銀行流動性因素對資本適足率的影響－以本國銀行為例

The Effect of Banking Liquidity Factor on BIS Ratio －Evidence Taiwan’s Commercial Bank

黃嘉薇(Jia-Wei Huang)

指導教授 ： 李沃牆

共同指導教授 ： 池秉聰

淡江大學/商學院/財務金融學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00401

摘要

本研究以國內29家商業銀行之財務資料為樣本，研究期間為2001年3月至2010年12月，取季資料，使用縱橫資料迴歸模型（Panel Data Regression Model）進行實證之研究，以銀行緩衝資本額為被解釋變數，做為探討資本適足率的變數。在解釋變數方面的選擇，除了之前文獻提到對資本適足率有影響的變數外，另外增加了流動性因素的變數，分別為流動準備率及存放比率，探討流動性因素與國內銀行資本適足率之相關性。

研究結果發現，在我國實施資本適足率規範下，流動準備率、調整成本與競爭者資本額對於資本緩衝額的影響為正向，將會提升銀行資本適足率。而存放比率、逾放比率、景氣循環與銀行規模大小，對資本緩衝額的影響為負向，將導致銀行降低資本適足率。監督效果則無顯著影響。

關鍵字

流動性風險 ； 資本適足率 ； 巴賽爾資本協定 ； 緃橫資料迴歸模型

並列摘要

Using a sample set of twenty nine commercial banks in Taiwan from March 2001 to December 2010, this study employs the method of panel data regression model to investigate the effect of banking liquidity factors on the bank of international settlement ratio. In this study, the bank capital buffer is adopted to act as dependent variable to explain bank capital adequacy. For explanatory variables, aside from those commonly used in previous studies, we also take liquidity related variables into consideration, namely liquidity reserve ratio and loan to deposit ratio, to investigate the relationship between liquidity factors and bank capital adequacy in Taiwan.

The empirical results show that liquidity reserve ratio, adjustment cost and competitor capital have positive impact on bank capital buffer, and help improving bank capital adequacy ratio. On the other hand, the loan to deposit ratio, non-performing loan ratio, business cycle, and bank size negatively affect bank capital buffer, and would deteriorates bank capital adequacy ratio; while monitoring effect does not have any significant relationship with bank capital buffer, as well as bank capital adequacy.

並列關鍵字

Liquidity Risk ； BIS Ratio ； Basel III ； Panel Data Regression

參考文獻

6.陳俊銘 (2002)，全球銀行業財務危機與風險管理之研究—以Panel Data模型為實證，中原大學企業管理學系碩士論文。

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