- 期刊
資產規模、多角化與銀行風險：台灣實證研究
Size, Diversification, and Bank Risk: Evidence from Taiwan
摘要
2022年美國暴發嚴重的通貨膨脹，美國政府為了穩定其物價水準，必會採取緊縮的貨幣政策，這政策必將會影響小型開放經濟體（如台灣）的利率及匯率，進而提高它們的銀行風險。如何降低銀行風險便是小型開放經濟體金融主管很重視的課題。本文的目的為以台灣銀行業為研究對象，來探討資產規模及多角化對銀行風險之影響。本文的銀行風險強調銀行倒閉風險及盈餘下方風險，有別於過去的文獻，本文在衡量銀行倒閉風險及盈餘下方風險上，強調使用風險值（Value-at-Risk，VaR）的概念來衡量。實證結果發現:第一、銀行多角化程度愈高，銀行倒閉風險及盈餘下方風險會愈高。第二、銀行資產規模愈大，銀行倒閉風險及盈餘下方風險會愈低。第三、銀行資產規模愈大，銀行多角化對銀行倒閉及盈餘下方風險的提高效果會愈小。第四、在台灣，幾乎所有資產規模大的銀行及所有資產規模小的銀行，其多角化都會對其銀行倒閉及盈餘下方風險產生提高效果。
並列摘要
The United States experienced severe inflation in 2022. To stabilize its inflation, the U.S. government was forced to adopt a tighter monetary policy. This policy necessarily affects the interest rates and exchange rates of small open economies (such as Taiwan), thereby increasing their bank risk. How to reduce bank risk is an important issue for many financial authorities in small open economies. The purpose of this paper is to explore the impact of bank size and diversification on bank risk in Taiwan. Bank risk in this paper refers to bank insolvency risk and earnings at risk. Unlike previous empirical literature, this paper focuses on the use of the concept of Value-at-Risk (VaR) to measure bank insolvency risk and earnings at risk. The empirical results show that: First, the higher the bank diversification, the higher the bank insolvency risk and earnings at risk. Second, the larger the bank size, the lower the bank insolvency risk and earnings at risk. Third, the positive effect of bank diversification on bank insolvency risk and earnings at risk reduce with bank size. Fourth, for almost all large banks and all small banks in Taiwan, bank diversification has a positive impact on bank insolvency risk and earning at risk.