- 學位論文
金融海嘯後臺灣信用市場流動性之影響因素分析
Analyzing the Factors Affecting the Liquidity of Credit Market in Taiwan after Financial Tsunami
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摘要
2008年9月雷曼兄弟倒閉後引起金融海嘯危機，為了日後金融市場的穩定，巴賽爾銀行監理委員會頒布了巴賽爾協定?，除了更加嚴格的資本適足率規範，也將槓桿比率等財務指標納為規範，將在2019年全面實施。本研究想要探討在金融海嘯過後至今，什麼因素影響臺灣的信用市場流動性，並把可能影響的變數分為供給面及需求面因素。 本研究以2008年第四季至2015年第三季的本國40家銀行為研究對象，利用縱橫斷面資料 (Panel data)模型做實證分析而得到以下結果： (1) 整體而言，供給面因素中的資本適足率、槓桿比率以及逾放比深深影響臺灣信用市場的流動性。 (2) 公股銀行對中小企業放款成長率的實證結果發現資本適足率並不是顯著變數，也許是因為公股銀行對於中小企業放款具有政策性考量，使得資本適足率的規範對於其授信政策來說不是最主要的考量。 (3) 需求面因素在民營銀行的授信時發揮較大的效果，也許能夠推論為民營銀行相較於公股銀行較能夠掌握信用市場的需求面。
並列摘要
Financial tsunami was caused by the bankruptcy of Lehman Brothers Holdings Inc. in September 2008. In order to maintain stableness of financial market furtherly, Basel Committee on Banking Supervision (BCBS) issued Basel ?, which includes more stringent rule of bank of international settlement ratio (BIS ratio) and leverage ratio. The new version of Basel accord will be implemented in 2019. This study wants to examine which factors affect the liquidity of credit market in Taiwan after financial tsunami and divides factors into supply-side effects and demand-side effects. The objects of the study are 40 Taiwanese banks during 2008Q4 to 2015Q3. Moreover, this study uses panel data model to make empirical analysis. Empirical results find that： (1) Generally, supply-side effects like BIS ratio、leverage ratio and non-performing loans ratio deeply affect the liquidity of credit market. (2) BIS ratio is not a significant factor when state-controlled banks make loans to SME companies. The reason may be that due to the consideration of government policies, BIS ratio is not the most important factor in their credit policies. (3) Demand-side effects play more important role in private banks. Maybe it can conclude that private banks are more active to catch the demand of credit market than state-controlled banks do.
參考文獻
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