實施Basel II 後銀行緩衝資本與景氣循環關係之實證研究

An empirical study on the relationship between bank’s buffer capital and business cycle after Basel II

余紀純(Ji-Chun Yu)

指導教授 ： 王克陸

國立交通大學/管理學院/財務金融研究所/碩士(2010年)

https://doi.org/10.6842/NCTU.2010.00482

摘要

本文主要探討臺灣本土銀行緩衝資本與景氣循環關係，研究期間由2000年至2009年，共計二十六家樣本銀行，並利用GMM對Panel data進行估計，實證結果指出實施Basel II後銀行緩衝資本與景氣循環為反向變動，與實施前相同，而銀行採取收益平穩化方式提列備抵呆帳，可以幫助減緩順景氣循環現象。研究亦發現資本的調整成本比實施Basel II前顯著，卻未發現銀行風險態度有顯著改善，而隸屬金控下的銀行有較顯著之順景氣循環現象。

關鍵字

順景氣循環 ； 緩衝資本 ； 備抵呆帳 ； 收益平穩化

並列摘要

This paper investigates the relationship between the business cycle and the buffer capital based on 26 Taiwan banks over 2000-2009. The Panel data are estimated by Generalized Methods of Moments (GMM).The empirical evidence indicates that after introducing Basel II, buffer capital is negatively related to business cycle, which is similar to the situation before Basel II. But the pro-cyclical result is mitigated somewhat by bank’s provision from the income-smoothing behavior. This study also shows that the adjustment cost is significantly higher than before. There is no evidence that the risk attitude of bank has improved, however, it does show that the buffer capital for bank of FHCs are more pro-cyclical than those of non-FHCs.

並列關鍵字

pro-cyclicality ； buffer capital ； provisioning ； income-smoothing

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