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系統識別號 U0002-0606200714352200
中文論文名稱 資本適足率與銀行風險及財務績效之關聯-縱橫平滑移轉模型之應用
英文論文名稱 Risk-based capital ratio, bank’s risk and financial performance: By using panel smooth transition regression model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 張婷雁
研究生英文姓名 Ting-Yen Chang
學號 694490029
學位類別 碩士
語文別 中文
口試日期 2007-05-19
論文頁數 52頁
口試委員 指導教授-聶建中
共同指導教授-張倉耀
委員-盧陽正
委員-唐代彪
委員-路祥琛
中文關鍵字 縱橫平滑移轉迴歸模型  縱橫平滑移轉效果  無清償能力風險  資本適足率  財務績效 
英文關鍵字 panel smooth transition regression model  panel smooth transition effect  insolvency risk  risk-based capital ratio  financial performance 
學科別分類 學科別社會科學商學
中文摘要 本研究探討我國銀行業資本適足率之規範與銀行風險和銀行財務績效之縱橫平滑移轉效果,運用Gonzalez, Terasvirta and Dijk(2004, 2005)之縱橫平滑移轉迴歸模型,臆測資本適足率規範對銀行風險及銀行財務績效是否存在縱橫平滑移轉效果。並進一步對銀行風險及財務績效受控制變數之影響進行評估與衡量。
實證結果發現,資本適足率和銀行風險間之縱橫平滑移轉模型,在資本適足率為9.0782%時發生結構性變化,但因轉換速度高達3302.9,使得模型在轉換門檻值附近形成一結構性改變的跳躍式模型。此外,資本適足率和銀行財務績效間之縱橫平滑移轉效果確實存在,在資本適足率為11.0055%時產生一轉換區間,且因轉換速度僅0.4139,使得模型在轉換門檻值附近形成一平滑的轉換過程。
控制變數對銀行風險及財務績效之影響方面,增加資產規模造成銀行風險提高,並使高資本適足率銀行之財務績效惡化。提高淨值成長率可有效降低銀行風險,卻使高資本適足率銀行財務績效下降。顯示適當之資本適足率規範確實可提高銀行財務績效,但過高卻導致反效果。故建議銀行管理當局應於適當限度下,妥善運用資本適足率之管制,以求取最佳化策略。
英文摘要 In this paper, we investigate panel smooth transition effect between Risk-based capital ratio and bank’s risk and panel smooth transition effect between Risk-based capital ratio and bank’s financial performance by using panel smooth transition regression model (Gonzalez, Terasvirta and Dijk, 2004, 2005). In addition, we assess and weigh the bank’s risk and financial performance by the influence of independent variables.
The results as follow: First, panel smooth transition regression model between Risk-based capital ratio and bank’s risk jumps abruptly at 9.0782%, because the transition speed is up to 3302.9, which makes the model form a structural change close to transition threshold value. Second, panel smooth transition regression model between Risk-based capital ratio and bank’s financial performance produces a smooth transition at 11.0055%, because the transition speed is only 0.4139 that makes the model form a smooth transfer process close to transition threshold value. Third, we propose the administrative authority of the bank should use the control’s power of the risk-based capital ratio properly, in order to reach the financial optimization strategy.
論文目次              目錄
第一章 緒論……………………………………………………………1
  第一節 研究背景與動機…………………………………………1
  第二節 研究目的…………………………………………………3
  第三節 研究架構…………………………………………………4
第二章 文獻……………………………………………………………5
  第一節 巴塞爾資本協定…………………………………………5
  第二節 新巴塞爾資本協定………………………………………5
  第三節 資本適足率規範對銀行風險之影響探討………………6
  第四節 資本適足率規範對銀行財務績效之影響探討…………10
  第五節 銀行風險及銀行財務績效之相關文獻探討……………11
  第六節 控制變數相關文獻探討…………………………………12
第三章 研究方法………………………………………………………15
  第一節 研究資料…………………………………………………15
  第二節 縱橫單根檢定……………………………………………16
  第三節 縱橫平滑移轉迴歸模型…………………………………18
  第四節 縱橫平滑移轉迴歸模型之設定…………………………22
第四章 實證結果………………………………………………………27
  第一節 各變數之基本統計分析…………………………………27
  第二節 縱橫單根檢定之實證結果………………………………28
  第三節 縱橫平滑移轉模型之實證結果…………………………30
第五章 結論……………………………………………………………42
參考文獻…………………………………………………………………44

表目錄
表4-1-1 28家銀行………………………………………………………28
表4-1-2 各變數之基本統計量…………………………………………28
表4-2-1 縱橫單根檢定實證結果………………………………………29
表4-3-1 資本適足率對無清償能力風險指數之同質性檢定…………30
表4-3-2 資本適足率對無清償能力風險指數之轉換區間個數檢定…31
表4-3-3 資本適足率對無清償能力風險指數之模型估計結果………31
表4-3-4 資本適足率對無清償能力風險指數模型中控制變數之影響32
表4-3-5 資本適足率對淨值報酬率之同質性檢定……………………35
表4-3-6 資本適足率對淨值報酬率之轉換區間個數檢定……………35
表4-3-7 資本適足率對淨值報酬率之模型估計結果…………………36
表4-3-8 資本適足率對淨值報酬率模型中控制變數之影響…………36
表4-3-9 控制變數對銀行風險及財務績效之影響區間………………39

圖目錄
圖3-3-1 m=1之轉換模型………………………………………………21
圖3-3-2 m=2之轉換模型………………………………………………22
圖4-3-1 資本適足率對無清償能力風險指數之轉換函數……………34
圖4-3-2 資本適足率對淨值報酬率之轉換函數………………………38
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