銀行國際化、市場支配力與風險之內生性模型實證研究

Empirical Study on Bank Internationalization, Market Power and Risk: Endogeneity Model

王宥勻(Yu-Yun Wang)

指導教授 ： 李存修

國立臺灣大學/管理學院/財務金融學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.02405

摘要

本研究以2010-2013年期間台灣本土的36家銀行作為研究對象。探討本土銀行國際化的情形，以及銀行國際化程度對各行的市場支配力(market power)與風險的影響。構成銀行國際化程度包括三個面向：海外收入、海外資產、海外分支機構。本研究以主成分分析，將此三個變數合成一國際化綜合指數。並以隨機前緣分析(stochastic frontier analysis)估計各銀行的市場支配力。最後以多元迴歸模型與內生性模型檢視各銀行國際化程度與市場支配力、風險的關係。
　　本研究結論為：
1.政策性銀行的市場支配力最差。接著是外資與工業銀行。最好的是公股與一般商業銀行，公股又稍差些。
2.政策性銀行的風險是最低的。接著是公股銀行，第三是工業銀行。外資與一般商業銀行風險無顯著差異。
3.銀行整體的國際化程度提高與海外收入增加會銀行在本土的市場支配力。但海外資產增加會降低銀行在國內的市場支配力。
4.銀行整體的國際化程度提高與海外收入增加會增加銀行的風險。而海外資產會的增加會降低母行的營運風險。
5.市場支配力與風險間存在內生的(simultaneous)正相關。兩者是一同時的選擇，故銀行在決定其商業模式與國際化策略時，就同時決定了市場支配力與風險。提高本土金融市場的議價空間，便會以風險作為代價。

關鍵字

銀行 ； 國際化 ； 市場支配力 ； 風險 ； 內生性模型

並列摘要

Focusing on 36 Taiwanese local banks in the period of 2010 to 2013, this study investigate degree of internationalization of these Taiwanese banks, and how the degree of internationalization affect market power and risk of these banks. Degree of internationalization includes three aspects: foreign asset, foreign income and the number of foreign branches, which were composed into a internationalization index using principal component analysis. Next, we estimate market power of each bank using stochastic frontier analysis. Finally, we use multi-regression model and endogeneity model to capture the relation of internationalization, market power and risk. Followings are our conclusion:
1.Policy bank has the lowest market power in Taiwan, followed by foreign capital bank and industrial bank. State-owned and commercial bank have the best market power, while commercial bank is slightly better than state-owned bank.
2.Policy bank has the lowest risk, followed by state-owned, then industrial. Foreign capital and commercial bank both are highest.
3.Increase of the internationalization and weight of foreign income will enhance market power of individual bank, while increase of foreign asset will lower market power.
4.Increase of the internationalization and weight of foreign income will increase operational risk, while increase of foreign asset will lower risk.
5.There exist an endogenous relation between bank’s market power and risk. The decision of banks business model and internationalization strategy will simultaneously decide market power and operational risk.

並列關鍵字

banks ； internationalization ； market power ； risk ； endogeneity model

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