需求管理政策、獨佔力與槓桿比率對美國商業銀行經營績效之非線性衝擊：景氣領先指標之角色

Nonlinear Impacts of Demand Management Policy, Monopoly Power and Leverage Ratio on the U.S. Commercial Banks' Operating Performance: The Role of Leading Indicator

翟瑞祥(Rui-Xiang Zhai)

指導教授 ： 吳博欽 ； 劉曉燕

中原大學/商學院/國際經營與貿易研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700601

摘要

本文以差額變數基礎的超效率模型與 PSTR 模型估計前一期效率、營運風險 (核心資本適足率 (衡量經營的槓桿比率)、價格成本差 (衡量市場的獨佔力或競爭壓力)) 與需求管理政策對當期美國商業銀行績效之非線性效果。實證上以美國紐約區37家聯邦商業銀行在1996:3Q到2016:3Q期間的2997個觀察值進行估計。實證結果顯示，在景氣領先指標 (leading indicator, LI) 低於門檻值時，銀行提升獨佔力導致經營績效下降、槓桿比率 (核心資本適足率衡量之) 對經營績效的影響為負向的、隔夜拆款利率下降能提升銀行經營績效、債務融通所引導長期利率上升可提升銀行經營績效。當景氣領先指標高於門檻值時，提升獨佔力改善績效效果不顯著、弱化槓桿比率對經營績效的負向影響、減弱隔夜拆款利率下降及長期利率上升對績效的貢獻。

本研究政策建議：1. 政府應該創造並維持銀行競爭的經營環境，以提高銀行營運的效率。2. 隨景氣指標變動而採取動態調整的槓桿比率，並在維持核心資本適足率的同時，應解決景氣低迷時銀行籌措資金成本較高的困境。3.在景氣較差時，寬鬆貨幣政策 (或寬鬆財政政策) 所帶動短期利率下降 (或長期利率上升)，有助於提升銀行經營績效。

關鍵字

超額變數基礎超效率模型 (super-SBM) ； 縱橫平滑轉換迴歸模型 (panel smooth transition regression model, PSTR) ； 績效持續性 ； 景氣領先指標 ； 獨佔力競爭指數 ； 隔夜拆款利率 ； 國債比率

並列摘要

This paper employs the two-stage approach to evaluate the banks’ performance persistence, operational risk (core capital ratio, price cost margin) and the demand management policies (monetary policy, fiscal policy) to investigate the nonlinear uncertainty effect.

In the first stage, the banks’ performance was evaluated by slack-based super efficiency model, which describes the operating characteristics of banks’ multiple input-outputs. The nonlinear effect was estimated by panel smooth transition regression model with the transition variable of the U.S. leading indicator.

The empirical result shows four useful results when leading indicator (LI) is below the threshold (0.9593): Firstly, the banks will face the operating recession if they are trying to increase their monopoly power in the market. The recovery is ineffective, even though the LI is higher than the threshold. Secondly, maintaining the core capital ratio results in decline of operating performance, but the negative impact is gradually improved while the economy is picking up. Thirdly, decreasing the fund rate may help improve the banks' performance. However, the contribution is diminished, inch by inch, as the LI exceed the threshold. Finally, the national debt leads to increasing the long-term interest rate, which may help improve banks’ efficiency; however, the contribution is ineffective when economic is warming up.

The policy suggestions, in our research, are including: 1.Maintaining the competitive financial environment may help the banks to improve their operating efficiency. 2. Formulating the flexible leverage ratio, in the different business cycle stage, could reduce the negative effect on banks. 3. Ideating a solution to the banks’ dilemma such as the higher cost of outside financing while maintaining the leverage ratio during the depression. 4. When the economy is in rescission, the quantitative easing monetary (fiscal) policy lead to decreasing (increasing) the short (long) term interest, which may help improve the banks’ efficiency.

並列關鍵字

efficient persistence ； leverage ； price cost margin (PCM) ； monetary policy effect ； fiscal policy effect ； slack-based super efficiency model (super-SBM) ； panel smooth transition regression model (PSTR) ； threshold effect

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