資本適足率與銀行經營績效之相關聯探討

A study of the correlation between capital adequacy ratio and bank performance

曾麗卿(Tzeng Li Ching)

指導教授 ： 張傳章

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2014年)

摘要

本研究以2006年第1季至2013年第4季共32季國內30家商業銀行為研究對象，以其資本適足率及第一類資本適足率作為自變數，逾放比率、淨值報酬率、資產報酬率、利息淨收益對稅前純益之比、稅前純益率及員工貢獻度作為應變數，透過敘述統計分析、皮爾森積差相關係數分析及簡單迴歸分析，來探討資本適足率與銀行經營績效之相關聯，實證結果如下：
一、將銀行依泛公股及民營銀行、資本額300億以下及以上銀行做分類，並加以比較：
(一)巴賽爾資本協定對資本適足率之管制有其影響力，民營銀行受資本管制之影響較泛公股銀行為深，資本額300億以下銀行受資本管制之影響較資本額300億以上銀行為大。
(二)在經營績效方面，泛公股銀行、資本額300億以上銀行除利息淨收益對稅前純益之比較民營銀行、資本額300億以下銀行為差外，其餘逾放比率、淨值報酬率、資產報酬率、稅前純益率及員工貢獻度均較民營銀行為佳。
二、全體銀行資本適足率、第一類資本適足率及逾放比率之標準差皆小於平均值，表示個別差異較小，淨值報酬率、資產報酬率、利息淨收益對稅前純益之比、稅前純益率及員工貢獻度標準差皆大於平均值，表示個別差異較大。
三、資本適足率及第一類資本適足率與淨值報酬率、資產報酬率、員工貢獻度皆呈正相關，且解釋能力強；資本適足率及第一類資本適足率與稅前純益率皆呈正相關，惟不具解釋能力；資本適足率及第一類資本適足率與逾放比率、利息淨收益對稅前純益之比皆呈負相關，除第一類資本適足率與利息淨收益對稅前純益之比解釋能力較不強外，其餘解釋能力皆強。

關鍵字

資本適足率 ； 經營績效 ； 巴塞爾資本協定

並列摘要

This research examines the correlation between capital adequacy ratio(BIS ratio) and bank operating performance. The samples contains 32 quarterly data of BIS ratio and bank operating performance from the 1st quarter of 2006 to the last quarter of 2013, which are based on 30 commercial banks in Taiwan. In order to find the correlation between BIS ratio and bank operating performance, the research examines six performance variables including non-performing loan ratio(NPL ratio), return on equity (ROE), return on assets (ROA), net interest to net income margin, net income margin and employee contribution for their individual relationship with BIS ratio and tier 1 capital ratio by using descriptive statistics, Pearson's correlation coefficient and simple linear regression model. Results of our analysis appear below.
1.Compared among banks categorized as quasi government-run, private banks and divided by market capital TWD 30 billion:
(1) Basel agreement has clear influence on the control of BIS ratio, private banks greater than quasi government-run banks and banks with market capital below 30 billion higher than the opposite.
(2) As to operating performance, quasi government-run banks with market capital above 30 billion lag behind private banks with market capital below 30 billion in terms of net interest to net income margin except NPL ratio, ROE, ROA, net income margin and employee contribution.
2.The whole BIS ratio, tier 1 capital ratio, and NPL ratio all demonstrate smaller than average standard deviation, representing small individual difference. while ROE, ROA, net interest to net income margin, net income margin and employee contribution evidence the opposite, representing high individual disparity.
3.Controlling BIS ratio and tier 1 capital ratio both are significantly positive to bank operation performance on ROE, ROA and employee contribution while also positive on net income margin but insignificantly. On the contrary, they are significantly negative to bank operating performance on NPL ratio and net interest to net income margin, exclusive of tier 1 capital ratio to net interest to net income margin.

參考文獻

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