan. The study uses bank capital buffer as dependent variable. Except that the variables affecting Capital Adequacy Rate have been used in literature review, we also add liquidity factors such as liquidity reserve rate and loan to deposit rate to exam the relationship of Capital Adequacy Rate and liquidity factors. The results of this study show that the relationships of bank capital buffer between liquidity reserve rate, adjusted cost, and competitor capital are positive, thus, banks increase capital adequacy rate. The relationships of bank capital buffer between loan to deposit rate, non-performing loan rate, GDP growth rate and bank size are negative, therefore, banks decrease the capital adequacy rate. The effect of supervision is no significance.

並列關鍵字

liquidity risk ； Capital Adequacy Rate ； Basel Capital Accord ； Panel Data Regression Model