系統識別號 | U0002-0607201614010300 |
---|---|
DOI | 10.6846/TKU.2016.00194 |
論文名稱(中文) | 金融動盪與銀行資產組合管理: 台灣地區銀行業利息收入 |
論文名稱(英文) | Financial Turmoil, Bank Asset Portfolio Management: Interest Revenue of Banking Industry in Taiwan |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 國際企業學系碩士在職專班 |
系所名稱(英文) | Executive Master's Program of Business Administration (EMBA) in International Busines |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 104 |
學期 | 2 |
出版年 | 105 |
研究生(中文) | 翁嘉信 |
研究生(英文) | Chia-Shin Wong |
學號 | 703550151 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2016-06-18 |
論文頁數 | 46頁 |
口試委員 |
指導教授
-
賈昭南
委員 - 謝振環 委員 - 林俊宏 |
關鍵字(中) |
利息收入 金融風暴 銀行產業 |
關鍵字(英) |
Interest Revenues Financial Crisis Banking Industries |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本文以臺灣地區銀行產業15家公司的利息收入為標的,探索美國次級房貸風暴期間內,該產業資本結構與公司的關聯性。實證研究首先採用事件分析法,並以利息收入自我迴歸模型為基礎,估計預測模型並計算代表銀行表現的利息收入異常值。其次,比較2008年第二季前後各8季的利息收入異常值,觀察各樣本銀行營運表現的差異。最後,採用縱橫分析法,估計事件期間內,樣本公司的放款、投資與準備金三項資本結構變數,估計其對營收異常值的影響。 實證估計結果顯示,15家樣本銀行對於金融風暴的影響除了彰化銀行外,其餘皆呈現負面影響,只是影響程度不一,其中又以台灣銀行所受負面影響最大; 縱橫資料估計結果顯示,金融風暴期間能夠提高放款率的銀行,其所受衝擊最小,而採取保守態度,緊縮放款與投資者,所遭受的負面衝擊最大。 |
英文摘要 |
This thesis examines how are banks asset portfolio management affect banks’ capability in coping with the financial crisis during the 8 season period after the 3rd quarter of 2004 until the 2nd quarter of 2010. Interest revenues of 15 commercial banks in Taiwan are the focus. The event studies methodologies approach is adopted whereas an autoregressive model representing the evolutions of interest revenues is estimated and used to calculate the abnormal interest revenues during the event dates. The abnormal interest revenues of each bank are then compared and tested for evaluating the performances of the sample banks. A regression analysis regresses the abnormal interest revenues on the ratios of bank loans, investments and reserves holdings to the total assets are conducted to check the effects of different portfolio on the abnormal revenues. Our empirical estimations are not significant statistically while reveal the tendency that avoid from continuing making loans new or renewed is by no means a good strategy for commercial banks during the financial turmoil period. |
第三語言摘要 | |
論文目次 |
目錄 第一章 緒論........................................................1 第一節 研究動機................................................1 第二節 銀行產業概述............................................4 第三節 本文架構................................................5 第二章 文獻回顧....................................................6 第一節 商業銀行的地位..........................................6 第二節 銀行管理................................................7 第三節 本文研究方法...........................................12 第三章 我國銀行業簡介.............................................14 第一節 本文樣本銀行簡介.......................................15 第四章 實證研究與結果.............................................25 第一節 本文資料來源與敘述統計.................................25 第二節 事件分析結果...........................................29 第三節 資產組合與利息收入異常關聯性分析.......................39 第五章 結論.......................................................44 參考資料..........................................................45 圖目錄 圖 1.1 中華民國金融體系間接與直接融通流量比重...................3 圖 1.2 中華民國全體銀行利息與手續費收入.........................5 圖 4.1.1 事件前後八季官股行庫利息收入異常實際值與預測值圖........34 圖 4.1.2 事件前後八季民營銀行利息收入異常實際值與預測值圖........35 表目錄 表 3.1 本文十五家樣本銀行特徵..................................15 表 4.1 本文統計資料定義與來源..................................25 表 4.2 十五家樣本銀行利息收入基本統計..........................26 表 4.3.1 官股銀行之資本結構基本統計..............................27 表 4.3.2 民營銀行之資本結構基本統計..............................28 表 4.4 家樣本銀行利息收入自我迴歸模型估計結果..................31 表 4.5.1 官股銀行事件前後八季利息收入異常實際值與預測值表現......36 表 4.5.2 民營銀行事件前後八季利息收入異常實際值與預測值表現......36 表 4.6.1 官股銀行營收異常值於事件前後的變動......................37 表 4.6.2 民營銀行營收異常值於事件前後的變動......................38 表 4.7 事件期間內營收異常值縱橫資料估計結果....................41 表 4.8.1 累加營收異常值估計結果..................................42 表 4.8.2 累加營收異常值估計結果(以ln異常值估計) ................43 |
參考文獻 |
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