金融危機前後法規改革與銀行高風險放款行為之研究

The Impact of the 2008 Financial Crisis and Regulatory Reforms on High-Risk Loans: Evidence from the Effect of Capital Ratio and Liquidity

陳柏廷(Bo-Ting Chen)

指導教授 ： 劉啟群

共同指導教授 ： 尤琳蕙(Lin-Hui Yu)

國立臺灣大學/管理學院/會計學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201801094

摘要

本研究欲探討在2008 年金融危機後，資本適足率及流動性之法規改，是否影響銀行核准高風險抵押放款數量。在金融危機後，各方主管機關及制法者強力抨擊銀行高風險之行為及形同虛設的監理機制，並積極制定嚴謹的銀行資本適足率及流動性之標準，如巴賽爾協議III 及多德-弗蘭克法案。本研究蒐集了來自HMDA 資料庫中2004 年至2015 年美國金控公司之資料作為樣本，並剔除2007 年至2009 年金融危機期間以比較危機前後之變化。結果顯示相對於金融危機前，銀行資本適足率及流動性在危機後對高風險抵押放款捕捉到了正向的增額影響。本研究發現金融危機及法規改革影響了銀行資本適足率及流動性水準。而在此影響後，資本適足率及流動性對高風險抵押放款有正向的修正，銀行抵押放款風險高低隨著承擔損失能力及穩定放款來源增加而增加。

關鍵字

2008年金融海嘯 ； 法規改革 ； 高風險放款 ； 資本適足率 ； 銀行流動性

並列摘要

Following the 2008 financial crisis, U.S. banks have been seriously criticized for originating subprime mortgage at will during the pre-crisis period. The financial crisis prompts a series of regulations, such as the Basel III, and the Dodd-Frank Act, and the FAS 166/167. This paper aims to investigate whether banks’ risk-taking behavior changes after the financial crisis. I use a sample composed of U.S. bank holding companies during the period from 2004 to 2015 but ruling out the crisis period (2007-2009) to compare two periods before and after the financial crisis. The results show that the incremental effects of capital ratio and liquidity on the approved high-risk loans after the financial crisis are both positive. My study suggests that in comparison to the pre-crisis period, banks’ risk-taking behavior is captured more accurately by the capital ratio and liquidity since it would result in a healthier growth if the high-risk loans increase along with the bank’s ability to absorb the losses and generate the loans in the future.

並列關鍵字

2008 financial crisis ； Risk-taking behavior ； High-risk loan ； Capital adequacy ； Liquidity

參考文獻

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