金融危機及銀行流動性創造之研究：以我國銀行業為例

Financial Crisis and Liquidity Creation:A Study based on Taiwan’s Banking Sector.

陳念平(Nien-Ping Chen)

指導教授 ： 沈中華

共同指導教授 ： 林美珍(Mei-Chen Lin)

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2011年)

摘要

銀行業具有資金流通的基本功能，國際金融危機間歇性爆發，諸多研究者探討金融危機發生原因，均無法產生一致性的結論，隨著臺灣金融自由化的程度增加，愈彰顯銀行流動性創造的功能。因此本研究嘗試建構我國銀行業流動性創造模式，並分析金融危機發生前後之流動性創造變化情形，以及觀察銀行資本額對流動性創造之影響。
　　所謂流動性創造係為銀行以資產與負債間的轉換模式，將非流動性資產轉化為流動性負債以進行流動性創造。因此，非流動性資產及流動性負債為銀行創造流動性之根源。反之，若銀行流動性資產及非流動性負債部位愈多，非但無法增加流動性創造功能，反而會降低流動性創造效果。
　　本研究觀察1990年至2011年第一季臺灣地區公開發行之銀行業季財務資訊，探討金融危機發生前後流動性創造之變化情形。在研究設計上，係參考Berger and Bouwman (2008)流動性創造衡量模式，並依據我國銀行業之財務報表特性，將資產、負債、股東權益等項目依據是否具備流動性特性，區分為流動、半流動及非流動，並賦予變數權重進行加總，計算得到銀行總體流動性創造。再者，依據資產規模將銀行業區分為大型銀行及小型銀行，分別探討資本額大小與流動性創造之關聯性。
　　研究結果發現，我國金融危機發生前之流動性創造亦增加，亦即金融危機事件與流動性創造呈正向關係，惟資本額與流動性創造之關係無法產生一致之結論，在全體銀行不分規模與大型銀行下之研究樣本，皆顯示資本額愈大流動性創造額愈大；而小型銀行之資本額與流動性創造呈負向關係。

關鍵字

流動性創造 ； 金融危機 ； 流動性風險 ； 資本額

並列摘要

One of the most basic functions of the banking sector is to provide liquidity. With the gradual deregulation of Taiwan’s banking sector, the importance of this function is even more pronounced. However, an abnormal level of liquidity creation often precedes a financial crisis. After a financial crisis, the activities of liquidity creation are reversed.
　　Liquidity creation is viewed as an exchange between assets and liabilities. To be more precise, liquidity creation means turning illiquid assets into liquid liabilities. Therefore, illiquid assets and liquid liabilities are essential to liquidity providers. On the other hand, if a bank has excessive liquid assets and illiquid liabilities, not only the bank’s ability to create liquidity is limited, in some case, the bank might decrease the liquidity.
　　This study analyzes the liquidity creation activities before and after the financial crisis. Data used is based on the financial reports of Taiwan’s public banking sector from 1990 to Q1 2001. The design of the study is based on liquidity creation model by Berger and Bouwman (2008). The key figures in the financial reports are closely analyzed, and assets, liabilities, and equities are sorted into liquid, semi-liquid, and illiquid, and are given weighting factors. Those weighting factors are eventually aggregated and used as the basis to gauge a bank’s ability the create liquidity. Furthermore, the banking sector is divided into large banks and small banks in order to study the relationships between the size of a bank and its ability to create liquidity.
　　This study concludes that, the likelihood of a financial crisis occurring and intensity of liquidity creation are positively correlated. However, there is no unifying conclusion for the relationship between the size of a bank and the ability of liquidity creation. Amongst the large banks, the size of their capitals and the liquidity creation ability is positively correlated. On the other hand, for small banks, the size of their capitals and the liquidity creation ability is inversely correlated.

並列關鍵字

Liquidity Creation ； Financial Crisis ； Liquidity Risk ； Capital

參考文獻

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