自從金融當局在1990年代推動利率自由化及開放新銀行設立以來,存放款利差逐漸縮小已成趨勢,故若能藉由觀察影響存放款利率變動因素,進而掌握未來存放款利差變化,將有助於掌控資金成本及調整經營策略,以提昇獲利能力。因此,本文以合庫銀行為例進行實證研究,以探討該銀行存放款利差變動的決定因素。研究架構上,先探討影響放款與存款利率變動的因素,再進一步探討影響存放款利差變動因素,並就實證模型進行預測,藉以驗證實證模型預測未來放款與存款利率及存放款利差的能力。本研究利用單根檢定、LM檢定及進行多元迴歸分析時加入「多項式落遲分配模型」等計量方法建立實證模型。 實證結果所獲得的重要結論如下: 1. 央行調整重貼現率當期及落後1期對存放款利差發揮顯著負向影響,落後2~5期則對存放款利差發揮顯著正向影響,顯示重貼現率調降後1~2月期間,銀行存放利差將擴大,3個月後存放款利差將縮小,長期效果仍是利差縮小。 2. 銀行調整基本放款利率當期對存放款利差發揮顯著負向影響,落後1~2期則對存放款利差發揮顯著正向影響,顯示基本放款利率調降當月,銀行存放利差將擴大,1個月後存放款利差將縮小,長期效果仍是利差縮小。 3. 工業生產指數對當期存放款利差發揮顯著正向影響,顯示景氣繁榮、資金需求殷切,銀行將擴大存放款利差。 4. M2餘額對當期存放款利差發揮顯著負向影響,顯示當景氣衰退,投資、消費需求減少,M2餘額增加,銀行將縮小存放款利差。
Interest rate liberalization and approval of founding new banks by the Financial Supervisory Authorities in the 90s mark the trend of declining interest margins. However, the change of interest margins can be predicted by looking at the main determinants of change for banks’ better adjustments of funding costs and strategies, which result in profitability. This empirical case study with Taiwan Cooperative Bank is to explore the determinants of bank interest margin. In our research scheme, we first discuss the determinants of lending rates, deposit rates and interest margins, further we test with our empirical models to verify its forecasting performance. In this study, the empirical model is derived from the quantitative methods such as Unit Root Test, LM Test and Polynomial Distributed Lag Model. Following conclusions can be drawn from this empirical result: 1. Interest margins are influenced with significant negative correlations by the current and lag one period’s discount rates, and significant positive correlations by lag 2-5 periods’ discount rates, which implies the interest margins will widen during one or two months following lowering discount rates, diminish after three months, and will still narrow in the long run. 2. Interest margins are influenced with significant negative correlations by the current period’s prime rates, and significant positive correlations by lag 1-2 periods’ prime rates, which implies the interest margins will widen in the current month following lowering prime rates, diminish one month later, and will still narrow in the long run. 3. Current period of interest margins are influenced with significant positive correlations by Industrial Production Index, which suggests with strong funding demands in prosperity, banks will widen its interest margins. 4. Current period of interest margins are influenced with significant negative correlations by the balances of M2, which suggests with diminishing investment and consumer spending in depression, banks will narrow its interest margins.