影響台灣金融機構超額準備因素之實證研究

Determinant Factors of Excess Reserve in Taiwan's Financial Institutations

劉思吟(Szu-Yin Liu)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.10705

摘要

存款是銀行營運槓桿的重要基石，而大部份國家皆要求銀行必須提撥法定準備以確保存戶權益。除法定準備外，為免於突發事件釀成擠兌，通常會額外保有資金因應提領需求，即超額準備。因超額準備不受法令限制，由銀行視營運需求自行提存；實務上，銀行難以精確計算營業所需的現金流量，是以超額準備之提存、時點、資產負債缺口分析等因素就考驗著銀行選擇配置資金達到最大效率的判斷力。如何控制適當之準備使銀行獲利極大化，不僅是銀行營運第一要務，也
是一項值得探討的議題。
本文首先針對各項解釋變數依資金來源、持有成本、資產型態、總體景氣及總體事件衝擊五大分類精簡實證模型。後續利用單根檢定、共整合檢定、誤差修正模型、Granger 因果關係檢定及迴歸分析等計量方法針對各項總體經濟變數與全體金融機構超額準備進行實證分析，可歸納出下以結論：
在共整合檢定，全體金融機構超額準備變動與活期性存款、定期性存款、放款總額、同業拆款餘額、央行定期存單沖銷餘額、票券投資餘額及台灣加權股價指數可形成一個長期均衝共整合關係，而各變數間在誤差修正模型及Granger 因果關係也互有領先及因果關係。最後在迴歸分析中，除活期性存款落後一期不顯著外，定期性存款、同業拆款餘額與台灣加權股價指數落後三期、放款總額落後二期、當期央行定期存單沖銷餘額、票券投資餘額與衝擊事件均對超額準備有顯著影響，其中只有票券投資餘額與預期方向不符，主要可能因市場上資金過度寛鬆，導致銀行將閒置資金投資各項票券時，仍無法完全抵消超額準備增加幅度，使二者呈同向變動。

關鍵字

超額準備 ； 存款準備制度 ； 內生性貨幣供給理論 ； 銀行準備金需求模型

並列摘要

Deposits are the foundation stone in bank operation, and most countries require the banks to reserve a certain ratio of money to ensure the benefits of depositors. In addition to required reserve, for fear of a run on a bank in case of emergency, banks usually set aside extra funds for money withdrawal, which is excess reserve. However, for there is no regulations regarding excess reserve, it is banks that decide the ratio according to its operational needs. In practice, banks have difficulty calculating the amount of required cash flow. Thus, factors regarding the deposits, withdrawal and timing of excess reserve as well as asset-liability gap analysis will be important determinants of the banks’ efficiency. How to determine the reserve ratio in order to maximize profits is the first priority in bank management as well as an issue worth discussing.
In this paper, the researcher first simplifies the empirical models of some explanatory factors based on five categories: sources of funds, costs, forms of assets, economic changes and event impacts. Later certain quantitative methods such as Unit Root Test, Co-integration Test, Error Correction Model, Granger Causality Test and Regression analysis are implemented to empirically analyze different macroeconomic variables as well as the excess reserves of financial institutions. The conclusions are as follows:
In Co-integration test, the fluctuation of excess reserves of financial institutions forms long-term co-integration relationships with demand deposits, time deposits, total loans, interbank offered balance, overall balance of certificates of deposits issued by the Central Bank, balance of bill investment and Taiwan Weighted Index. Besides, variables have causal relationships among themselves in Error-correction Model and Granger Causality Test. In regression analysis, except for one-period-lag demand deposits which are insignificant, time deposits, interbank offered balance, three-period-lag Taiwan Weighted Index, two-period-lag total loans, overall balance of certificates of deposits issued by the Central Bank, balance of bill investment and event impacts all have significant influences on excess reserves. Among these factors, only the balance of bill investment has an unexpected result. This is probably because when there is too much money in the market, even though the banks have spent idle funds on different bills, it still cannot offset the increase of excess reserve.

並列關鍵字

excess reserve ； deposit reserve system ； endogenous money supply theory ； the demand model for bank reserves

參考文獻

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