次貸風暴及近年發生的歐債危機，導致市場上流動性逐步萎縮，不僅投資人減少將資金投資於市場，金融機構也傾向多保留金融資產來維持自身的流動性，如此一來加速了流動性的緊縮，也再度提醒風險管理者，流動性風險已經成為不可忽視的一大課題。本文以台灣商業銀行為研究對象，嘗試提出衡量流動性風險的替代方法，並進一步探討哪些是流動性風險的成因，透過縱橫資料固定效果模型來進行實證研究。實證後的結果顯示，流動性風險的成因包含銀行特有因素、監督及管理因素及總體經濟因素等方面的影響，除此之外，市場上的風險如商業本票利差及銀行間同業拆款市場的變化也會產生不同程度的影響。對銀行風險管理者而言，不僅要考慮本身面對流動性的能力外，更應同時注意市場上流動性的變化，如此才能更為有效的做好風險管理，降低流動性風險的衝擊。

After the financial crises of recent years, liquidity risk has become a popular issue when discussing risk management. Financial systems suffer from severe liquidity exposure when market conditions worsen, triggering a lack of liquidity. In the past, banks were the most reliable liquidity provider. However, owing to the euro zone debt crisis, banks have also become a victim of a tightening market. Thus, banks must begin to emphasize the management of liquidity risk.
This paper propounds the use of alternative ways of measuring liquidity risk and investigates the cause of liquidity risk. Our sample consisted of 29 commercial banks in Taiwan over the period 2001 to 2010. The results indicated that the causes of liquidity risk may be divided into several categories, such as liquid assets and dependence on external funds; as well as supervisory and regulatory, and macroeconomics factors. Furthermore, the study found that market risk also exerts varying degrees of influence on bank liquidity risk. Higher paper-bill spread and lower inter-bank rates tend to decrease bank liquidity exposure.

Contents
CONTENTS	V
LIST OF FIGURES	VI
LIST OF TABLES	VII
CHAPTER 1: INTRODUCTION	1
1.1 Motivation	1
1.2 Research objectives	4
CHAPTER 2: LITERATURE REVIEW	6
2.1 Basel Accord	6
2.2 Measurement of bank liquidity risk	8
2.3 The cause of bank liquidity risk	10
CHAPTER3: METHODOLOGIES	12
3.1 Panel data regression analysis	12
3.1.1 Pooled regression model	12
3.1.2 Fixed effect model	13
3.1.3 Random effect model	15
3.1.4 Fixed Effect versus Random Effect Model	16
3.1.5 Research Process	18
3.2 Data description and model	20
3.2.1 Sample selection	20
3.2.2 The model	20
3.2.3 Variable description and predicted influence	21
CHAPTER4: RESULTS AND ANALYSIS	29
4.1 Descriptive statistics	29
4.2 Empirical results	32
4.2.1 Comparison between OLS and fixed effect model	32
4.2.2 Comparison between OLS and random effect model	33
4.2.3 Comparison between fixed effect and random effect model	34
4.2.4 Fixed effect model regression results	35
CHAPTER5: CONCLUSIONS AND SUGGESTIONS	39
REFERENCES	41


List of Figures

Figure 1-1: The flow chart	5
Figure 3-1: Research process	19


List of Tables

Table 3-1: Fixed versus Random Effect Model	16
Table 3-2: Commercial banks in Taiwan	27
Table 3-3: Variable description and predicted sign	28
Table 4-1: Descriptive statistics	30
Table 4-2: Correlation coefficient among variables	31
Table 4-3: LR test	32
Table 4-4: LM test	33
Table 4-5: Hausman test	34
Table 4-6: Cause of liquidity risk by using financing gap ratio as measurement	38

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