本研究共計選取我國全體銀行產業中之28家銀行，採用縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR)，進行各解釋變數受逾放比高低變化之非線性影響，並進一步對銀行經營績效受控制變數之影響進行評估與衡量。研究結果顯示，逾放比和銀行經營績效ROA、ROE間確實存在非線性關係。
    以ROA為績效代理變數情況下，低逾放比銀行(逾放比低於門檻值)之資本適足率、負債淨值比及存放比與ROA呈顯著負相關，而備抵呆帳覆蓋率對ROA無顯著影響；高逾放比之銀行(逾放比高於門檻值)其備抵呆帳覆蓋率及負債淨值比與ROA呈顯著負相關，而資本適足率及存放比對ROA無顯著影響。同理，以ROE為績效代理變數時，低逾放比銀行(逾放比低於門檻值)其負債淨值比及存放比對ROE則有負相關，而備抵呆帳覆蓋率及資本適足率對ROE無顯著影響；高逾放比率之銀行(逾放比高於門檻值)其備抵呆帳覆蓋率及資本適足率與ROE呈顯著負相關，存放比則與ROE呈顯著正相關，而負債淨值比對ROE無顯著影響。

This research adopts twenty-eight banks in nation’s entire financial industry, utilizing Panel Smooth Transition Regression Model, PSTR to examine independent variable’s nonlinear effect on Overdue-ratio’s volatility, and further on assessing, evaluating the effect on banks’ performance. This research determines that it does exist in nonlinear relation between Overdue Ratio, bank’s performance Return on Asset (ROA) and Return on Equity (ROE). ROA as variable, low overdue-ratio bank’s bank of international settlement ratio, debt/equity ratio and loan-to-deposit ratio have negative relation on ROA; high overdue-ratio bank’s coverage ratio and debt/equity ratio appears to have negative relation on ROA. In a similar way, employing ROE as the variable, low overdue-ratio bank’s bank of international settlement ratio and its coverage ratio have no significant effect, debt/ bank of international settlement ratio and loan-to-deposit ratio have negative relation on ROE; high overdue-ratio bank’s coverage ratio and debt/equity ratio increase without positive advantage toward ROE.

目錄
頁次
謝辭Ⅰ
中文摘要Ⅱ
英文摘要Ⅲ
目錄Ⅳ
表目錄Ⅵ
圖目錄Ⅶ
第壹章 緒論1
1.1研究背景及動機1
1.2研究目的6
1.3研究架構與流程7
第貳章 文獻探討8
2.1國內文獻8
2.2國外文獻10
第參章 研究方法13
3.1研究資料13
3.2縱橫單根檢定15
3.3縱橫平滑移轉迴歸模型18
3.4縱橫平滑移轉迴歸模型之設定22
第肆章 實證結果與分析27
4.1各變數之基本敘述統計分析27
4.2縱橫單根檢定之實證結果28
4.3逾放率對銀行經營績效之平滑移轉效果30
第伍章 結論與建議38
5.1研究結論38
5.2研究建議40
5.3研究限制40
參考文獻41
表目錄
表 1-1-1 本國銀行資產負債表3
表 1-1-2 本國銀行損益表5
表 3-1-1 本研究之28家銀行13
表 3-1-2 各變數之基本統計量14
表 4-1-1 各變數之基本統計量27
表 4-2-1 各變數原始序列之單根檢定29
表 4-3-1 逾放比對公司經營績效之同質性檢定31
表 4-3-2 逾放比對公司經營績效之轉換區間個數檢定31
表 4-3-3 逾放比對ROA之模型估計結果32
表 4-3-4 逾放比對ROA模型中解釋變數之影響34
圖目錄
圖 1-3-1 研究流程圖7
圖 3-3-1 m=1之轉換模型20
圖 3-3-2 m=2之轉換模型21
圖 4-3-1 逾放比對ROA之轉換函數33

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