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中文論文名稱 銀行危機與公平價值會計─美國商業銀行之證據
英文論文名稱 Banking Crisis and Fair Value Accounting: Evidence from the U.S. Commercial Banks
校院名稱 淡江大學
系所名稱(中) 會計學系碩士班
系所名稱(英) Department of Accounting
學年度 98
學期 2
出版年 99
研究生中文姓名 鄭嘉豪
研究生英文姓名 Chia-Hao Cheng
學號 697600046
學位類別 碩士
語文別 中文
口試日期 2010-06-11
論文頁數 78頁
口試委員 指導教授-葉金成
委員-張石柱
委員-林鳳儀
中文關鍵字 公平價值會計  銀行危機  價值攸關性  總體經濟因素 
英文關鍵字 Fair value accounting  Banking crisis  Value-relevance  Macroeconomic factors 
學科別分類 學科別社會科學商學
中文摘要 2007年美國次級貸款危機爆發以來產生諸多問題,其中一項重要原因為歷史成本會計轉變為公平價值會計。問題背後隱含著,過去的銀行風險及危機預警系統已受限制;危機的產生究竟是景氣週期還是銀行體質良窳?因此,本研究先探討公平價值會計是否具有價值攸關性,再以此攸關性為基礎,觀察銀行之財務資料、總體經濟變數,試圖找出解釋次貸風暴銀行危機的關鍵因素。本研究以美國商業銀行為研究對象,研究期間,1995-2000年,檢測公平價值會計是否提高財務報表攸關性、然後再檢測2003-2009年第一季銀行危機的關鍵因素。研究結果顯示公平價值會計之實施提高了財務報表攸關性;並發現美國多次上調利率的情況下,銀行逾期放款、違約損失攀升,導致銀行金融資產的品質急遽惡化,吞噬金融體系的自有資本,引發銀行危機。
英文摘要 Since the U.S. subprime mortgage crisis outbreak, the problems were emerging in 2007. One of the major reasons which caused the crisis is the Historical cost accounting change to Fair value accounting. The problems behind the crisis are former bank risks and early warning systems have been restricted. Were the crisis caused by the banks’ health or economic cycle?For this reason, we first investigate whether fair value information is value relevant, and the study period is 1995-2000. And then observing the financial information under the relevance-based and Macroeconomic variables, we try to explore the key factor which caused the banking crisis under subprime mortgage crisis, and the study period is 2003- 2009 first quarter. The research object is U.S. commercial banks. The results show that the implementation of Fair value accounting improved the relevance of financial statements. And found that in the case of raising interest rates several times, the non-performing loans of Banks and the loss of default increased. The quality of bank financial assets were deteriorated rapidly, leading to the financial system swallowed it’s own capital, and triggering this banking crisis.
論文目次 目錄
第壹章 緒論 .............................................................................................. 1
第一節 研究背景及動機 ......................................................................................... 1
第二節 研究目的 ..................................................................................................... 3
第三節 研究流程 ..................................................................................................... 4

第貳章 文獻探討 ..................................................................................... 5
第一節 公平價值會計準則........................................ ..................................... .. .....5
第二節 美國次級房貸相關文獻............................................................................. .21
第三節 銀行危機相關實證文獻...............................................................................29

第參章 研究方法 ......................................................................................41
第一節 觀念架構 .....................................................................................................41
第二節 研究假說 .....................................................................................................42
第三節 實證模型 .....................................................................................................44
第四節 變數定義與衡量 .........................................................................................47
第五節 樣本選取與資料來源 .................................................................................52

第肆章 實證結果與分析 ..........................................................................54
第一節 敘述性統計量...............................................................................................54
第二節 假說一檢定之迴歸分析...............................................................................56
第三節 假說二檢定之逐步迴歸分析...................................................................... 58
第四節 敏感性分析...................................................................................................63
第五節 研究發現與討論...........................................................................................65

第伍章 結論與建議 ..................................................................................67
第一節 結論 .............................................................................................................67
第二節 研究限制 .....................................................................................................68
參考文獻 ...................................................................................................................71
附錄一 敘述性統計量-財務變數..............................................................................69
附錄二 敘述性統計量-總體經濟變數......................................................................70




圖目錄
圖 1-1 研究流程圖 ....................................................................................................... 4
圖 3-1 觀念架構圖 ...................................................................................................... 41

表目錄
表 4-1 敘述性統計量表................................................................................................ 55
表 4-2 財務報表攸關性-模式(1a)之迴歸分析結果.....................................................57
表 4-3 銀行危機關鍵因素之逐步迴歸結果.................................................................62
表 4-4 財務報表攸關性之迴歸分析結果.....................................................................63
表 4-5 銀行危機關鍵因素之逐步迴歸結果-以股東權益報酬率(ROE)作為銀行經營績效代理變數.....................................................................................................64
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