- 學位論文
即時矯正措施:以台灣2000年金融危機為例
The prompt corrective action: What may be the better trigger?
摘要
本文主旨是希望為台灣將要實施之即時矯正措施，找到一個最好的指標。在本文中，除了檢驗自有資本比率以及逾放比之外，也將導入一個新的指標─新資本比率。調整過逾期放款後的資本比率是在假設一個違約損失率(即是一減去償還率)之下，將逾期放款中無法收回的部分從資產中減去，並將備抵呆帳加回資產中。將所得到的新的資產減去負債的部分，以求出新的淨值。而此新資本比率就是以新的淨值除以新的資產。這個新的指標因為融合了淨值、備抵呆帳以及逾期放款，所以將可以更精準的反映銀行的資產品質。 為了找出最好的指標，我將會做兩個檢驗：首先，我會先找出在2000，2001和2002年末最能預測出有問題銀行的財務比率。接著，我會為這些具有預測能力的指標導出其最適的門檻（也就是會啟動即時矯正措施的臨界點）。 而這篇論文的幾個重要的結論如下： 1. 風險資本適足率，比起逾放比以及調整過逾期放款後的資本比率而言，較不能分辨有問題的銀行以及健全的銀行。 2. 逾放比以及調整過逾期放款後的資本比率在預測問題銀行上，具有相同的預測能力。至於何者才是即時矯正措施的最佳指標，要視預測的時點而有所不同。 3. 如果預測問題銀行的時點是在金融危機的早期，例如說2000年，則違約損失率越高的調整過逾期放款後的資本比率具有較良好的預測能力。這個結果反映出在金融危機的初期，銀行報表上的逾期放款低於實際的逾期放款。因此，愈高的違約損失率，便將越多低估的逾期放款調整至其實際上應有的水準。 4. 雖然實證結果並不能確切比較出逾放比以及調整過逾期放款後的資本比率何者才是最好的指標，我推測調整過逾期放款後的資本比率，較逾放比而言，是較佳的指標。因為調整過逾期放款後的資本比率本身包含較多銀行的資訊，因此可以反映更多銀行的財務問題。此外，調整過逾期放款後的資本比率將減少銀行操弄財務報表的機會，因為要同時窗飾備抵呆帳、逾期放款以及淨值是比較困難的。另外，不論銀行的財務危機是來自什麼原因，其最終的結果都會反映在資本上。而逾放比只能捕捉當銀行的財務危機是由於逾期放款所造成的情況。由以上幾點，可知調整過逾期放款後的資本比率，較逾放比而言，是較佳的指標。
並列摘要
The purpose of this thesis is to empirically investigate which financial ratios should be used as the triggers of PCA for Taiwan. For the financial ratios examined, in addition to RBC ratios and non-performing loan ratio (NPL), I define a NPL-adjusted capital ratio (NCR), which contains information about the bank’s NPL, net worth, and reserves for NPL. I undertake two tests to find out which financial ratios may be the better triggers. First, I check which financial ratios can identify problem banks more precisely at the end of 2000, 2001, and 2002. Second, for the financial ratios that are good in predicting problem banks, I investigate the optimal thresholds that minimize total costs of misclassification. The main results of the thesis can be summarized as follows. 1. Compared with the NPL ratio and NCR, the RBC ratio is much worse in distinguishing between healthy and troubled banks. 2. In general, the prediction precision of NCR and the NPL ratio are about the same. Which of them is better in terms of the trigger for PCA depends on the timing for when the prediction is made. 3. If the prediction of problem banks is made in the early stage of banking crisis (that is, in 2000), the prediction ability of NCR with higher LGD rate is better. This result may reflect the fact that, in the early stage of the banking crisis, NPL figures usually understate their non-performing loan problems. When a higher LGD is assumed, the bias caused by the underestimation of NPL is reduced by increasing the banks’ losses in assets. 4. Although I cannot determine the superiority of NCR and the NPL ratio from the empirical results, I conjecture that NCR will be a better trigger of PCA. Since NCR contains more information about a bank, it can reflect more aspects of banks’ financial problems. Besides, NCR is less subject to the manipulation problem because it is more difficult for banks to window dress NPL, net worth, and reserves for NPL simultaneously. Moreover, regardless of the source of a bank’s financial problems, the consequences of the problems will ultimately appear in the bank's capital account. These arguments lead me to the conclusion that NCR should be a better trigger of PCA than NPL.
參考文獻
延伸閱讀
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