本國銀行風險管理與財務危機對財務績效之影響

Influence of Local Bank Risk Management and Financial Crisis on Financial Performance

李育真(Yu-Chen Lee)

指導教授 ： 張麗娟

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2010年)

https://doi.org/10.6827/NFU.2010.00050

摘要

本研究以台灣地區銀行之風險管理與財務危機為研究主題，主要以資本適足率、無清償能力風險指數代表風險管理，逾期放款率、備抵呆帳覆蓋率代表財務危機，資產報酬率、淨值報酬率、稅前純益率、營業利益率、每股盈餘代表銀行財務績效指標；管制時間、資產規模為控制變數，並比較2006年底前後實施新舊版風險基礎資本適足管制寬鬆與嚴格措施的影響。研究樣本取自台灣上市（櫃）27家銀行，研究期間為2000年至2008年共9年資料，運用軟體Eviews.5版，以複迴歸模型進行實證分析，結果如下:

1.銀行資本適足率與財務績效分析，呈顯著正相關；寬鬆與嚴格管制相下，寬鬆管制較具顯著性。顯示資本適足率高的銀行，其經營越穩健及安全性較佳，此結論為肯定資本適足率管制的有效性，與Pyle（1986）、Furlong and Keely（1989）結論相符。

2.銀行逾期放款率與財務績效分析，呈顯著負相關；寬鬆與嚴格管制相較下，皆具顯著性。顯示逾期放款率較低的銀行，採取嚴謹的經營模式，獲利相對較為穩定，此與Berger ＆ DeYoung（1997）、蔡美芳（2000）實證結論相符。

3.銀行受管制期間與財務績效分析，呈顯著負相關；寬鬆與嚴格管制相較下，寬鬆管制較具顯著性。認為銀行採取提高自有資本比率和減緩業務規模的成長之方法來調整投資組合，因此抵銷部份資本比率限制的效果。

4.銀行資產規模與財務績效分析，呈顯著正相關；寬鬆與嚴格管制相較下，嚴格管制較具顯著性。顯示銀行的資產規模越大，經營基礎及資產較穩固，因此能有效的獲利與成長，且資產規模在政策實施初期較具顯著性。

5.銀行無清償能力風險指數與財務績效分析，呈顯著正相關；顯示無清償能力風險指數高的銀行，多採取高風險高報酬的投資組合，此與吳建良（2004）實證相符。

6.銀行備抵呆帳覆蓋率與財務績效分析，呈顯著負相關，顯示銀行提高備抵呆帳覆蓋率時，須提撥部份資本盈餘提高帳面數字，或一昧配合政府打消呆帳的政策，實際的資產品質並沒有提升，進而影響到整體獲利，此與鄭伶如（2006）實證結論相同。

關鍵字

資本適足率 ； 逾期放款率 ； 無清償風險能力指數 ； 備抵呆帳覆蓋率

並列摘要

The purpose of this paper is to investigate the risk management and financial crisis in Taiwan’s local bank industry. Three variables are considered in this study, including financial crisis（i.e. non-performing loans ratio and the coverage ratio of allowances for bad deb）, the risk management （i.e. the CA ratio and IR index）and the operation situation of banks（i.e. the ROE, ROA ,OMP, PTM, and EPS）.We also use the operation scope, time,elements and bnak’ size to weasures as control variables. The empirical samples are collected from 27 listed banks located in Taiwan’s area. The sample period is from 2000 to 2008. This study finds some interesting results, and the main finding as following:
1.Given that a bank’s capital adequacy ratio and financial performance analysis shows a significant positive correlation, and that relaxing control has more significance compared with strict control, a bank with a higher capital adequacy ratio will be more secure and more stable in its operation. This conclusion affirms the efficacy of adequacy ratio control, which echoes the results of Pyle (1986) and Furlong and Keely (1989).

2.Given that a bank’s non-performing loan ratio and financial performance analysis shows a significant negative correlation, and that relaxing or strict controls show significance, a bank with a lower non-performing loan ratio, and adopting a strict operating model, can relatively derive more stable profit. This corresponds to the empirical conclusions of Berger and DeYoung (1997) and Cai Meifan(2000).

3.When a bank’s controlled period and financial performance analysis shows a significant negative correlation, and relaxing control has more significance compared with strict control, the bank may raise its bootstrapping ratio and reduce its business growth scale to adjust its investment portfolio; this will offset some of the effects resulting from capital ratio restrictions.

4.Also, when a bank’s asset scale and financial performance analysis shows a significant positive correlation, and strict control has more significance compared with relaxing control, a bank with a larger asset scale will have a stronger operating basis and assets. Hence, it can make more profit and effectively grow. At the same time, its asset scale can be more significant during the initial period of policy implementation.

5.When a bank’s insolvency risk index and financial performance analysis shows a significant positive correlation, a bank having a higher insolvency risk index is more likely to adopt a high-risk and high-return investment portfolio, which fits the empirical conclusion of Chien-liang,Wu (2004).

6.When a bank’s coverage ratio of allowances for bad debt and financial performance analysis shows a significant negative correlation, a bank having to raise its coverage ratio of allowances for bad debt will require contributing some of its capital surplus to increase its book surplus, or it can choose to follow government policy to write off bad debt. In this case, the quality of actual assets is not enhanced and the bank’s overall profitability will be negatively impacted. This corresponds to the empirical conclusion of Lin-Ju Cheng (2006).

並列關鍵字

capital adequacy ratio (CA) ； non-performing loan ratios ； insolvency risk (IR) ； coverage ratio of allowances for bad debt

參考文獻

1.中文部份

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李仁森（2007）。以灰色預測法預測不良債權之研究—以一家台灣的銀行為例。企業管理系碩士論文，朝陽科技大學。

呂麒麟、洪嘉聲、范麗雪、陳淑貞（2005）。金融機構所有權結構、公司特性與逾放比率之研究。會計與公司治理，2（1），61-79。

余中福、李涛、程瑞（2009）。基於粗糙集理論的商業银行無清償能力風險綜合評價研究。技術與經濟，28（9），105-108。