台灣銀行業破產指標與其影響因素之研究-灰色系統模式之應用

A study of the index and the cause of Taiwan banking Industry '' bankruptcy on a gray system model

王奕文(Yi-wen Wang)

指導教授 ： 許可達

朝陽科技大學/管理學院/保險金融管理系/碩士(2010年)

摘要

近年層出不窮的金融危機事件，令世人為之驚心及恐慌，銀行業迥異於一般產業，因其經濟特性是以吸收大眾存款從事資金貸放之行業，提供經濟發展所需之信用，但經過產業的演化在加上國際間金融自由化的驅使，所造成的影響不再僅僅是單一產業抑或單一國家，就以本次金融大海嘯來看，此次美國次貸風暴導致美國前五大投資銀行消失了三家：美林（Merrill Lynch）、雷曼（Lehman Brothers）和貝爾斯登（Bear Stearns），甚至全球最大的保險公司美國國際集團（AIG）亦中箭下馬。這股金融危機迅速波及全世界，迫使全球各國中央銀行在美國聯儲局領導下，向金融體系大舉注資2,470億美元，並有多國中央銀行繼續各自注資挽救其國內金融市場。金融相關產業間錯縱複雜的關係讓人應更加注意其本業之經營成果，乃因其深刻影響社會大眾權益、金融情況及經濟秩序頗鉅，但要如何掌握各家銀行經營方向及營運結果是否有所偏離，本研究藉由分析總體經濟的變數以及產業績經濟變數素與違約指標之關係，藉以判斷該樣本公司的破產機會。
本研究之目的在於：1. 探討影響銀行破產之經濟因素。
2. 發展合適之破產預測模型，供業界做為參考。
學者在探討這類相關的主題，經常使用的研究方法是多為Altman Z-Score、MERTON模型、KMV模型，而本研究則採用Altman的Z”-Score模型，自其中選出準確率較高者，再結合灰色模型GM（1,N）、GM（0,N）的預測方法建構具有預警機制之系統模組。研究結果發現，在總體經濟相關的經濟變數中，實質GDP成長率、貿易條件的改變、美元匯率變動率、名目利率減去物價上漲率的影響、GDP平減指數的變動率、中央政府盈餘對GDP比率、M2比外匯存底、每人實質GDP及失業率皆與金融業破產機率呈負向的影響，而台灣地區消費者物價總指數年增率、失業率、國民所得年增率、直接金融與間接金融年增率及主要金融機構存款金額年增率，則與銀行業破產機率呈正向的影響；在所有經濟變數中，以台灣地區消費者物價總指數年增率、M1B年增率和國民所得年增率對破產機率的影響程度最大。

關鍵字

Z

並列摘要

Endless emerging financial crises in recent years make people worried and panic. Banking industry is very different from general industries. Because its economic characteristic is by absorbing the public deposits to engage in lending fund, providing the credit needed for economic development. However, after the industrial revolution plus the international financial liberalization, the influence caused is no longer on a single industry or a single country. To take this financial Tsunami as an example, the U.S. subprime mortgage crisis has led to the top five U.S. investment banks disappear Merrill Lynch Lehman Brothers and Bear Stearns. Even the world''s largest insurance company American International Group (AIG) also was defeated. This financial crisis quickly spread around the world, forcing global central banks in the U.S. under the leadership of the Federal Reserve, massively invested up to 2,470 million dollars to the financial system. Multi-national central banks keep investing to save their domestic financial markets. Due to the intricate relationship between financial-related industries, people should pay more attention to its results of operations of the industry. It deeply affects the public rights, financial situation, and economic order. Therefore, how to control the direction and operation of banks and if the operating results digress, this study will determine the bankruptcy opportunities of this sample company through the analysis of Macroeconomic variables and Economic variables factors industries. The purpose of this experimental study is,
1. To investigate the economic factors affecting bank bankruptcy,
2. To develop appropriate bankruptcy prediction model, providing the industry as a reference.
Scholars to explore such relevant topics and used method of study is more for the Altman Z-Score, MERTON model, KMV model frequently. In this study, using Altman''s Z "-Score model, since the election in which the higher accuracy Combined with gray model GM (1, N), GM (0, N) prediction method to construct the system module with an early warning mechanism.
The experimental study shows that the overall economy in related economic variables: M2/RESERVES, PRIVATE/GDP, Annual Rates of M1A, Annual Rates of M1B, Annual Rates of M2, Index Rate of Stock Exchange appear to have a negative impact with bankruptcy ratio of banking, but the Annual Rates of Consumer Price Index, Unemployment Rate, and Annual Rates of Increase in National Income, Annual Rates of Direct and Indirect Finance and Annual Rates of Main Financial Institution Deposit shows positive. Overall Annual Rates of Consumer Price Index, Annual Rates of M1B and Annual Rates of Increase in National Income shows most influence on bankruptcy issue.

並列關鍵字

gray model ； Z

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