資本適足率與銀行風險及財務績效之關聯－縱橫平滑移轉模型之應用

Risk-based capital ratio, bank’s risk and financial performance: By using panel smooth transition regression model

張婷雁(Ting-Yen Chang)

指導教授 ： 聶建中

共同指導教授 ： 張倉耀(Tsang-Yao Chang)

淡江大學/商學院/財務金融學系碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00200

摘要

本研究探討我國銀行業資本適足率之規範與銀行風險和銀行財務績效之縱橫平滑移轉效果，運用Gonzalez, Terasvirta and Dijk（2004, 2005）之縱橫平滑移轉迴歸模型，臆測資本適足率規範對銀行風險及銀行財務績效是否存在縱橫平滑移轉效果。並進一步對銀行風險及財務績效受控制變數之影響進行評估與衡量。
實證結果發現，資本適足率和銀行風險間之縱橫平滑移轉模型，在資本適足率為9.0782%時發生結構性變化，但因轉換速度高達3302.9，使得模型在轉換門檻值附近形成一結構性改變的跳躍式模型。此外，資本適足率和銀行財務績效間之縱橫平滑移轉效果確實存在，在資本適足率為11.0055%時產生一轉換區間，且因轉換速度僅0.4139，使得模型在轉換門檻值附近形成一平滑的轉換過程。
控制變數對銀行風險及財務績效之影響方面，增加資產規模造成銀行風險提高，並使高資本適足率銀行之財務績效惡化。提高淨值成長率可有效降低銀行風險，卻使高資本適足率銀行財務績效下降。顯示適當之資本適足率規範確實可提高銀行財務績效，但過高卻導致反效果。故建議銀行管理當局應於適當限度下，妥善運用資本適足率之管制，以求取最佳化策略。

關鍵字

縱橫平滑移轉迴歸模型 ； 縱橫平滑移轉效果 ； 無清償能力風險 ； 資本適足率 ； 財務績效

並列摘要

In this paper, we investigate panel smooth transition effect between Risk-based capital ratio and bank’s risk and panel smooth transition effect between Risk-based capital ratio and bank’s financial performance by using panel smooth transition regression model (Gonzalez, Terasvirta and Dijk, 2004, 2005). In addition, we assess and weigh the bank’s risk and financial performance by the influence of independent variables.
The results as follow: First, panel smooth transition regression model between Risk-based capital ratio and bank’s risk jumps abruptly at 9.0782%, because the transition speed is up to 3302.9, which makes the model form a structural change close to transition threshold value. Second, panel smooth transition regression model between Risk-based capital ratio and bank’s financial performance produces a smooth transition at 11.0055%, because the transition speed is only 0.4139 that makes the model form a smooth transfer process close to transition threshold value. Third, we propose the administrative authority of the bank should use the control’s power of the risk-based capital ratio properly, in order to reach the financial optimization strategy.

並列關鍵字

panel smooth transition regression model ； panel smooth transition effect ； insolvency risk ； risk-based capital ratio ； financial performance

參考文獻

Al-Tamimi, H. A. H., (2005), “The determinants of the UAE commercial banks' performance: a comparison of the national and foreign banks,” Journal of Transnational Management, 10(4), 35-47

Altman, E. I. and A. Saunders, (2001), “An analysis and critique of the BIS proposal on capital adequacy and ratings,” Journal of Banking and Finance, 25(1), 25-46

Andrews, D. W. K. and W. Ploberger, (1994), “Optimal tests when a nuisance parameter is present only under the alternative,” Econometrica, 62, 1383–1414

Arshadi, N. and E. C. Lawrence, (1987), “An empirical investigation of new bank performance,” Journal of Banking and Finance, 11(1), 33-48

Avery, R. B. and A. N. Berger, (1991), “Risk-based capital and deposit insurance reform,” Journal of Banking and Finance, 15(4-5), 847-874