公營銀行的風險與績效-以台灣市場為例

Bank Risks and Performances of State-owned Banks：The Taiwanese Market

陳思羽(SSU-YU CHEN)

指導教授 ： 郭文忠

國立臺北大學/社會科學學院/經濟學系/碩士(2016年)

摘要

本文以2005-2014年台灣上市上櫃銀行為研究對象，進行追蹤資料 (panel data) 分析，探討公、民營銀行在風險與績效方面的差異。先採取普通最小平方法，迴歸被解釋變數包括各項財務指標，分為獲利性、效率性、授信管理以及風險性四個方面。獲利性指標方面包含資產報酬率、股東權益報酬率、利息收入比率、利差比率、利潤比率及營業收入比率；效率性指標為成本比率、成本收益比率以及員工比率；銀行授信管理指標為備抵呆帳比率以及放款成長率。風險性方面指標，包含逾放比率、備抵呆帳覆蓋率、無清償能力風險指數、資本適足率及利率敏感性資產與負債比率。最後提出較為嚴謹的方式，透過檢定選出選擇合適的追蹤資料模型加以分析比較。

首先以樣本資料平均數比較公、民營兩類銀行，初步觀察結果可以推論公營銀行在利息收入方面的獲利能力較差、效率性方面較為良好，而公營銀行授信品質較高，因為備抵呆帳提列之多寡取決於銀行授信品質。在風險性方面，僅資本適足率有顯著差異，公營顯著較民營銀行為低。
在較為合適的迴歸模型結果中發現，獲利性方面有兩項指標顯示公營銀行獲利能力較低，效率性方面僅在員工比率上出現顯著差異，且為公營銀行較低。風險性方面結果則為公營銀行資本適足率較高，風險承擔能力較為良好。

關鍵字

銀行風險 ； 績效 ； 公營銀行 ； 獲利率 ； 效率 ； 追蹤資料

並列摘要

This thesis aims to compare the difference of risks and performances between state-owned banks and private banks. Using the panel data of publicly traded bank in Taiwan from 2005 to 2014, this study analyzes various indicators of risks and performances, which is including profitability, efficiency, loans management and risk.

Several main results are listed as follows. First, comparing sample mean of state-owned banks and private banks, reveals that state-owned banks have less profitability in the aspect of interest income and have better efficiency for numerous indicators than privately owned banks. The quality of loans is higher in state-owned banks, by examing the indicator of loan losses. Moreover, private banks have better capital adequacy ratios than state-owned banks.

Second, this thesis builds an ordinary least squares model which includes the indicators of risk and performance as dependent variables, and also conducts robustness test to include fixed and random. Regression results suggest several conclusions. For the profitability, there are two indicators showing that the ability of making profits is poor in state-owned banks. For efficiency, only the indicator of employee rate appears a significant difference between state-owned banks and private bank. For risk indicators, the ability of taking risk is higher in state-owned banks.

並列關鍵字

Bank risks ； performance ； state-owned banks ； profitability ； efficiency ； panel data

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