- 學位論文
國內銀行財務特徵對使用衍生性金融商品之影響-縱橫平滑移轉迴歸模型之運用
Effect of Domestic Financial Characteristics on Derivatives - An Application of Panel Smooth Transition Regression Model
摘要
近年來本國銀行對衍生性金融商品的使用量越來越高，除原先避險的的原因以外，銀行為增加手續費用收入而增加衍生性商品的使用。我國從1991年7月起逐漸開放銀行辦理衍生性商品業務，截至2010年11月底為止，我國衍生性商品有20餘種且逐漸增加，我國的衍生性金融商品已更多樣化。 本研究之目的在探討台灣地區本國銀行使用衍生性金融商品與財務特徵間的關係，另針對金融監理機關監控的財務構面挑選出資本額、負債資產比、淨值比、放款比、流動比、流動資產比、淨利息邊際、資產報酬率、董監事持股比等。根據Gonza’lez, Terasvirta and Dijk(2004,2005) 修正後的縱橫門檻迴歸模型，稱為縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model)來檢定衍生性金融商品使用與銀行財務特徵的關係。縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model)是修正縱橫門檻迴歸模型中觀察值靠近門檻值時會產生不合理的跳躍過程，在模型修正上增加一個移轉速度將跳躍過程修正為平滑移轉，使模型解釋更加合理。過程中採用Terasvirta (1988)提出之方法，在虛無假設 下對選取資料進行同質性檢定，再進行門檻變數設定，檢定衍生性金融商品使用與銀行財務特徵的關係。 因縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model)可設定門檻變數將樣本資料分組(本文設定資本額為門檻變數)，於研究過程中可了解分組銀行間的衍生性商品使用的差異。本研究結果顯示：在淨放款比、公司規模、負債資產比、淨值比越高、流動比、流動性資產比、董監事持股比的情況下會增加衍生性金融商品操作。淨利息邊際愈高則衍生性金融商品操作可能性愈低。結果與國外文獻大致符合，顯示本國銀行的衍生性金融商品使用尚在合理的範圍當中，國內主管機關在衍生性金融商品市場發展的管理與政策的擬定要多加考量以免銀行過度投機操作衍生性金融商品造成金融市場的不良影響。
並列摘要
In recent years, domestic bank was getting higher and higher to the derivatives’ amount of use, besides took refuge from danger, the bank increase the derivatives the use for raising the service charge income. In Taiwan, we opens the bank to handle the derivatives from July, 1991. By the end of November, 2010 , Taiwan has 20 kinds of derivatives, and increases gradually. Derivatives are diversification in Taiwan . This research will study the relation between domestic bank in Taiwan use derivatives and the financial characteristic. We choice several items from the financial overseeing institution monitors financial construction surface, that is capital, debt ratio, net worth ratio, loan ratio, liquidity ratio, liquid assets ratio, net interest margin, return on assets, board ownership ratio. According Gonza'lez, Terasvirta and Dijk (2004,2005) modified panel threshold regression model, called the Panel Smooth Transition Regression model aspect to test use of financial derivatives between banks and financial characteristics. Panel Smooth Transition Regression Model modified observations in panel threshold regression model, which close to the threshold value will have unreasonable jump process. In this model , it add a transfer rate to revise jump process for smooth transition, and make the model more reasonable explanation. In the process, used Terasvirta (1988) proposed method, when the null hypothesisγ = 0, we carries on the homogeneous examination of the selected test data. Then we set the threshold variable and test use of financial derivatives between banks and financial characteristics. Smooth Transition Regression Model can set the threshold variable and group the sample data (we set the threshold variable for amount of capital variable), in the research process it will help us to know the difference of using derivatives between grouping bank. The results indicated that: when capital, loan ratio, net worth ratio, liquidity ratio, liquid assets ratio, debt ratio, board ownership ratio, are higher, the bank will use more derivatives. When net interest margin is higher, the bank will use less derivatives. The result conforms to the overseas literature, it shows domestic bank use financial derivatives at reasonable scope. The domestic Controlling organization must draw up the policy carefully to manage derivative finance commodity market. To Avoid the bank uses the derivatives excessively to cause the financial market the adverse effect.