Basel III對台灣銀行業的競爭與存貸戶福利變化之影響分析

The Impact of Basel III on Competition and Consumer Welfares In Taiwan Banking Industry

蔡坤霖(KUN-LIN TSAI)

指導教授 ： 簡明哲

國立臺北大學/社會科學學院/經濟學系/碩士(2016年)

摘要

本研究針對 2008 年 6 月至 2015 年 6 月間台灣共 37 家銀行為研究對象,並以資本適足率、第一類資本比率及普通股權益比率為銀行資本適足性的主要衡量指標,藉以探討 Basel III 的實施對台灣銀行業間競爭程度的影響及存貸戶福利的變化。本研究應用加入工具變數的 Nested Logit 模型到台灣銀行業的追蹤資料,除資本適足性外,淨值比率、資產報酬率、現金比率等代表銀行財務體質等變數及資產規模與 ATM 數及逾放比等存放款市場特有的變數都設定在模型中。
研究發現 Basel III 確實對台灣銀行業的資本適足性有正向影響,存款利率與資產規模對於存款戶的效用有顯著正向的影響,普通股權益比率則有顯著負向的影響。在放款市場方面,放款利率及逾放比會顯著負向影響貸款戶的效用,資本適足率及淨值比率的增加會減少貸款戶的效用。在 Basel III 實施後,台灣銀行業存放款市場的競爭程度雖有小幅下降但差異不顯著。Basel III 對存款戶的福利水準短期有些微負面影響但長期則影響不顯著,放款市場的消費者福利則因 Basel III 而呈現持續下跌趨勢。

關鍵字

Basel III ； 資本適足性 ； 消費者福利 ； 利率需求彈性

並列摘要

This study utilizes the Panel Data Analysis to 37 commercial banks in Taiwan for the period of 2008/6-2015/6 to analyze the impacts of Basel III on bank competition and consumer welfares. Capital adequacy ratio, Tier 1 capital ratio, and common equity ratio are used to represent bank capital adequacy. Other than capital adequacy variables, net worth ratio, ROA, cash ratio, bank assets, number of ATM, and overdue ratio are considered in a Nested Logit model with an instrumental variable estimation technique.
Results show that Basel III does have positive impact on bank capital adequacy. While the interest rate on deposits and bank assets have significantly positive impacts on depositors’ utilities, common stock ratio has a significantly negative impact on depositors’ utilities. As expected, interest rate on loans and the overdue ratio have significantly negative impact on borrowers’ utilities. Capital adequacy ratio and net worth ratio have negative impacts on borrowers’ utilities. After the Basel III regulation, the competitiveness of the deposit and loan markets of Taiwan banking industry has slightly decreased but not significant. Depositors’ welfares are slightly decreased in the short run and are not significant in the long run. Borrowers’ welfares are moderately lower after Basel III regulation.

並列關鍵字

Basel III ； Capital Adequacy ； Consumer Welfare ； Interest Rate Elasticity of Demand

參考文獻

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