流動性規範與銀行資產成長

2007-2009金融海嘯期間，金融體系流動性的嚴重缺乏導致銀行身陷風暴之中，甚至相繼面臨破產的困境。認知到流動性在金融體系中的重要性，監管與法規制定機關接連提出有關流動性管制的法規與措施，致力於使銀行具備足夠且穩定的流動性。本文藉由Y9-C報告上所記載之資訊，建立短期融通資金占負債之比率以及高品質流動性資產占資產之比率兩變數，檢驗巴塞爾協議III中規範的淨穩定資金比率以及流動性覆蓋比率對銀行的影響。本文係以2001-2019美國的銀行控股公司作為研究的樣本，並著眼於探討流動性對銀行資產成長的影響，以及在巴賽爾協議III正式實施後，流動性對銀行資產成長的效果是否有增強的跡象。本研究指出，短期融通資金比率以及持有高品質流動性資產比率越高，皆對銀行的成長有限制的效果，尤其是在放款成長的方面。此外，從本研究亦指出，流動性對銀行成長的影響在巴賽爾協議III實施後，有相比於實施前更強烈的限制效果。

關鍵字

流動性管制；巴賽爾協議III ；淨穩定資金比率；流動性覆蓋比率；銀行資產成長

並列摘要

Recognizing the importance of liquidity due to the financial crisis in 2007-2009, liquidity regulations has been introduced and put same weights as capital requirements since then. Using Y9-C report data, we create wholesale funding ratio and high-quality liquid assets ratio to capture the essence of NSFR and LCR, respectively. Using a sample composed of U.S. bank holding companies from 2001 to 2019, we focus on how liquidity affect bank’s growth, and whether the effects are amplified after the implementation of liquidity regulations in our study. Our results suggest that both wholesale funding ratio and high-quality liquid assets ratio limit the bank’s growth, especially from the perspective of loan growth. Moreover, stronger effects can be observed from our results after the implementation of Basel III.

並列關鍵字

Liquidity regulation ； Basel III ； Net stable funding ratio ； Liquidity coverage ratio ； Banks' growth

參考文獻

Acharya, V.V., and N. Mora.2015. A crisis of banks as liquidity providers. The Journal of Finance, Vol. 70(1), 1-43.

Google Scholar

Aysun, U., and R. Hepp. 2016. The determinants of global bank loans: Evidence from bilateral cross-country data. Journal of Banking and Finance 66, 35-52.