本文證實研究探討台灣之商業銀行資產證券化對資本適足率之影響。本研究以台灣商業銀行在2003年開始實施資產證券化後的銀行資料作為研究對象。實證結果發現銀行證券化比率與資本適足率(Tier2)呈正相關。本文結論顯示當銀行增加證券化比率後會進而降低銀行的風險性資產(RWA)進而使資本適足率有顯著性上升的趨勢。此研究結果與傅清萍(2002)、林慶賢(2002)、臧大年 謝哲勝 吳家桐(2005)等之研究關於銀行資產證券化之理論預測與本研究之實證結果相接近,與Dionne and Hachaoui (2003)之實證結果相反。本文也探討決定資本適足率之因素包括證券化比率、貸款比率、資產成長率、銀行相對獲利表現、淨值報酬率、銀行競爭趨勢及資本虛擬變數等。
This empirical study examines the effect of securitization on risk-based capital ratios for Taiwanes banking sector. The results suggest that securitization activities had significant positive impacts on banks,risk-based capital ratios during the 2003 and 2006 period. The empirical findings support the argument that an increase in securitization ratio may imply a rise in banks, loan quality and lower risk weighted assets, therefore, given capital, a rise in risk-based capital ratios. These findings seem to accord with Fu (2002),Lin(2002) and Zang, Sie & Wu(2005),but contrary to Dionne and Hachaoui(2003).The other explanatory variables used in the econometric model including total loan to total assets ratio, asset growth rate, return on equity, bank relative performance, trend and capitalization dummy.