資產規模差異下利差與銀行獲利--縱橫門檻效果分析

The analysis of panel threshold effect of bank spread and profit under asset scale

高曉盈(Hsiao-Ying Kao)

指導教授 ： 聶建中 ； 張倉耀

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00111

摘要

本研究以ROE作為銀行獲利力之代理變數，資產規模為門檻變數，檢定在不同資產規模下存放款利差對銀行獲利的影響是否存在著一上下不對稱之非線性門檻關係，以縱橫門檻效果(Panel Threshold )迴歸模型來進行實證，期望找出存放款利差對銀行獲利最大下之最適資產規模。
實證結果證明資產規模有門檻存在，共有3門檻將資產規模區分為四階段，當資產規模取自然對數後若介於 與 時，存放款利差的提高確實會使銀行獲利增加，若資產規模處於其他區間則存放款利差與銀行獲利呈負相關。而淨手續費收入、淨投資收入、淨非營業收入、其他淨營業收入、淨利息收入等與ROE成正相關；市場利率則呈負相關，但效果不顯著。
因此，銀行希望藉由購併來擴大其資產規模增加獲利時，若銀行經營方面為傳統賺取存放款利差業務為主，則資產規模若介於 與 時，將是銀行最適資產規模。若銀行資產規模非處於此階段，則銀行應以理財手續費或投資收入為經營方面。

關鍵字

縱橫門檻效果模型 ； 存放款利差 ； 銀行獲利力 ； 資產規模

並列摘要

Owing to spread is the key factor of affecting traditional bank profit, this study employs ROE, as an agent variable of profit, to test asymmetrical nonlinear relationship of threshold existing or not under different asset scale. This study takes advantage of Panel Threshold Model, advocated by Hansen (1999), to execute empirical test and hope to find optimal asset scale under spread affecting bank profit.
The empirical test proves the existing of threshold, total three thresholds distinguish asset to four intervals. When asset scale is between and , spread vibrates will affect bank profit, or there is a negative correlation of spread and profit if asset scale locates others intervals. Except market rate, net commission income, net invest income, net non-operating income, other net operating income and net interest income have the positive correlation with ROE.
Hence, if traditional banks, operating and gaining profit almost by spread, could enhance their profit by merging to expand their scale. This study points out the optimal asset scale is between and . If not within this interval, bank should focus on investment income and managing financial fee.

並列關鍵字

Panel Threshold Model ； loan-deposit Spread ； ROE ； Asset Scale

參考文獻

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