金融危機及法規規範對於銀行高風險放款意願之影響

The Impact of Financial Crisis and Regulations on Banks’ Willingness of High-Risk Lending: Evidence from Requirements on Capital and Liquidity

黃仕杰(Shih-Jie Huang)

指導教授 ： 劉啟群

共同指導教授 ： 尤琳蕙(Lin-Hui Yu)

國立臺灣大學/管理學院/會計學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201801078

摘要

本研究欲探討金融危機後法規對於銀行資本及流動性之要求，是否會影響銀行通過高風險放款的意願。由於2007年至2009年的金融危機，許多學者及制法者著手討論資本及流動性的重要性，因而設置銀行能力最低標準以及定期的監督，藉此加強銀行營運及吸收虧損能力。我們藉由HMDA及WRDS資料庫中2003年至2015年之資料，從中排除2007至2009年金融危機期間之資訊，藉此研究金融危機及法規之要求是否會影響銀行通過高風險放款的意願，因而間接影響經濟成長。實證結果顯示金融危機後資本之要求使得銀行通過高風險放款的意願降低。此外，流動性之要求使得銀行通過高風險放款的意願提高。在額外測試中，我們使用第一類資本率進行測試，同樣得到相同結論。另外，我們藉由區分銀行規模來進行測試，結果顯示金融危機後之法規要求對於大銀行而言有顯著影響。此些發現預期對於未來制法者於評估法律要求時能有相當程度的幫助。

關鍵字

金融危機 ； 高風險放款 ； 銀行放款 ； 資本要求 ； 流動性要求

並列摘要

This paper examines whether the regulations of capital and liquidity requirement after the financial crisis have influence on banks’ willingness of high-risk lending. With the 2007-2009 financial crisis, specialists and regulators recognize the importance of capital and liquidity, thus set minimum standard and annual supervision to strengthen banks’ operations and abilities to absorb losses. I use the 2003-2015 data collected from HMDA and WRDS database, except 2007-2009 financial crisis data, to investigate whether the regulation requirements affect banks’ willingness of high-risk lending, thus impacting the economy growth. The empirical results show that the incremental effect of capital on banks’ willingness of high-risk lending decreases. In contrast, the incremental effect of liquidity on banks’ willingness of high-risk lending increases. In addition, I test the relation using tier-1 capital ratio and find the similar results. I also test the relation by separating bank samples with its size and find that the impacts are significant on large banks, with insignificant impact on small banks. The findings of this study have implication for bank regulators to evaluate whether the regulations of capital and liquidity are appropriate for the financial institution.

並列關鍵字

financial crisis ； high-risk lending ； bank lending ； capital requirement ； liquidity requirement

參考文獻

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