Title

台灣商業銀行流動性風險與成因之探討

Translated Titles

An Analysis on Liquidity Risk and the Cause -Evidence from Taiwan Commercial Banks

DOI

10.6846/TKU.2012.00585

Authors

施振翔

Key Words

流動性風險 ; 風險管理 ; 歐債危機 ; 縱橫資料迴歸模型 ; liquidity risk ; risk management ; euro zone debt crisis ; panel data

PublicationName

淡江大學財務金融學系碩士班學位論文

Volume or Term/Year and Month of Publication

2012年

Academic Degree Category

碩士

Advisor

李沃牆

Content Language

英文

Chinese Abstract

次貸風暴及近年發生的歐債危機,導致市場上流動性逐步萎縮,不僅投資人減少將資金投資於市場,金融機構也傾向多保留金融資產來維持自身的流動性,如此一來加速了流動性的緊縮,也再度提醒風險管理者,流動性風險已經成為不可忽視的一大課題。本文以台灣商業銀行為研究對象,嘗試提出衡量流動性風險的替代方法,並進一步探討哪些是流動性風險的成因,透過縱橫資料固定效果模型來進行實證研究。實證後的結果顯示,流動性風險的成因包含銀行特有因素、監督及管理因素及總體經濟因素等方面的影響,除此之外,市場上的風險如商業本票利差及銀行間同業拆款市場的變化也會產生不同程度的影響。對銀行風險管理者而言,不僅要考慮本身面對流動性的能力外,更應同時注意市場上流動性的變化,如此才能更為有效的做好風險管理,降低流動性風險的衝擊。

English Abstract

After the financial crises of recent years, liquidity risk has become a popular issue when discussing risk management. Financial systems suffer from severe liquidity exposure when market conditions worsen, triggering a lack of liquidity. In the past, banks were the most reliable liquidity provider. However, owing to the euro zone debt crisis, banks have also become a victim of a tightening market. Thus, banks must begin to emphasize the management of liquidity risk. This paper propounds the use of alternative ways of measuring liquidity risk and investigates the cause of liquidity risk. Our sample consisted of 29 commercial banks in Taiwan over the period 2001 to 2010. The results indicated that the causes of liquidity risk may be divided into several categories, such as liquid assets and dependence on external funds; as well as supervisory and regulatory, and macroeconomics factors. Furthermore, the study found that market risk also exerts varying degrees of influence on bank liquidity risk. Higher paper-bill spread and lower inter-bank rates tend to decrease bank liquidity exposure.

Topic Category 商學院 > 財務金融學系碩士班
社會科學 > 財金及會計學
Reference
  1. 2.Altunbas, Y. and D. Marqu’es (2008), “Mergers and Acquisitions and Bank Performance in Europe: The Role of Strategic Similarities,” Journal of Economics and Business, Vol. 60, pp.204-222.
    連結:
  2. 3.Bae, K. H., J. K. Kang and C. W. Lim (2002), “The Value of Durable Bank Relationships: Evidence from Korean Banking Shocks,” Journal of Financial Economics, Vol. 64, pp.181-214.
    連結:
  3. 5.Basel Committee on Banking Supervision, (1997), “Core Principles for Effective Banking Supervision,” Bank for International Settlements
    連結:
  4. 8.Cebenoyan, S. A. and P. E. Strahan (2004), “Risk Management, Capital Structure and Lending at Banks,” Journal of Banking and Finance, Vol. 28, pp.19-43.
    連結:
  5. 9.Cornett, M. M., E. Ors and H. Tehranian (2002), “Bank Performance around the Introduction of a Section 20 Subsidiary,” Journal of Finance, Vol. 57, pp.501-521.
    連結:
  6. 10.Demirguc-Kunt, A., L. Laeven and R. Levine (2003), “Regulations, Market Structure, Institutions, and the Cost of Financial Intermediation,” National Bureau of Economic Research Working Paper No. 9890.
    連結:
  7. 13.Gatev, E. and P. E. Strahan (2006), “Banks’ Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market,” Journal of Finance, Vol. 61, pp.867-892.
    連結:
  8. 14.Hausman, J. A. (1978), “Specification Test in Econometrics,” Econometrica, Vol. 46, pp.1251-1271.
    連結:
  9. 15.Hernando, I. and J. MARTINEZ-PAGEEEES (2001), “Is There A Bank Lending Channel of Monetary Policy in Spain?,” European Central Bank Working Paper No. 99.
    連結:
  10. 16.Iannotta, G., G. Nocera and A. Sironi (2007), “Ownership Structure, Risk and Performance in the European Banking Industry,” Journal of Banking and Finance, Vol. 31, pp.2127-2149.
    連結:
  11. 17.Kwan, S. H. (2003), “Operating Performance of Banks among Asian Economies: An International and Time Series Comparison,” Journal of Banking and Finance, Vol. 27, pp.471-489.
    連結:
  12. 19.Poon, W. P. H. and M. Firth (2005), “Are Unsolicited Credit Ratings Lower? International Evidence from Bank Ratings,” Journal of Business Finance and Accounting, Vol. 32, pp.1741-1771.
    連結:
  13. 22.Saunders, A. and Cornett, M. M. (2007), Financial Markets and Institutions: An Introduction to the Risk Management Approach, McGraw-Hill, Boston.
    連結:
  14. 25.Staikouras, C., E. Mamatzakis and A. Koutsomanoli-Filippaki (2008), “Cost Efficiency of the Banking Industry in the South Eastern European Region,” Journal of International Financial Markets, Institution and Money, Vol. 18, pp.483-497.
    連結:
  15. 26.Valverde, S. C. and F. R. Ferna’ndez (2007), “The Determinants of Bank Margins in European Banking,” Journal of Banking and Finance, Vol. 31, pp.2043-2063.
    連結:
  16. 27.Williams, J. and N. Nguyen (2005), “Financial Liberalization, Crisis, and Restructuring: A Comparative Study of Bank Performance and Bank Governance in South East Asia,” Journal of Banking & Finance, Vol. 29, pp.2119-2154.
    連結:
  17. 28.Yeh, Q. J. (1996), “The Application of Data Envelopment Analysis in Conjunction with Financial Ratios for Bank Performance Evaluation,” Journal of Operational Research Society, Vol. 47, pp.980-988.
    連結:
  18. 1.Acharya, V. V., H. S. Shin and T. Yorulmazer (2011), “Crisis Resolution and Bank Liquidity,” Review of Financial Studies, Vol. 24, pp.2166-2205.
  19. 4.Basel Committee on Banking Supervision, (1988), “Basel I: International Convergence of Capital Measurement and Capital Standards,” Bank for International Settlements
  20. 6.Basel Committee on Banking Supervision, (2000), “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework,” Bank for International Settlements
  21. 7.Basel Committee on Banking Supervision, (2010), “Basel III: A Global Regulatory Framework for More Resilient Banks and Banking System,” Bank for International Settlements
  22. 11.Eisenschmidt, J. and J. Tapking (2009), “Liquidity Risk Premia in Unsecured Interbank Money Markets,” European Central Bank Working Paper No. 1025.
  23. 12.Estrada, D. and D. R. Osorio, “A market Risk Approach to Liquidity Risk and Financial Contagion,” Banco de la Republica de Colombia, Borradores de Economia 002453, 20, 2006
  24. 18.Nissim D. (2003), “Reliability of Banks’ Fair Value Disclosure for Loans,” Review of Quantitative Finance and Accounting, Vol. 20, pp.355-384.
  25. 20.Poorman, F. Jr. and J. Blake (2005), “Measuring and Modeling Liquidity Risk: New Ideas and Metrics,” Financial Managers Society Inc. White Paper
  26. 21.Saunders, A. and Cornett, M. M. (2006), Financial Institutions Management: A Risk Management Approach, McGraw-Hill, Boston.
  27. 23.Shen, C. H., C. J. Kuo and H. J. Chen (2001), “Determinants of Net Margins in Taiwan Banking Industry,” Journal of Financial Studies, Vol. 9, pp.47-83.
  28. 24.Shen, C. H., Y. K. Chen, L. F. Kao and C .Y. Yeh (2009), “Bank Liquidity Risk and Performance,” Working Paper.
Times Cited
  1. 廖苡淇(2017)。台灣銀行流動性風險探討與比較。臺灣大學財務金融學研究所學位論文。2017。1-41。