本國銀行財務特徵與衍生性金融商品之關聯性

The Relationship of Domestic Banks Financial Characteristics and Derivatives

吳佩珊(Pei-Shan Wu) ； 余思隆(Szu-Lung Yue)

《健行學報》 32卷4期 (2012/10) Pp. 29-48

https://doi.org/10.7049/JCHCTC.201210.0029

摘要

近年來本國銀行對衍生性金融商品的使用量越來越高，我國從1991年7月起逐漸開放銀行辦理衍生性商品業務，截至2010年11月底為止，我國衍生性商品有20餘種且逐漸增加。本研究之目的在探討台灣地區本國銀行使用衍生性金融商品與財務特徵間的關係，針對金融監理機關監控的財務構面挑選出資本額、負債資產比、淨值比、放款比、流動比、流動資產比、淨利息邊際、資產報酬率、董監事持股比等。根據Gonza'lez, Terasvirta and Dijk（2004,2005）修正後的縱橫門檻迴歸模型，稱為縱橫平滑移轉迴歸模型（Panel Smooth Transition RegressionModel，簡稱PSTR）來檢定衍生性金融商品使用與銀行財務特徵的關係。因PSTR模型可設定門檻變數將樣本資料分組（本文設定資本額為門檻變數），於研究過程中可了解分組銀行間的衍生性商品使用的差異。本研究結果顯示：在淨放款比、公司規模、負債資產比、淨值比、流動比、流動性資產比、董監事持股比越高的情況下大規模銀行會增加衍生性金融商品操作。淨利息邊際愈高則大規模銀行衍生性金融商品操作可能性愈低。實證結果與國外文獻大致符合，顯示本國銀行的衍生性金融商品使用尚在合理的範圍當中。

關鍵字

財務特徵 ； 衍生性商品 ； PSTR模型

並列摘要

In recent years, the use of financial derivatives for domestic banks in Taiwan is getting greater. Since July 1991, derivatives products were launched and a wide variety of derivatives are accepted. So far, there are more 20 derivatives that are released. The objective of this paper is to study the relation between the use of financial derivatives and characteristic of financial institutions. We focus on several variables, such as the capital, debt asset ratio, net worth ratio, loan deposit ratio, liquidity ratio, current asset ratio, net interest margin, asset return, and stock holding ratio of boards. According Gonza'lez, Terasvirta and Dijk (2004,2005) modified panel threshold regression model, called the Panel Smooth Transition Regression(PSTR) model to test the relationship between using financial derivatives and financial characteristics. Because PSTR model can set the threshold variable and group the sample data, (this study use capital as threshold variable). In this research can help us to know the difference of using derivatives between grouping bank. The results indicated that: when debt asset ratio, net worth ratio, loan deposit ratio, liquidity ratio, current asset ratio and stock holding ratio of boards are higher, the large scale banks will use more derivatives. When net interest margin is higher, the large scale banks will use less derivatives. The empirical results are same with foreign literatures; it shows domestic banks use financial derivatives at reasonable range.

並列關鍵字

Financial Characteristics ； Derivatives ； PSTR Model