本研究旨在進行臺灣地區銀行業衍生性金融商品與銀行風險之研究。過往許多相關實證研究,對於衍生性金融商品與銀行風險間的關係存在不一致的觀點。本研究利用2006年1月至2012年12月臺灣地區銀行業的月頻率資料,採用向量自我迴歸模型探討銀行業衍生性金融商品與銀行風險間的動態關係,試圖了解衍生性金融商品之於銀行風險管理所扮演的角色為何。 本研究結果發現,以長期而言,銀行業資產負債表表外活動與銀行的總衍生性金融商品活動均能有效規避銀行總風險。若進一步將衍生性金融商品活動依目的別與風險別區分成四類,包含交易目的之匯率衍生性金融商品活動、交易目的之利率衍生性金融商品活動、非交易目的之匯率衍生性金融商品活動與非交易目的之利率衍生性金融商品活動,本研究發現不論銀行進行哪一種表外衍生性金融商品活動,皆無法有效規避銀行的匯率風險,但卻能有效規避銀行面臨的利率風險。若銀行進行交易目的之利率衍生性金融商品活動,則能有效規避其信用風險,但若進行非交易目的之匯率衍生性金融商品活動則反而增加銀行信用風險。此外,非交易目的之利率衍生性金融商品活動可能增加銀行總風險。
Numerous studies have evaluated the relationship between the financial derivatives and bank risks and have provided inconsistent conclusions. Alternative to the previous literature, we apply Vector Autoregression Model (VAR) to explore the dynamic relationship between financial derivatives and bank risks for 29 Taiwan banks using monthly bank financial data, from January 2006 to December 2012. Our results suggest that both off-balance-sheet activities and total derivatives activities may reduce bank’s total risks effectively in the long run. If we further examine the dynamic relationships between bank risks and various derivatives activities, including interest trading derivatives activities, exchange trading derivative activities, interest non-trading derivatives activities and exchange non-trading derivatives activities. We find that bank’s exchange risks cannot be reduced effectively through any derivatives activities. Also, all derivatives activities may reduce bank’s interest risks effectively. The interest trading derivatives activities may reduce bank’s credit risks while interest non-trading derivatives activities increase bank’s credit risks. At the end, the interest non-trading derivatives activities may increase bank’s total risks.