金融動盪與銀行資產組合管理:
台灣地區銀行業利息收入

本文以臺灣地區銀行產業15家公司的利息收入為標的，探索美國次級房貸風暴期間內，該產業資本結構與公司的關聯性。實證研究首先採用事件分析法，並以利息收入自我迴歸模型為基礎，估計預測模型並計算代表銀行表現的利息收入異常值。其次，比較2008年第二季前後各8季的利息收入異常值，觀察各樣本銀行營運表現的差異。最後，採用縱橫分析法，估計事件期間內，樣本公司的放款、投資與準備金三項資本結構變數，估計其對營收異常值的影響。實證估計結果顯示，15家樣本銀行對於金融風暴的影響除了彰化銀行外，其餘皆呈現負面影響，只是影響程度不一，其中又以台灣銀行所受負面影響最大；縱橫資料估計結果顯示，金融風暴期間能夠提高放款率的銀行，其所受衝擊最小，而採取保守態度，緊縮放款與投資者，所遭受的負面衝擊最大。

關鍵字

利息收入；金融風暴；銀行產業

並列摘要

This thesis examines how are banks asset portfolio management affect banks’ capability in coping with the financial crisis during the 8 season period after the 3rd quarter of 2004 until the 2nd quarter of 2010. Interest revenues of 15 commercial banks in Taiwan are the focus. The event studies methodologies approach is adopted whereas an autoregressive model representing the evolutions of interest revenues is estimated and used to calculate the abnormal interest revenues during the event dates. The abnormal interest revenues of each bank are then compared and tested for evaluating the performances of the sample banks. A regression analysis regresses the abnormal interest revenues on the ratios of bank loans, investments and reserves holdings to the total assets are conducted to check the effects of different portfolio on the abnormal revenues. Our empirical estimations are not significant statistically while reveal the tendency that avoid from continuing making loans new or renewed is by no means a good strategy for commercial banks during the financial turmoil period.

並列關鍵字

Interest Revenues ； Financial Crisis ； Banking Industries

參考文獻

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Aizenman, Joshua, Yothin Jinjarakand Donghyun Park, (2011). “Capital Flows and

國際替代計量

金融動盪與銀行資產組合管理: 台灣地區銀行業利息收入

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