總體經濟變數對銀行健全與財務績效的影響 —以上市金控銀行為例

The influence of macroeconomic variables on soundness and financial performance –Empirical evidence from Taiwan’s listed financial holding companies.

曾佳玲(Chia-Ling Tseng)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2011年)

https://doi.org/10.6840/cycu201100570

摘要

從1997年的亞洲金融風暴、2001年的網路泡沫化，以及2007年的次貸風暴所引起的金融危機，顯示總體經濟的穩健發展，才能有健全的金融體系。由於金融體系是由相關金融機構所組成，故總體經濟變數是否對金融機構造成重要的影響，是值得關注的問題。在金融體系中以金融控股公司所扮演的角色最重要，而公司的健全性與獲利性最能代表其受影響的情況。因此，本文以總體經濟變數為自變數，探討著其對銀行健全及獲利方面的影響，其中分別以資本適足率及資產報酬率為應變數，代表著銀行的健全性與獲利性。實證對象為上市金控13家資料，實證期間為2005年第一季至2010年第三季的23季的資料，運用panel data模型進行分析。

實證結果如下：
一、總體經濟變數對資本適足率的影響，除了物價波動為顯著負向外，其它包括景氣循環、實質有效匯率及實質利率皆不顯著的。
二、總體經濟變數對資產報酬率的影響，除了景氣循環為顯著負向，其它包括物價波動、匯率與存放款利差皆不顯著的。
三、金控公司直接受總體經濟變數的影響較弱，而受其自身財務指標的影響則較為明顯，包括：銀行成本、資本結構與競爭力等，均明顯衝擊資產報酬率。

關鍵字

資本適足率 ； 資產報酬率 ； panel data

並列摘要

The financial crises caused by the Asian financial crisis in 1997, the internet bubble in 2001 and the subprime mortgage crisis in 2007 verified that the robustness of macroeconomic development is the foundation of having a sound financial system. Since a financial system is composed of relevant financial institutions, whether the macroeconomic variables have crucial impacts on financial institutions is worthy of concern. In the financial system the financial holding companies play the most important role; therefore, the factors influencing the soundness and profitability of financial holding companies deserves attention. This paper uses macroeconomic variables as independent variables to explore the relationship between macroeconomic variables and the sound and the pprofitability of the financial holding companies. We use capital adequacy ratio and return on assets to represent the soundness and profitability of banks, respectively. Sample objects are the 13 listed financial holding companies. Sample period spans from 2005 1 Q to 2010 3Q. The empirical method is panel data estimation models, including the fixed effects model and random effects model; therefore, there are 299observations.

Empirical results are shown as follows:

1. Except for price fluctuations having negative effect, the rest of macroeconomic variables, including business cycle, real effective exchange rate and real interest rates, have insignificant effect on capital adequacy ratio.

2. Except for the business cycle having negative effect, the rest of macroeconomic variables, including price fluctuations, exchange rate and deposit and loan spreads, have insignificant effect on return on assets.

3. The financial holding companies are weakly affected by macroeconomic variables; however, their own financial indicators, including banking costs, capital structure and competitiveness, have evidently impacts on return on assets.

並列關鍵字

return on assets ； Panel data ； capital adequacy ratio

參考文獻

趙明哲(2006)，「本國銀行經營獲利績效之研究」，中央大學，產業經濟研究所碩士論文。

Ayuso,J.,A. Gonzales,J. Saurina( 2004 )”Are capital buffers pro-cyclical?: Evidence from Spanish panel data”, Journal of Financ ial Intermediation13,249-264.

Akhter, Selim and Daly, Kevin (2009)” Bank health in varying macroeconomic conditions: A panel study” International Review of Financial Analysis,18,285-293.

Bikker,J.A., P.A.J. Metzemakers(2004) “Is bank capital procyclical? A cross-countryanalysis”.

Carpenter, S.B., W. Whitesell, E. Zakrajsejk(2001) “Capital requirements,business loans, and business cycles: An Empirical analysis of potential cyclical effects of thenew BIS capitalstandards”, Board of Governors of the Federal Reserve System.