台灣銀行業資本及風險之關係：利用分量迴歸分析

The Relationship between Capital and Risk in Taiwan Banking Industry: Quantile Regression Analysis

賴奕豪(Yi-Hao Lai) ； 許文彥(Wen-Yen Hsu)

《管理學報》 26卷4期 (2009/08) Pp. 377-389

https://doi.org/10.6504/JOM.2009.26.04.02

摘要

本文以二階段最小平方法(2SLS)與二階段分量迴歸法(2SQR)分析台灣銀行業風險與資本間的關係。2SLS的實證結果發現，平均而言，銀行資本水準對目標風險水準決定無顯著影響，銀行風險水準正向影響目標資本水準。但是2SQR結果更深入發現，無論是中度與高度風險銀行或是中度與高度資本的銀行，其風險與資本均呈正相關，但是低度資本的銀行，風險上升並不會同步造成資本上升，換言之，低資本銀行的投資動機與其它同業有明顯的差異。其次，本文也將銀行依2SQR結果分為9類，發現各類銀行決定目標資本與風險水準的動機不盡相同，特別是低資本但高風險的公司，監理的壓力成為唯一的監督力量。

關鍵字

資本比率 ； 資產風險 ； 二階段分量迴歸

並列摘要

Prior literature examines the relationship between capital and risk of banking industry by using two-stage least squared regression (2SLS) and generates mixed results. However, we argue that 2SLS fails to capture the incentive effect that undercapitalized banks may have. Therefore, this study employs both 2SLS and two-stage quantile regression methods to analyze the relationship between banks’ capital and risk in Taiwan. The results of 2SLS suggest that the level of capital, on average, does not affect the level of target risk, and higher risk leads to higher capital. However, the results of 2SQR suggest that there exists a positive relationship between risk and capital for banks with medium and high level of risk and for banks with medium and high level of capital. Further, no significant relationship is found between risk and capital for low capitalized banks, suggesting that higher risk for low capitalized banks will not lead to higher capital and thus, the investment incentives for these banks differ from their peers.

並列關鍵字

Capital Ratios ； Portfolio Risk ； Two-Stage Quantile Regression

參考文獻

Aggarwal, R.,K. Jacques(2001).The Impact of FDICIA and Prompt Corrective Action on Bank Capital and Risk: Estimates Using a Simultaneous Equations Model.Journal of Banking and Finance.25(6),1139-1160.

Amemiya, T.(1982).Two Stage Least Absolute Deviations Estimators.Econometrica.50(3),689-711.

Avery, R. B.,A. B. Berger(1991).Risk-Based Capital and Deposit Insurance Reform.Journal of Banking and Finance.15(4),847-874.

Berger, A. N.(1995).The Relationship between Capital and Earning in Banking.Journal of Money, Credit and Banking.27(2),432-456.

Blum, J.(1999).Do Capital Adequacy Requirements Reduce Risks in Banking?.Journal of Banking and Finance.23(5),755-771.