本研究主要探討資本適足率對銀行呆帳準備計提及經營績效影響的關聯性,並臆測銀行呆帳準備計提及經營績效受資本適足率或其它控制變數的影響而存在非線性之現象。進一步運用Gonza'lez, Teräsvirta and Dijk(2004, 2005)之縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR),以本國26家銀行為研究對象,及利用2007年12月至2010年9月間之季資料為研究樣本期間,探究資本適足率高低對銀行呆帳準備計提及經營績效是否存在縱橫平滑移轉效果(panel smooth transition effect)。本文之實證結果發現: 一、資本適足率和銀行呆帳準備計提間之縱橫平滑移轉效果確實存在,在資本適足率為10.0046%時產生一轉換區間,且因轉換速度僅2.2978,使得模型在轉換門檻值附近形成一平滑的轉換過程。 二、資本適足率和銀行經營績效間之縱橫平滑移轉模型,在資本適足率為12.2871 %時發生結構性變化,但因轉換速度高達1.5343e+003,使得模型在轉換門檻值附近形成一結構性改變的跳躍式模型。 三、控制變數對呆帳準備計提及銀行經營績效之影響方面,增加資產規模造成呆帳準備計提提升,但會使高資本適足率銀行之經營績效下降。流動準備率提高亦可增加呆帳準備計提,對高資本適足率銀行經營績效並無關聯性影響,反而會使低資本適足率銀行經營績效提高。逾放比增加會降低呆帳準備的計提,皆會使銀行經營績效下降。
This study aims to explore the non-linear relationship between capital adequacy ratio (hereinafter referred to as the “CAR”) and bank’s performance and loan-loss provision. This study adopts the empirical model of Gonza'lez, Teräsvirta and Dijk(2004, 2005) to verify whether the panel smooth transition effect exists in the above-mentioned variables by using a full quarterly data set from 26 banks in Taiwan, through 2007Q4 to 2010Q3. The study has conclusions as follows: The panel smooth transition effect indeed exists between the CAR and the bank’s loan-loss provision. The transition regimes provides a smooth transition process around the threshold where the value of CAR is 10.0046% and the transition speed is 2.2978. Nevertheless, the panel smooth transition regression model results in a structural variance when applying for the effect between the CAR and the bank’s performance. The model is transformed into a leap model around the threshold where the value of CAR is 12.2871% and the transition speed is soaring as high as 1.5343e+003. Moreover, when introducing other control variables into the model, considering the impact on bank’s performance and loan-loss provision, it suggests that the higher the total asset scale is, the higher the loan-loss provision is, but impair the performance of banks with higher CAR. The higher the ratio of liquidity reserves is, the higher the loan-loss provision and performance are, but not significantly influence the performance of banks with higher CAR. However, the ratio of NPL negatively influences both banks’ performance and loan-loss provision with no differences among banks.