系統識別號 | U0002-1506201216004000 |
---|---|
DOI | 10.6846/TKU.2012.00585 |
論文名稱(中文) | 台灣商業銀行流動性風險與成因之探討 |
論文名稱(英文) | An Analysis on Liquidity Risk and the Cause -Evidence from Taiwan Commercial Banks |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士班 |
系所名稱(英文) | Department of Banking and Finance |
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 | 100 |
學期 | 2 |
出版年 | 101 |
研究生(中文) | 施振翔 |
研究生(英文) | Chen-Hsiang Shih |
學號 | 699530951 |
學位類別 | 碩士 |
語言別 | 英文 |
第二語言別 | 繁體中文 |
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 |
關鍵字(中) |
流動性風險 風險管理 歐債危機 縱橫資料迴歸模型 |
關鍵字(英) |
liquidity risk risk management euro zone debt crisis panel data |
第三語言關鍵字 | |
學科別分類 | |
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. |
第三語言摘要 | |
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 |
參考文獻 |
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