2007年8月發生於美國的次級房貸風暴,不僅導致美國經濟陷入衰退,更為全球銀行業短期和長期的發展帶來了巨大的挑戰,全球金融機構及監理機關也因此深切感受到流動性對金融機構的重要性。有鑑於此,金融監理機關提出各種管理金融機構流動性之措施,以強化金融機構的流動性;而金融機構一方面要達到監理機關對流動性之要求,另一方面須保有股東所要求之獲利目標,如何在流動性管理與獲利水準中取得平衡,是金融機構應深思的議題。本研究之主要目的,即為了解流動性監控指標對營運績效的影響,以作為金融機構流動性管理之參考。 本研究採取敘述性統計及複迴歸模型分析之方式,以台灣地區34家商業銀行2006年至2011年共6年度之資料為樣本,研究銀行績效衡量指標與資產品質指標及流動性評量指標間之關係。 實證結果顯示,一、淨值報酬率(ROE)與逾放比、覆蓋率、桿槓比率呈現負相關之情形,而與第一類資本、存放比及流動準備比率呈現正相關之情形;二、資產報酬率(ROA)與逾放比、桿槓比率、零至30天資金流量期距缺口比率呈現負相關之情形,而與第一類資本、存放比、流動準備比率呈現正相關之情形;三、淨利息邊際(NIM)與第一類資本、流動準備比率、零至30天資金流量期距缺口比率呈現負相關之情形,而與桿槓比率呈現正相關之情形。
Understanding the impacts of subprime mortgage crisis that resulted in severe economic depression in 2007 in the U. S. and thus later led to so called late 2010 global financial crisis, financial supervision authorities in the world have realized the influence of liquidity on the performance of financial institutions, and have finally taken their possible regulatory actions to require higher liquidity for financial institutions. The objective of this study is to find the relationship among liquidity, asset quality and performance, and, consequently, in order to contribute to liquidity management of banking institutions. This study intends to achieve above objective by using descriptive statistics and multiple regression analysis, based on yearly data (2006-2011) from 34 banking institutions in Taiwan. The empirical results of this study are summarized as follows: 1) Return of Equity is negatively related to ratios of Nonperforming Loans, Loan Loss Coverage and Leverage, but positively related to ratios of Tier 1 Capital, Loan-to-Deposit and Liquid Reserves. 2) Return of Assets is negatively related to ratios of Nonperforming Loans, Leverage and 0~30 Days Cash Flow Gap, but positively related to ratios of Tier 1 Capital as well as Loan-to-Deposit and Liquid Reserves. 3) Net Interest Margin is negatively related to ratios of Tier 1 Capital, Liquid Reserves and 0~30 Days Cash Flow Gap, but positively related to ratio of Leverage.