全球銀行業財務危機與風險管理之研究—以Panel Data模型為實證

The Investigation of Financial Crisis and Risk Management in Global Banking: Evidence From Panel Data Models

陳俊銘(Chun-Ming Chen)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2003年)

https://doi.org/10.6840/cycu200300414

摘要

本研究以全球銀行業財務危機與風險管理為研究主題，在研究過程中，主要是以銀行的資本適足率與逾放款比率來代表風險管理與財務危機，本研究選取The Banker雜誌1993年至2002年間，全球1000大銀行的排名資料，運用Panel Data模型中的固定與隨機效果模型來進行實證分析，其研究結果如下：
在銀行風險管理方面，資本資產比、資產報酬率與成本收益比對資本適足率呈顯著正相關，代表銀行的資本愈多、資產報酬率愈高或者成本費用支出較高，都將導致銀行資本適足率的上升，有助於銀行降低風險。而稅前純益、實質利潤成長率與平均資本獲利率則是顯著負相關，顯示銀行的稅前純益、實質利潤成長率與平均資本獲利的增加，雖然帶動銀行的獲利水準上升，但是依賴風險性資產比重增加所提高的獲利，也將導致銀行的資本適足率下降，危及銀行的風險控管。
在銀行財務危機方面，稅前純益、資產報酬率與成本收益比對逾放款比率為顯著負相關，顯示銀行獲利水準提高，可增加銀行沖銷呆帳的資源。而平均資本獲利率只對美洲地區銀行的逾放款比率呈正相關，主要是美洲地區的銀行競爭力較強，雖有高獲利但亦使得逾放款比率上升。另外，資本資產比對第一類資本額排名與美洲地區銀行呈顯著正相關，但是對第二類資本額排名則為顯著負相關，顯示資本額較大的銀行，採取較為嚴謹的經營模式，使得銀行的資本資產比下降，並有效降低銀行的逾放款比率。而實質利潤成長率在美洲地區銀行為顯著負相關，對第三類、第四類資本額排名與小型資產銀行則是正相關，顯示較小型銀行為求高獲利而採取較鬆散的管理模式，雖然增加利潤，但也使逾放款比率上揚。

關鍵字

資本適足率 ； 全球銀行業 ； Panel Data模型 ； 逾放款比率

並列摘要

The main purpose in this paper is to investigate the financial crisis and the risk management in the global banking industry. In our study process, both of the capital adequacy ratio and non-performing loans ratio stand for the risk management and the financial crisis, respectively. We refer to the data of the top 1000 banks in the world from The Banker in the period of 1993-2002 and use the Fixed effects and Random effects models of the Panel Data to analyze the samples. Our empirical results are as follows:

In the aspect of the risk management, the results show that capital asset ratio, returns on assets and cost income ratio are positively related to capital adequacy ratio, suggesting that the more bank capital, the greater expense or the higher return on assets may lead to the rise of the capital adequacy ratio, which is beneficial to reduce the risks of the bank. However, the pre-tax profit, real profits growth and profits on average capital are negatively related to capital adequacy ratio. It ndicates that an increase in pre-tax profit, real profits growth or profits on average capital may improve the bank’s profit, but the increase of the profit depending on risk assets ratio decrease the capital adequacy ratio and endanger the risk control of the bank.

Moreover, in the respect of the financial crisis, pre-tax profits, returns on assets and cost income ratio are oppositely related to non-performing loans ratio. The results suggest that the rise of the bank profit can further write-off bad debts. The profit rate on average capital is only positively related to non-performing loans ratio among the banks in the American area. The main reason is that high profit enhanced competition of American banks, but it also make the non-performing loans rise. In the other hand, the capital assets ratio is positively related to non-performing loans of the first capital rank and to the banks in the American area, while it is negatively related to the second capital rank. The results show that the banks with more capital usually operated conscientious in order to make the capital assets ratio decline and effectively lower non-performing loans ratio. Furthermore, the real profit growth rate is negatively related to non-performing loans ratio, the American banks, but it is positively related to that of the third and the fourth capital ranks. The results refer that the banks with smaller scale relaxed credit management to make high profit causing among the rise of non-performing loans ratio even though the profit increases.

並列關鍵字

Capital Adequacy Ratio ； Non-performing Loans Ratio ； Global Banking Industry ； Panel Data Models

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