銀行流動性風險與經營績效之非線性關聯分析－縱橫平滑移轉迴歸模型之應用

The Nonlinear Relationship Between The Bank Liquidity Risk And Operational Performance-Application of Panel Smooth Transition Autoregressive Model

林瀼縈(Jang-Ying Lin)

指導教授 ： 李沃牆

共同指導教授 ： 李喬銘

淡江大學/商管學院/財務金融學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.01001

摘要

2007年次貸風暴，加上資產證券化、結構性商品的金融創新，投資於次貸相關的衍生性金融商品遍及所有金融機構，造成過度投資的金融機構遭受嚴重衝擊，喪失流動性，多間著名金融機構倒閉，重創全球，引發全球性金融危機。為此，巴塞爾銀行監理委員會於2009年12月發布「流動性險衡量、標準及監控之國際架構」諮詢文件，提出流動性覆蓋比率與淨穩定資金比率兩項指標。
本研究主要利用Gonza'lez, Terasvirta and Dijk (2004, 2005)提出的縱橫平滑移轉迴歸模型，衡量流動性風險是否對經營績效存在縱橫平滑移轉效果。結果發現，流動準備率小於23.5375%時，存放比率對銀行經營績效呈正相關，逾放比率、銀行規模對銀行績效呈負相關；流動準備率大於23.5375%時，逾放比率、資產規模與銀行績效呈負相關。流動資產比率小於0.119%， 銀行績效與資產規模呈負相關、與資本適足率呈正相關；當流動資產比率大於0.119，資產規模、資本適足率皆與銀行績效呈負相關。

關鍵字

PSTR模型 ； 流動性風險 ； 銀行經營績效 ； 巴賽爾資本協定III

並列摘要

The 2007 U.S. happened subprime mortgage crisis, coupled with the asset securitization and structured finance products. The financial institutions invest in subprime mortgage–related derivative financial instruments and suffered a shock, loss liquidity. A number of financial institutions went bankrupt, triggering the global financial crisis. To this end, BCBS released “International Framework for Liquidity Risk Measurement, Standards and Monitoring”. BSBC proposed liquidity coverage ratio and net stable funding ratio.
This paper used panel smooth transition autoregressive model to determine whether the liquidity risk to banking performance exist panel smooth transition effect. When liquidity reserves ratio is less than 23.5375%, it is positively relevant between loan-to-deposit ratio and banking performance, while it is negatively relevant between non-performing loans ratio and banking performance, it is negatively relevant between banking size and banking performance. When liquidity reserves ratio is greater than 23.5375%, it is negatively relevant between non-performing loans ratio and banking performance, it is negatively relevant between banking size and banking performance. When liquid assets ratio is less than 0.119%, it is negatively relevant between banking size and banking performance ,but it is positively relevant between BIS ratio and banking performance. When liquid assets ratio is greater than 0.119%, it is negatively relevant between banking size, BIS ratio and banking performance.

並列關鍵字

PSTR Model ； Liquidity Risk ； Banking Operation Performance ； Basel III

參考文獻

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