市場競爭及監理制度下銀行多角化經營對風險之影響 – 以亞洲地區商業銀行為例

Diversification, Competition, Regulations, and Bank Risk-Taking: Evidence from Asian Commercial Banks

張雅晴(Ya-Ching Chang)

指導教授 ： 簡明哲

國立臺北大學/社會科學學院/經濟學系/碩士(2014年)

摘要

本研究針對2004至2012年間亞洲10國共445家商業銀行為研究對象，以Z-Score、不良放款比率及流動資產比率做為銀行破產風險、信用風險及流動性風險之衡量變數，應用追蹤資料固定效果模型分析法，探討銀行多角化經營對風險之影響，並進一步分析，當同時考慮市場競爭程度與監理制度時，多角化經營對風險之影響。最後比較金融海嘯前中後期及不同發展程度之國家，其多角化與銀行風險之關係是否存在顯著之差異。

實證結果發現收入多角化能降低破產風險，資產多角化對破產風險無顯著影響，信用風險無法經由多角化經營而分散，至於流動性風險則只有資產多角化能分散之，收入多角化對流動性風險無顯著影響，表示收入與資產多角化對於不同之風險具不同之分散能力，因此銀行業對於多角化經營必須要審慎評估，尤其是無法藉由多角化經營而分散的信用風險，適當的拓展非傳統業務能為銀行帶來正面的多角化效果。

在監理制度方面，一國之監理品質越佳、金融信任程度越高以及資本適足之要求越嚴格，可降低銀行所承擔之風險。而市場集中度與風險存在顯著負相關，亦即市場越競爭銀行所承擔之風險越高。因此監管當局應嚴格監管各金融機構的資本適足率，要求銀行定期報告曝險部位，並瞭解當前市場競爭環境，避免市場過度競爭而增加產業之風險，以確保金融體系的健全。

在不同的金融環境下，銀行收入與資產多角化皆能有效分散破產風險，其效果以金融海嘯前最佳，其次為海嘯期間，而海嘯後分散風險之能力最差。若區分國家發展程度後，發現大多數亞洲國家之銀行在多角化發展起步較歐美為晚，使得亞洲地區已開發國家與新興國家間銀行多角化下之破產風險無顯著差異。

關鍵字

監理制度 ； 市場競爭 ； 多角化 ； 流動性風險 ； 信用風險 ； Z-Score ； 追蹤資料分析法

並列摘要

This study utilizes the Panel Data Analysis to 445 commercial banks of 10 Asian countries for the period of 2004-2012 to analyze the effects of diversification, competition, and regulations on bank risk-taking. Z-score, non-performing loan ratio, and liquidity ratio are used to measure bankruptcy, credit, and liquidity risk of bank, respectively. Major findings of the study are as follows.

First, income diversification can significantly reduce the bankruptcy risk, but not the credit and liquidity risk, while asset diversification can significantly reduce the liquidity risk, but not the bankruptcy and credit risk. Results above indicate that income or asset diversification may not necessarily lead to a lower risk-taking by banks, especially for the credit risk. Therefore, banks involving some more nontraditional and/or off-balance-sheet activities may be necessary in the future.

Second, bank regulations represented by better quality of regulation, higher degree of financial trust, and stricter requirements of capital adequacy will lead to lower bank risk-taking, while market concentration has significantly positive effect on bank risk. Results indicate that government regulation and market competitiveness will induce bank to have a lower risk-taking.

Lastly, by further investigating the income and asset diversification effects on bankruptcy risk among periods of before, during, and after the financial crisis, we find that bankruptcy risk is reduced significantly the most by diversification in the period of before crisis, followed by the period of during and then after the financial crisis. However, no significantly different effect of diversification on bankruptcy risk is found between commercial banks on developed and developing countries in Asia.

並列關鍵字

Bank Regulation ； Competition ； Diversification ； Liquidity Risk ； Credit Risk ； Z-Score ； Panel Data Analysis

參考文獻

Agoraki, M. E., M. Delis, and F. Pasiouras (2011), “Regulations, Competition and Bank Risk Taking in

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