摘要
本文利用Ho 和 Saunders(1981)的交易商模型，並且加入流動性風險，探討銀行淨利差決定的因素，使用1996-2003年2869間銀行，43個國家的跨國縱橫資料，並分為OECD會員國與非OECD會員進行檢定。實證結果顯示：平均而言，風險態度、平均資產報酬率、營運成本與信用風險對淨利差有顯著的正向影響，存款市佔率則是對淨利差有顯著負的影響。OECD會員國方面，平均資產報酬率與信用風險，對淨利差有顯著為正的影響，而放款市佔率與淨利差為負向的關係。最後非OECD會員國方面，風險態度、平均資產報酬率與營運成本，對淨利差有顯著為正向關係；市佔率方面，放款市佔率與淨利差為正向的影響關係，存款市佔率與淨利差影響關係則是負向的。
並列摘要
This paper investigates the determinants of interest margins. Specifically, we extend dealership model pioneered by Ho and Saunders (1981), but widened to take banks’ liquid risk into the model. Applying to 43 countries covering 2869 banks during the period of 1996-2003, our results show that：first, net interest margins are significantly and positively related to the degree of risk aversion, returns on assets, operating costs, and credit risk, while significantly negatively related to deposits market share； Second, for OECD countries, both returns on assets and credit risk affect the interest margin positively, while the loan market share measure is significantly and negatively related to interest margins；Finally, for Non-OECD countries, net interest margins are significantly and positively related to the degree of risk aversion, returns on assets, and operating costs, while the deposit market share measure is significantly and negatively related to interest margins. The loan market share measure is significantly and positively related to interest margins.