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系統識別號 U0002-1506201216004000
中文論文名稱 台灣商業銀行流動性風險與成因之探討
英文論文名稱 An Analysis on Liquidity Risk and the Cause -Evidence from Taiwan Commercial Banks
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 100
學期 2
出版年 101
研究生中文姓名 施振翔
研究生英文姓名 Chen-Hsiang Shih
學號 699530951
學位類別 碩士
語文別 英文
第二語文別 中文
口試日期 2012-05-18
論文頁數 44頁
口試委員 指導教授-李沃牆
委員-顧廣平
委員-陳達新
委員-張揖平
中文關鍵字 流動性風險  風險管理  歐債危機  縱橫資料迴歸模型 
英文關鍵字 liquidity risk  risk management  euro zone debt crisis  panel data 
學科別分類 學科別社會科學商學
中文摘要 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。
英文摘要 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.
論文目次 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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