台灣總體審慎監理之研究

A Study on Macro-prudential Supervision in Taiwan

謝政宏(Cheng-Hon Hsieh)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.10111

摘要

總體審慎監理主要目標是維持金融體系穩定並減少系統性風險。金融體系之系統風險包括「順景氣循環風險」及「連結風險」，為了使金融體系不會隨著時間而大幅變動，我們可以透過總體審慎監理中「跨時間構面」監理機制以解決系統風險之「順景氣循環風險」。另外，為了避免個別金融機構衝擊整體金融體系穩定性，須有預警指標及預防措施，亦可透過總體審慎監理中「跨機構構面」監理機制，以解決系統風險之「連結風險」。.
個體審慎監理側重於個體金融市場及金融機構，確保每個金融機構均有適足資本及足夠償債能力，以保障金融消費者權益。個體審慎監理控制，是先確保個別機構之健全發展，就能促進金融系統之穩定。但金融海嘯顯示，傳統個體審慎監理模式不足以穩定全球金融，尚須輔以總體審慎監理，及時辨識金融體系風險與弱點，採取更有效監理，以降低整體金融體系失序之可能性。
金融海嘯過後，巴塞爾委員會為降低系統風險，於《巴塞爾資本協定Ⅲ》正式提出總體審慎監理之概念及工具，包括就信用擴張要求提列抗景氣循環緩衝資本、保留緩衝資本及使用槓桿比率等。另外，金管會亦參考《巴塞爾資本協定Ⅲ》修訂《銀行資本適足性及資本等及管理辦法》，增訂銀行應計算槓桿比率，並明定自有資本與風險性資產及普通股權益比率等。另外，央行鑑於銀行授信有過度集中現象，且新增房貸多集中大臺北地區，不利銀行授信風險控管，央行於2009年10月開始督促銀行審慎辦理不動產貸款業務，並自2010年6月起，陸續訂定數項不動產貸款針對性之總體審慎措施，強化銀行不動產授信之風險控管。

關鍵字

總體審慎監理 ； 金融海嘯 ； 順景氣循環風險 ； 連結風險 ； 巴塞爾資本協定

並列摘要

The aim of macro prudential supervision stresses on financial stabilities and decrease of systemic risks, including the “procyclical risk” and the “connection risk”. To minimize the fluctuation of financial system over time, the authority could adopt the mechanism of marco prudential supervision, “time dimension supervision” to address the “procyclical risk”. In addition, in need of early warning indicators and preventive measures to avoid the impact of individual financial institutions on the financial stability, the authority could adopt the mechanism of marco prudential supervision, “cross-dimension supervision” to response the "connection risk ".
Micro prudential supervision emphasizes on individual financial markets and financial institutions, ensuring each financial institution has adequate capital and sufficient liquidity to protect consumers. Stabilizing the financial system requires sound development of each financial institution. Evidence from the financial crisis shows that traditional micro prudential supervision insufficiently stabilizes the global finance, and relies on macro prudential supervision to timely identify the risks and vulnerabilities of financial system, reducing the possibilities of financial disorders.
After the financial crisis, Basel Committee on Banking Supervision (BCBS) has proposed measures of macro prudential supervision on the Basel III to reduce the systemic risk, including the “countercyclical capital buffer”, the “capital conservation buffer”, and the “leverage ratio” to solve the over expansion of credit. Furthermore, the Taiwan Financial Supervisory Commission (FSC) has revised the “Regulations Governing the Capital Adequacy and Capital Category of Banks” based on Basel Ⅲ, including banks’ calculation of the leverage ratio and definition of the “Capital Adequacy Ratio” and ”Tier 1 Capital Ratio”.
Moreover, excessive concentration of banks’ credit and new mortgages concentrated in the greater Taipei area might have disadvantaged of banks’ credit risk control. In October 2009, the Central Bank of the Republic of China urged banks to prudently manage the real estate lending. Since June 2010, the Central Bank has set up macro prudential measures on real estate loans to strengthen banks’ risk control of real estate credit

並列關鍵字

macro prudential supervision ； financial crisis ； procyclical risk ； connection risk ； Basel accord

參考文獻

41. 蔡進財，我國金融安全網建構之歷程與挑戰，中央存保公司編印第18卷第2期，2005。

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