銀行業資本緩衝與景氣循環之關聯-台灣與中國大陸實證分析

The Relationship between Banks’ Capital Buffer and the Business Cycle- Evidence from Taiwanese and Chinese Banks

李瑞仁(Ruei-Ren Li)

指導教授 ： 沈中華

國立臺灣大學/管理學院/財務金融學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.10033

摘要

巴塞爾協議III對於逆景氣循環資本緩衝計提之新規定，其考量在於使銀行在景氣狀況較佳時提列較多資本，以使在景氣狀況轉差時保有更多準備並降低銀行破產之風險。此措施的設置，乃在假定一般銀行的自有資本具有與景氣循環反向變動的性質，因此有必要以強迫性的規範使銀行在景氣繁榮、放款增加時便將未來之風險納入考慮。而本研究之目的，即在於驗證在台灣以及中國大陸地區銀行業者之資本緩衝是否確實與景氣循環之間呈現反向變動關係，此外再對於其資本緩衝隨景氣循環的情形是否在不同的景氣階段具備不對稱性質進行分析。
而實證結果發現：對於台灣地區樣本內所有銀行而言，資本緩衝與景氣循環呈現反向變動關係，且此現象具有不對稱性：當景氣衰退時資本緩衝上升的幅度顯著高於景氣好轉時資本緩衝下降的幅度。進一步區分樣本內台灣地區泛公股以及民營銀行，亦發現兩類銀行對於持有資本緩衝的態度有所差異，對於泛公股銀行而言，資本緩衝與景氣循環之關聯為顯著負向，其存在之不對稱性與本研究對台灣地區所有銀行之實證結果類似。而對於台灣地區民營銀行之實證結果，則發現資本緩衝隨景氣循環的效果雖為負向，但並不顯著。
本研究亦對大陸地區已上市股份制銀行進行探討，實證結果發現其資本緩衝隨景氣循環呈現顯著同向變動情形。且當經濟狀況處於好轉時銀行業資本緩衝增加的幅度要大於經濟狀況惡化時銀行業資本緩衝減少的幅度。

關鍵字

資本緩衝 ； 景氣循環 ； 巴塞爾協議

並列摘要

The Basel III Accord introduces a framework to countercyclical capital buffer above the minimum requirement. The aim of this approach is to force banks to conserve more capital during upturns in order to reduce the possibility of bankruptcy and the capital can be used in stress. The framework assumes normally the capital of a bank will fluctuate negatively with the business cycle, so we need the framework to ensure that banking sector capital requirements take account of the macro-financial environment in which banks operate. The goal of this paper is to estimate whether the capital buffers of banks in Taiwan and Mainland China fluctuates pro-cyclically. Next we will estimate the existence of asymmetry of capital buffer fluctuations.
From the empirical results we find: for all Taiwanese banks in the sample, the capital buffer of these banks has a significantly negative relationship with the business cycle. And we also find there is asymmetry of the buffer fluctuation: the buffer increase during downturns is more than the reduction of buffer during upturns. As for Taiwanese government-owned share banks, we can find the buffer of these banks fluctuates negatively with the business cycle. And the existence of asymmetry is similar to the case of the evidence from all Taiwanese banks. On the other hand, the buffer of Taiwanese private-owned share banks has insignificant relationship with the business cycle.
This paper also discusses the relationship between the capital buffer and business cycle for listed banks in Mainland China. The empirical result shows the capital buffer of Chinese banks fluctuates significantly positively with the business cycle. And the buffer increases when in upturn is more than it decreases when in downturn.

並列關鍵字

Capital Buffer ； Business Cycle ； the Basel Accord

參考文獻

沈中華（2003），「Basel II的缺點及改善建議」，台灣金融財務季刊，第四輯第一期，第1－18頁。

Arellano, M. and S, Bond. (1991), “Some Tests of Specification for Panel Data: Monte Carlo Evidence and An Application to Employment Equations.” Review of Economic Studies 58. 277-297.

Ayuso, J., Perez, D. and Saurina, J. (2004), “Are Capital Buffers Pro-Cyclical? Evidence from Spanish Panel Data” Journal of Financial Intermediation 13. 249-264.

Bank for International Settlements (BIS), (2010), “Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems.”

Bank for International Settlements (BIS), (2010), “Countercyclical capital buffer proposal.” Consultative Document.